INTERNATIONAL CO-MOVEMENT OF STOCK MARKETS: BRIIC AND PIIGS COUNTRIES

Andrianantenaina, Hajanirina (2013) INTERNATIONAL CO-MOVEMENT OF STOCK MARKETS: BRIIC AND PIIGS COUNTRIES. S2 thesis, UAJY.

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Abstract

During eleven years (January 2002 to December 2012), events and phenomenon such as financial turmoil occur characterizing the International stock markets. New leading economies that still blooming after the global financial crisis emerge known as BRIIC countries whereas some decline; the so called PIIGS countries. This thesis is then aiming to depict the co-movement within these countries of both groups that serves as knowledge and information for any purposive uses such as international portfolio diversification. Prominent closing price indices from Brazil, Russia, India, Indonesia, China, Portugal, Italy, Ireland, Greece and Spain are used as samples. The time series variables are then tested for stationarity, causality, co-integration, short and long-run relationship through ECT and VECM ending with variable interaction; IRF and FEVD. Co-movement is then explained by the results as the series are co-integrated with long and short-run relationship. In short run with unidirectional sense, Brazil Granger causes Russia, India and Indonesia. Indonesia is Granger caused by Portugal, Italy and Ireland. Greece is Granger caused by Portugal, Italy, Ireland and Spain. China Granger causes Ireland and is caused by Portugal. In bidirectional relationship; Ireland Granger causes Russia and vice versa. Besides, disequilibrium in short term occurs but not often and only about one to four months during eleven years that means a strong co-movement persists within the countries as only a very few of them do not have significant value in long run. The variable itself has higher impact on the equation, though others like IBOVESPA has impact on ATHEX and RTSI.

Item Type: Thesis (S2)
Uncontrolled Keywords: BRIIC, PIIGS, co-movement, stationarity test, Granger causality test, Johansen co-integration test, Error Correction Term, Vector Error Correction Model, Impulse Response Function, Forecast Error Variance Decomposition.
Subjects: Magister Manajemen > Manajemen Keuangan
Divisions: Pasca Sarjana > Magister Manajemen
Depositing User: Editor UAJY
Date Deposited: 30 Jan 2014 08:30
Last Modified: 30 Jan 2014 08:30
URI: http://e-journal.uajy.ac.id/id/eprint/4537

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