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Financial markets integration: A vector error-correction approach

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  • Oanea, Dumitru-Cristian

Abstract

Financial crisis pointed out the higher possibility of financial contagion and put a bigger attention in recent years on this topic. Integration between financial markets it is the best channel of spreading the negative effects of crises within markets. Due to this, the risk had increased on financial markets, simultaneously with the decrease of the benefits received by investor based on portfolio diversification.

Suggested Citation

  • Oanea, Dumitru-Cristian, 2015. "Financial markets integration: A vector error-correction approach," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 153-161.
    • Handle: RePEc:eee:joecas:v:12:y:2015:i:2:p:153-161
    DOI: 10.1016/j.jeca.2015.07.002
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    Cited by:

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    2. Ogbuabor, Jonathan E. & Anthony-Orji, Onyinye I. & Manasseh, Charles O. & Orji, Anthony, 2020. "Measuring the dynamics of COMESA output connectedness with the global economy," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).

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    More about this item

    Keywords

    Capital markets; VECM; Impulse response function; Variance decomposition;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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