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Financial Cointegration of Emerging Economies: Evidence from Bivariate Cointegration and Granger Causality

Empirical Economic Review

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ISSN 2522-2465
2415-0304
 
Authentication Code dc
 
Title Statement Financial Cointegration of Emerging Economies: Evidence from Bivariate Cointegration and Granger Causality
 
Added Entry - Uncontrolled Name Khan, Vina Javed
Saeed, Muhammad
Ibrahim, Tella Oluwatoba
Rizwan, Muhammad
Visiting Faculty Member, University of the Punjab, Gujranwala Campus, Pakistan
Lecturer, Department of Management Sciences, The Superior College, Lahore, Pakistan
Research Scholar, Department of Economics, University of Ilorin, Kwara State, Nigeria
MPhil Scholar, Department of Economics, University of the Punjab, Lahore, Pakistan
 
Summary, etc. The study at hand examined financial cointegration of  emerging economies and explored the diversification opportunities which are available for investors of developed countries. For the long run and causal relationship, Johanson cointegration and Granger Causality test are employed respectively. Analysis revealed evidence of cointegration between the markets of UK and Egypt. Granger Causality test indicated causality and most emerging stock markets were detected to be the followers of established capital markets. Findings implied that investors should consider the cointegration relationship before making investment decisions as it can minimize potential paybacks of prospective international portfolio diversification. Further, policy makers are recommended to consider keep an eye on the stock markets which are strongly cointegrated also having high bilateral trade volume while framing fiscal and monetary policies. 
 
Publication, Distribution, Etc. Department of Economics - University of Management and Technology
 
Electronic Location and Access application/pdf
https://ojs.umt.edu.pk/index.php/eer/article/view/135
 
Data Source Entry Empirical Economic Review; Vol 1 No 1 (2018): Summer 2018
 
Language Note eng
 
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