Essays about: "Enger-Granger approach"

Found 1 essay containing the words Enger-Granger approach.

  1. 1. Dynamic linkages between Baltic and International stock markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Julija Moroza; [2008]
    Keywords : Unit Root; Baltic stock markets; Enger-Granger approach; Johansen cointegration test; causality; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The fact is that high integration between different capital markets leads to reduced international diversification opportunities for investors as well as to a greater transmission of market volatility. This study discusses the behavior of the three Baltic stock markets on the international financial arena and examines how these markets react on different inflows of information and economical shocks. READ MORE