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Archivio digitale delle tesi discusse presso l’Università di Pisa

Tesi etd-02122014-111415


Tipo di tesi
Tesi di laurea magistrale
Autore
LO MORO, ANDREA
URN
etd-02122014-111415
Titolo
Assessing the evolving nature of European stock markets convergence using dynamic cointegration analysis
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
SCIENZE ECONOMICHE
Relatori
relatore Prof.ssa Binotti, Annetta Maria
Parole chiave
  • cointegration
  • Johansen approach
  • Price Indexes
Data inizio appello
28/02/2014
Consultabilità
Completa
Riassunto
This thesis assesses the long-run convergence process among five major European financial markets over a period of four decades. Equity price indexes are examined first within the framework of a static cointegration analysis; the Johansen-Juselius approach is then supplemented by a dynamic rolling cointegration technique which takes into account the extent of time-varying integration from a complementary perspective. The results show that the degree of convergence among European stock markets has been increasing during the recent two decades.
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