References
- Abakah, E. J. A., Caporale, G. M., & Gil-Alana, L. A. (2021). Economic policy uncertainty: persistence and cross-country linkages. Research in International Business and Finance, 101442. https://doi.org/https://doi.org/10.1016/j.ribaf.2021.101442
- Adekoya, O. B. (2021). Persistence and efficiency of OECD stock markets: Linear and nonlinear fractional integration approaches. Empirical Economics, 61(3),1415 - 1433. https://doi.org/https://doi.org/10.1007/s00181-020-01913-4
- Afzal, A., & Sibbertsen, P. (2021). Modeling fractional cointegration between high and low stock prices in Asian countries. Empirical Economics, 60(2), 661-682. https://doi.org/https://doi.org/10.1007/s00181-019-01784-4
- Aggarwal, R., & Kyaw, N. A. (2005). Equity market integration in the NAFTA region: evidence from the unit root and cointegration tests. International Review of Financial Analysis, 14(4), 393–406. https://doi.org/https://doi.org/10.1016/j.irfa.2004.10.008
- Arouri, E.-H. M., Bellalah, M., & Nguyen, D. K. (2010). The comovements in international stock markets: New evidence from Latin American emerging countries. Applied Economics Letters, 17(13), 1323–1328. https://doi.org/https://doi.org/10.1080/13504850902967449
- Aye, G. C., Carcel, H., Gil-Alana, L. A., & Gupta, R. (2017). Does gold act as a hedge against inflation in the UK? evidence from a fractional cointegration approach over 1257 to 2016. Resources Policy, 54, 53–57. https://doi.org/https://doi.org/10.1016/j.resourpol.2017.09.001
- Baruník, J., & Dvořáková, S. (2015). An empirical model of fractionally cointegrated daily high and low stock market prices. Economic Modelling, 45, 193–206. https://doi.org/https://doi.org/10.1016/j.econmod.2014.11.024
- Bekaert, G., Harvey, C. R., & Ng, A. (2005). Market integration and contagion. The Journal of Business, 78(1), 39–69. https://doi.org/https://doi.org/10.1086/426519
- Bley, J. (2009). European stock market integration: fact or fiction? Journal of International Financial Markets, Institutions, and Money, 19(5), 759–776. https://doi.org/https://doi.org/10.1016/j.intfin.2009.02.002
- Bolaños, E. R. L., Burneo, K., Galindo, H., & Berggrun, L. (2015). Emerging markets integration in Latin America (MILA) stock market indicators: Chile, Colombia, and Peru. Journal of Economics, Finance and Administrative Science, 20(39), 74–83. https://doi.org/https://doi.org/10.1016/j.jefas.2015.08.002
- Bollerslev, T., Osterrieder, D., Sizova, N., & Tauchen, G. (2013). Risk and return: long-run relations, fractional cointegration, and return predictability. Journal of Financial Economics, 108(2), 409–424. https://doi.org/https://doi.org/10.1016/j.jfineco.2013.01.002
- Caporale, G. M., Gil‐Alana, L. A., & Orlando, J. C. (2016). Linkages between the US and European stock markets: A fractional cointegration approach. International Journal of Finance & Economics, 21(2), 143–153. https://doi.org/https://doi.org/10.1002/ijfe.1537
- Caporale, G. M., Gil-Alana, L. A., & You, K. (2021). Stock market linkages between the ASEAN countries, China and the US: A fractional integration/cointegration approach. Emerging Markets Finance and Trade, 1–14. https://doi.org/https://doi.org/10.1080/1540496X.2021.1898366
- Caporin, M., Ranaldo, A., & De Magistris, P. S. (2013). On the predictability of stock prices: A case for high and low prices. Journal of Banking and Finance, 37(12), 5132–5146. https://doi.org/https://doi.org/10.1016/j.jbankfin.2013.05.024
- Caro, J. M. B., Golpe, A. A., Iglesias, J., & Vides, J. C. (2020). A new way of measuring the WTI–brent spread. Globalization, shock persistence and common trends. Energy Economics, 85, 104546. https://doi.org/https://doi.org/10.1016/j.eneco.2019.104546
- Central Bank of Chile. (2017b) . Informe de Estabilidad Financiera Segundo Semestre 2017. Santiago.
