The role of economic development on financial markets linkages

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

This paper explores the role of economic development on financial linkages between countries. Cointegration techniques with rolling-window approach and vector error correction model (vecm) are employed. The empirical data which is analyzed consists of stock market indices and exchange rates for one least developed country, developing countries and developed countries and spans the period from 1997 to 2007. Our findings are four parts; (a) the us is the distinct dominant role over the countries, while japan has a limited role in terms of stock market linkages, (b) euro take the dominant role from the us in exchange rate linkages, (c) exchange rate linkages are much stronger comparing to stock market linkages in all sample countries and finally, (d) economic development stipulates the financial linkages.

Original languageEnglish
Pages (from-to)28-35
Number of pages8
JournalInternational Research Journal of Finance and Economics
Volume1
Issue number24
Publication statusPublished - Feb 2009

Fingerprint

Economic development
Linkage
Financial markets
Exchange rates
Stock market
Developed countries
Empirical data
Japan
Vector error correction model
Stock market index
Cointegration
Developing countries

Keywords

  • Cointegrationthis
  • Economic development
  • Financial market linkages

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

The role of economic development on financial markets linkages. / Md Nor, Abu Hassan Shaari; Ergun, Ugur.

In: International Research Journal of Finance and Economics, Vol. 1, No. 24, 02.2009, p. 28-35.

Research output: Contribution to journalArticle

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