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An Analysis of Global Stock Markets With the Autoregressive Distributed Lag Method

An Analysis of Global Stock Markets With the Autoregressive Distributed Lag Method

Hakan Altin
Copyright: © 2022 |Volume: 11 |Issue: 1 |Pages: 21
ISSN: 2160-9624|EISSN: 2160-9632|EISBN13: 9781683182757|DOI: 10.4018/IJRCM.304900
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MLA

Altin, Hakan. "An Analysis of Global Stock Markets With the Autoregressive Distributed Lag Method." IJRCM vol.11, no.1 2022: pp.1-21. http://doi.org/10.4018/IJRCM.304900

APA

Altin, H. (2022). An Analysis of Global Stock Markets With the Autoregressive Distributed Lag Method. International Journal of Risk and Contingency Management (IJRCM), 11(1), 1-21. http://doi.org/10.4018/IJRCM.304900

Chicago

Altin, Hakan. "An Analysis of Global Stock Markets With the Autoregressive Distributed Lag Method," International Journal of Risk and Contingency Management (IJRCM) 11, no.1: 1-21. http://doi.org/10.4018/IJRCM.304900

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Abstract

The primary objective of this study is to create the first examination of the global stock markets using the ARDL method. The ARDL model provides a solution that shows the short-run and long-run relationships together by removing the constraint of the series that are stationary in the traditional cointegration models. The period examined in the study, in which daily data is used, is between 01/03/2000 – 12/31/2022. Two significant results were obtained as a consequence of the implementation phase. First, there is a causal cointegration relationship between European stock markets, BRIC stocks, and American stock markets in the short run and long run. The cointegration relationship between global stock markets transforms national economies into international economies. The interdependence between global stock markets is considerably strong. This situation diminishes the utility of international diversification explained in portfolio management. Second, the relatively new ARDL technique gives similar results to conventional cointegration tests.

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