Ebb and flow? Co-integration with structural breaks between emerging markets in the EMEA and USA
by Pinar Evrim Mandaci, Erdost Torun
International Journal of Economic Policy in Emerging Economies (IJEPEE), Vol. 3, No. 1, 2010

Abstract: In this paper, we try to analyse the long-run relationship between the stock prices of emerging markets in the Europe, Middle East and Africa (EMEA) region and the US market. Our aim is to find out whether these markets provide opportunities for international diversification to US investors. We employ the Gregory and Hansen (GH) (1996) co-integration test, which takes into account the structural breaks to analyse co-movements of the emerging markets in the aforementioned region with the USA over the period 1995-2008 using monthly data. We only find a long-run relationship between stock indices of Israel and the USA.

Online publication date: Thu, 22-Apr-2010

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Economic Policy in Emerging Economies (IJEPEE):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com