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Measuring the degree of integration within a group of stock markets

A systematic exposition and classification of the methods known in the literature for measuring the degree of integration between a group of stock markets is attempted. For each class of methods an analysis of its advantages, disadvantages, limitations and problems of practical relevance is conducte...

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Bibliographic Details
Published in:Ikonomicheska misŭl 2014-12, Vol.59 (6), p.26-46
Main Author: Bogdanova, Boryana
Format: Article
Language:English
Online Access:Get full text
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Summary:A systematic exposition and classification of the methods known in the literature for measuring the degree of integration between a group of stock markets is attempted. For each class of methods an analysis of its advantages, disadvantages, limitations and problems of practical relevance is conducted. In their Context and based on the literature review, a methodology for measuring the degree of integration between a pair of stock markets is proposed, which is based on the TV Coherence Concept (coherence based on wavelet transform). The advantages and possibilities are illustrated based on data for the Bulgarian and US stock markets.
ISSN:0013-2993
2815-3189
DOI:10.56497/etj1459602