- Chen, G. M., Firth, M., & Rui, O. M. (2002). Stock market linkages: Evidence from Latin America. Journal of Banking & Finance, 26(6), 1113–1141. https://doi.org/https://doi.org/10.1016/S0378-4266(01)00160-1
- Chouliaras, A. S., Christopoulos, A. G., Kenourgios, D., & Kalantonis, P. (2012). The PIIGS stock markets before and after the 2008 financial crisis: A dynamic cointegration and causality analysis. International Journal of Banking, Accounting, and Finance, 4(3), 232–249. https://doi.org/https://doi.org/10.1504/IJBAAF.2012.051612
- Chuliá, H., Guillén, M., & Uribe, J. M. (2017). Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. Emerging Markets Review, 31, 32–46. https://doi.org/https://doi.org/10.1016/j.ememar.2017.01.001
- Da Fonseca, J. S. (2013). Innovations in return transmission and performance comparison between the five biggest Euro area stock markets. International Economics and Economic Policy, 10(3), 393–404. https://doi.org/https://doi.org/10.1007/s10368-013-0239-6
- Darrat, A. F., & Zhong, M. (2005). Equity market linkage and multinational trade accords: the case of NAFTA. Journal of International Money and Finance, 24(5), 793–817. https://doi.org/https://doi.org/10.1016/j.jimonfin.2005.04.006
- DeJong, D. N., Nankervis, J. C., Savin, N. E., & Whiteman, C. H. (1992). The power problems of unit root test in time series with autoregressive errors. Journal of Econometrics, 53(1–3), 323–343. https://doi.org/https://doi.org/10.1016/0304-4076(92)90090-E
- Demian, C. V. (2011). Cointegration in Central and East European markets in light of EU accession. Journal of International Financial Markets, Institutions, and Money, 21(1), 144–155. https://doi.org/https://doi.org/10.1016/j.intfin.2010.10.002
- Diamandis, P. F. (2009). International stock market linkages: evidence from Latin America. Global Finance Journal, 20(1), 13–30. https://doi.org/https://doi.org/10.1016/j.gfj.2009.03.005
- Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. https://doi.org/https://doi.org/10.1080/01621459.1979.10482531
- Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4),1057–1072. https://doi.org/https://doi.org/10.2307/1912517
- Diebold, F. X., & Rudebusch, G. D. (1991). On the power of dickey-fuller test against fractional alternatives. Economics Letters, 35(2), 155–160. https://doi.org/https://doi.org/10.1016/0165-1765(91)90163-F
- Dolatabadi, S., Narayan, P. K., Nielsen, M. Ø., & Xu, K. (2018). Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. Journal of Futures Markets, 38(2), 219–242. https://doi.org/https://doi.org/10.1002/fut.21866
- Dolatabadi, S., Nielsen, M. Ø., & Xu, K. (2015). A fractionally cointegrated VAR analysis of price discovery in commodity futures markets. Journal of Futures Markets, 35(4), 339–356. https://doi.org/https://doi.org/10.1002/fut.21693
- Dolatabadi, S., Nielsen, M. Ø., & Xu, K. (2016). A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. Journal of Empirical Finance, 38, 623–639. https://doi.org/https://doi.org/10.1016/j.jempfin.2015.11.005
- Escobari, D., Garcia, S., & Mellado, C. (2017). Identifying bubbles in Latin American equity markets: phillips-perron-based tests and linkages. Emerging Markets Review, 33, 90–101. https://doi.org/https://doi.org/10.1016/j.ememar.2017.09.001
- Espinosa-Méndez, C., Gorigoitía, J., & Vieito, J. (2017). Is the virtual integration of financial markets beneficial in emerging markets? evidence from MILA. Emerging Markets Finance and Trade, 53(10), 2279–2302. https://doi.org/https://doi.org/10.1080/1540496X.2017.1307101
- Esso, L. J. (2010). Re-examining the finance-growth nexus: Structural break, threshold cointegration and causality evidence from the Ecowas. Journal of Economic Development, 35(3), 57. https://doi.org/https://doi.org/10.35866/caujed.2010.35.3.003
