Intercommunication and Interconnection of Capital Markets of the Developed and Countries With Emergin MarketsJournal: Herald of the Economic Sciences of Ukraine (Vol.24, No. 2)
Publication Date: 2013-12-01
Authors : Lyashenko S.;
Page : 92-94
Keywords : stock index; correlation; vector autoregression; sta-tionary; cointegration; causality;
The study defines the relationship and interaction of the capital markets of developed countries (U.S., UK, EU, Japan) and developing countries (Brazil, Russia, India, China, Ukraine) on the basis of historical data of stock indices during the 2003 - 2012 period. The study is based on co-integration analysis and the causality test.
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