Links between the Eurozone Stock Markets: A New Perspective, Considering the Capitalization Level // Relación entre los índices bursátiles europeos: una nueva perspectiva a partir de los niveles de capitalización

Autores/as

  • Vítor Gabriel UDI - Research Unit for Inland Development Polytechnic Institute of Guarda
  • Helena Saraiva UDI - Research Unit for Inland Development Polytechnic Institute of Guarda

Palabras clave:

european stock markets, cap segments, vector autoregressive, cointegration, mercados bursátiles europeos, segmentos de capitalización, vectores autorregresivos, cointegración

Resumen

This paper examines short-term and long-term linkages among stock markets within EMU, taking into account the business capitalization. According to this objective, we have analysed four capitalization segments, corresponding to the Micro, Small, Mid and Large Caps indices, in the period between November 2007 and December 2013.

In order to identify the existence of interdependencies and short-term links between the European indices, we have used a vector autoregressive error-correction model, the concept of Granger causality and the impulse-response functions. We have concluded that the Large Cap described relatively autonomous movements and contained information that helped to explain the changes in other indices.

With regard to the existence of long-term connections, the usual cointegration tests were used, which showed that the segment index of the largest capitalizations described a different route compared to the indices of the two segments with smaller capitalizations. This proves to be particularly important for an international portfolio diversification strategy.

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Este artículo analiza las relaciones y las interdependencias a corto y largo plazo entre los mercados de valores de la eurozona, teniendo en cuenta el nivel de capitalización. De acuerdo con este objetivo, se analizaron cuatro segmentos de capitalización correspondientes a los índices de micro, pequeñas, medianas y grandes capitalizaciones en el período comprendido entre noviembre de 2007 y diciembre de 2013.

Con el fin de identificar la existencia de interdependencias y relaciones a corto plazo entre los índices europeos, se ha recurrido a un vector autorregresivo con mecanismo corrector de errores, al concepto de causalidad de Granger y a funciones de impulso-respuesta. Se concluyó que el índice Large Cap describe movimientos relativamente autónomos y que contiene información que ayuda a explicar los cambios en otros índices.

En cuanto a la existencia de relaciones a largo plazo, se utilizó las habituales pruebas de cointegración, lo que ha permitido entender que el índice para el segmento de las grandes capitalizaciones describe un comportamiento diferente en comparación con los índices de los dos segmentos de capitalización más pequeños. Este resultado es particularmente importante para una posible estrategia de diversificación de la cartera de inversiones en una perspectiva internacional.

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Publicado

2017-07-01

Cómo citar

Gabriel, V., & Saraiva, H. (2017). Links between the Eurozone Stock Markets: A New Perspective, Considering the Capitalization Level // Relación entre los índices bursátiles europeos: una nueva perspectiva a partir de los niveles de capitalización. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 23, Páginas 194 a 209. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2692

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