- Gagnon, M. H., & Power, G. J. (2020). International oil market risk anticipations and the cushing bottleneck: option-implied evidence. The Energy Journal, 41(6), 225-280. https://doi.org/https://doi.org/10.5547/01956574.41.6.mgag
- Gebrehiwot, A., & Sayim, M. (2015). Financial market integration: empirical evidence from the COMESA. Business and Economic Research, 5(2), 242–255. https://doi.org/https://doi.org/10.5296/ber.v5i2.8416
- Geweke, J., & Porter‐Hudak, S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis, 4(4), 221–238. https://doi.org/https://doi.org/10.1111/j.1467-9892.1983.tb00371.x
- Gil-Alana, L., Carcel, H., & Abakah, E. J. A. (2018). On the linkages between Africa’s emerging equity markets and global markets: evidence from fractional integration and cointegration. Review of Development Finance, 8(2), 96–105. https://doi.org/https://doi.org/10.1016/j.rdf.2018.11.003
- Gil-Alana, L. A., & Carcel, H. (2020). A fractional cointegration var analysis of exchange rate dynamics. The North American Journal of Economics and Finance, 51, 100848. https://doi.org/https://doi.org/10.1016/j.najef.2018.09.006
- Gil-Alana, L. A., Gupta, R., Shittu, O. I., & Yaya, O. S. (2018). Market efficiency of baltic stock markets: A fractional integration approach. Physica A: Statistical Mechanics and Its Applications, 511, 251–262. https://doi.org/https://doi.org/10.1016/j.physa.2018.07.029
- Gilmore, C. G., & McManus, G. M. (2002). International portfolio diversification: US and Central European equity markets. Emerging Markets Review, 3(1), 69–83. https://doi.org/https://doi.org/10.1016/S1566-0141(01)00031-0
- Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships. Journal of Econometrics, 60(1–2), 203–233. https://doi.org/https://doi.org/10.1016/0304-4076(94)90044-2
- Greenwood, J., & Smith, B. D. (1997). Financial markets in development, and the development of financial markets. Journal of Economic Dynamics & Control, 21(1), 145–181. https://doi.org/https://doi.org/10.1016/0165-1889(95)00928-0
- Hassler, U., & Wolters, J. (1994). On the power of unit root tests against fractional alternatives. Economics Letters, 45(1), 1–5. https://doi.org/https://doi.org/10.1016/0165-1765(94)90049-3
- Hunter, D. M. (2006). The evolution of stock market integration in the post-liberalization period–A look at Latin America. Journal of International Money and Finance, 25(5), 795–826. https://doi.org/https://doi.org/10.1016/j.jimonfin.2006.06.001
- International Monetary Fund. (2016). “Financial integration in Latin America.” Available from: http://www.imf.org/external/pp/ppindex.aspx
- Jawadi, F., & Arouri, M. (2008). Are American and French stock markets integrated? The International Journal of Business and Finance Research, 2(2), 107–116. https://ssrn.com/abstract=1543916
- Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics & Control, 12(2–3), 231–254. https://doi.org/https://doi.org/10.1016/0165-1889(88)90041–3
- Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 59, 1551–1580. https://doi.org/https://doi.org/10.2307/2938278
- Johansen, S. (1995). Likelihood-based inference on cointegration in the vector autoregressive model. Oxford University Press.
- Johansen, S., & Nielsen, M. Ø. (2010). Likelihood inference for a nonstationary fractional autoregressive model. Journal of Econometrics, 158(1), 51–66. https://doi.org/https://doi.org/10.1016/j.jeconom.2010.03.006
- Johansen, S., & Nielsen, M. Ø. (2012). Likelihood inference for a fractionally cointegrated vector autoregressive model. Econometrica, 80(6), 2667–2732. https://doi.org/https://doi.org/10.3982/ECTA9299
- Johansen, S., & Nielsen, M. Ø. (2016). The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models. Econometric Theory, 32(5), 1095–1139.
