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Measuring the degree of integration within a group of stock markets

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  • Boryana Bogdanova

Abstract

An attempt was made to systemize and classify the well-known methods of measuring the degree of integration within a group of stock markets. An analysis was made for each class of methods in view of its major advantages, disadvantages, limitations and problems, of practical significance. In their context and on the grounds of the literature review a methodology was presented how to measure the degree of integration between a couple of stock markets, based on the concept of WT coherence (coherence, based on the wavelet transform). The provided advantages and the opportunities are illustrated in the basis of data on the stock markets in Bulgaria and the USA.

Suggested Citation

  • Boryana Bogdanova, 2014. "Measuring the degree of integration within a group of stock markets," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 26-46.
    • Handle: RePEc:bas:econth:y:2014:i:6:p:26-46
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    More about this item

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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