Please use this identifier to cite or link to this item: https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/10195
Title: Analysis of the Cross-Country Predictability Via the Study Of Cointegration- the Case of Six Asian Emerging Markets
Authors: Latifa Fatnassi
Ezzeddine Abaoub
Issue Date: 2012
Publisher: ENQUETER
Abstract: The aim of this paper is to investigate the stock returns predictability in a multivariate context. The Johansen [1988, 1991] multivariate cointegration analysis is applied to weekly data on the Korea, Hong Kong, India, Taiwan, Indonesia and Singapore indices in the period 1997:01 to 2008:08. The results indicate that markets are cointegrated when prices are expressed in local currencies whereas no cointegration was found far prices in terms of Euro. This result implies the impossibility to diversify internationally in these markets when the index prices where expressed in local currencies. In both case, there is significant cross-country prediclability; i.e. the forecast future returns on one market can be improved by including past returns from other markets.
URI: http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/10195
Appears in Collections:Articles to be qced



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.