- Jones, M. E., Nielsen, M. Ø., & Popiel, M. K. (2014). A fractionally cointegrated VAR analysis of economic voting and political support. Canadian Journal of Economics/Revue Canadienne D’économique, 47(4), 1078–1130. https://doi.org/https://doi.org/10.1111/caje.12115
- Karmann, A., & Ludwig, A. (2014). A two-step approach to examine the dynamics of market convergence. Applied Economics Letters, 21(4), 284–288. https://doi.org/https://doi.org/10.1080/13504851.2013.851765
- Kasa, K. (1992). Common stochastic trends in international stock markets. Journal of Monetary Economics, 29(1), 95–124. https://doi.org/https://doi.org/10.1016/0304-3932(92)90025-W
- Kim, S. J., Moshirian, F., & Wu, E. (2006). Evolution of international stock and bond market integration: influence of the european monetary union. Journal of Banking & Finance, 30(5), 1507–1534. https://doi.org/https://doi.org/10.1016/j.jbankfin.2005.05.007
- Lahrech, A., & Sylwester, K. (2013). The impact of NAFTA on North American stock market linkages. The North American Journal of Economics and Finance, 25, 94–108. https://doi.org/https://doi.org/10.1016/j.najef.2013.04.001
- Lee, D., & Schmidt, P. (1996). On the power of the KPSS test of stationarity against fractionally-integrated alternatives. Journal of Econometrics, 73(1), 285–302. https://doi.org/https://doi.org/10.1016/0304-4076(95)01741-0
- Lee, K. S., & Mercurelli, F. (2014). Convergence in the core Eurozone under the global financial crisis. Journal of Economic Integration, 29(1), 20–63. https://doi.org/https://doi.org/10.11130/jei.2014.29.1.20
- Lim, K. P., & Brooks, R. (2011). The evolution of stock market efficiency over time: A survey of the empirical literature. Journal of Economic Surveys, 25(1), 69–108. https://doi.org/https://doi.org/10.1111/j.1467-6419.2009.00611.x
- MacKinnon, J. G., & Nielsen, M. Ø. (2014). Numerical distribution functions of fractional unit root and cointegration tests. Journal of Applied Econometrics, 29(1), 161–171. https://doi.org/https://doi.org/10.1002/jae.2295
- Mellado, C., & Escobari, D. (2015). Virtual integration of financial markets: A dynamic correlation analysis of the creation of the Latin American integrated market. Applied Economics, 47(19), 1956–1971. https://doi.org/https://doi.org/10.1080/00036846.2014.1002892
- Mylonidis, N., & Kollias, C. (2010). Dynamic European stock market convergence: evidence from rolling cointegration analysis in the first euro-decade. Journal of Banking & Finance, 34(9), 2056–2064. https://doi.org/https://doi.org/10.1016/j.jbankfin.2010.01.012
- Ncube, G., & Mingiri, K. F. (2015). Stock market integration in Africa: the case of the Johannesburg stock exchange and selected African countries. International Business & Economics Research Journal (IBER), 14(2), 367–386. https://doi.org/https://doi.org/10.19030/iber.v14i2.9169
- Nielsen, M. Ø., & Popiel, M. K. (2014). A matlab program and user’s guide for the fractionally cointegrated VAR model (No. 1330). Queen’s Economics Department Working Paper.
- Onyuma, S. O. (2006). Regional integration of stock exchanges in Africa. African Review of Money Finance and Banking, 1, 97–122. https://www.jstor.org/stable/23026343
- Pagano, M. (1993). Financial markets and growth: An overview. European Economic Review, 37(2–3), 613–622. https://doi.org/https://doi.org/10.1016/0014-2921(93)90051-B
- Pukthuanthong, K., & Roll, R. (2009). Global market integration: an alternative measure and its application. Journal of Financial Economics, 94(2), 214–232. https://doi.org/https://doi.org/10.1016/j.jfineco.2008.12.004
- Robinson, P. M. (1995). Log-periodogram regression of time series with long-range dependence. The Annals of Statistics, 23(3)1048–1072. https://www.jstor.org/stable/2242436
- Romero-Álvarez, Y. P., Ramírez-Atehortúa, F. H., & Guzmán-Aguilar, D. S. (2013). Mercado Integrado Latinoamericano (MILA): Análisis de correlación y diversificación de los portafolios de acciones de los tres países miembros en el período 2007-2012. Cuadernos De Contabilidad, 14(34), 53–74. http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0123-14722013000100003&lng=en&nrm=iso
- Rossi, E., & De Magistris, P. S. (2013). Long memory and tail dependence in trading volume and volatility. Journal of Empirical Finance, 22, 94–112. https://doi.org/https://doi.org/10.1016/j.jempfin.2013.03.004
- Salgado, R. J. S., Saldivar, L. J. E., & Ríos, C. G. (2015). Cointegración entre las principales bolsas de Europa continental en presencia de rompimientos estructurales (1999-2014). Contaduría y Administración, 60(2), 83–105. https://doi.org/https://doi.org/10.1016/j.cya.2015.08.013
- Salisu, A. A., Ndako, U. B., Adediran, I. A., & Swaray, R. (2020). A fractional cointegration VAR analysis of Islamic stocks: A global perspective. The North American Journal of Economics and Finance, 51, 101056. https://doi.org/https://doi.org/10.1016/j.najef.2019.101056
- Shimotsu, K., & Phillips, P. C. (2002). Pooled log periodogram regression. Journal of Time Series Analysis, 23(1), 57–93. https://doi.org/https://doi.org/10.1111/1467-9892.00575
- Syriopoulos, T. (2007). Dynamic linkages between emerging European and developed stock markets: has the EMU any impact? International Review of Financial Analysis, 16(1), 41–60. https://doi.org/https://doi.org/10.1016/j.irfa.2005.02.003
- Tkacz, G. (2001). Estimating the fractional order of integration of interest rates using a wavelet OLS estimator. Studies in Nonlinear Dynamics & Econometrics, 5(1), 19-32. https://doi.org/https://doi.org/10.2202/1558-3708.1068
- Umutlu, M., Akdeniz, L., & Altay-Salih, A. (2010). The degree of financial liberalization and aggregated stock-return volatility in emerging markets. Journal of Banking & Finance, 34(3), 509–521. https://doi.org/https://doi.org/10.1016/j.jbankfin.2009.08.010
- Velasco, C. (1999). Non-stationary log-periodogram regression. Journal of Econometrics, 91(2), 325–371. https://doi.org/https://doi.org/10.1016/S0304-4076(98)00080-3
- Vides, J. C., Golpe, A. A., & Iglesias, J. (2018). How did the sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach. Empirica, 45(4), 685–706. https://doi.org/https://doi.org/10.1007/s10663-017-9386-2
- Vides, J. C., Golpe, A. A., & Iglesias, J. (2020). The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. International Review of Economics & Finance, 69, 124–137. https://doi.org/https://doi.org/10.1016/j.iref.2020.03.011
- Vides, J. C., Golpe, A. A., & Iglesias, J. (2021). The impact of the term spread in US monetary policy from 1870 to 2013. Journal of Policy Modeling, 43(1), 230–251. https://doi.org/https://doi.org/10.1016/j.jpolmod.2020.07.002
- Wang, Z., Yang, J., & Bessler, D. A. (2003). Financial crisis and African stock market integration. Applied Economics Letters, 10(9), 527–533. https://doi.org/https://doi.org/10.1080/1350485032000100198
- Wong, W. K., Agarwal, A., & Du, J. (2004). Financial integration for India stock market: A fractional co-integration approach. Finance India, 18(4), 1581.
- Wu, J., Xu, K., Zheng, X., & Chen, J. (2021). Fractional cointegration in bitcoin spot and futures markets. Journal of Futures Markets. 41(9), 1478 - 1494. https://doi.org/https://doi.org/10.1002/fut.22216
- Yaya, O. S., & Gil-Alana, L. A. (2020). High and low intraday commodity prices: A fractional integration and cointegration approach. Advances in Investment Analysis and Portfolio Management, 10, 1–27. https://mpra.ub.uni-muenchen.de/id/eprint/90518
- Yu, I. W., Fung, K. P., & Tam, C. S. (2010). Assessing financial market integration in Asia–equity markets. Journal of Banking & Finance, 34(12), 2874–2885. https://doi.org/https://doi.org/10.1016/j.jbankfin.2010.02.010