Relação entre as dez principais bolsas de valores do mundo e suas co-integrações

Abstract

Globalization provoked in financial markets by means stock exchanges an interchange among the markets over the world. The aim of this study was to examine the relationship of the ten major main economic index of the world represented in New York (DJIA, S&P500 e Nasdaq), Tokyo (NIKKEI 225), London (FSTE 100), São Paulo (IBOV), Shanghai (SSE180), Paris (CAC-40), Frankfurt (DAX-30) and Buenos Aires (Merval) and looking for its co-integration, to demonstrate the behavior of these indexes and the long run equilibrium, from January of 2010 to March of 2011. To investigate the equilibrium and the long rum behavior the error correction model was used jointly with co-integration test and impulse response based on Cholesky decomposition. The results of this study show that the index of stock markets has long term equilibrium, and American markets, Argentina and English showed a strong influence over other markets. With this research we can infer that a relationship exists between the stock markets under study, confirming that the economy in a country can influence the others. In this sense, the contribution of this study, given this range of discussions involving the interconnection of economies with respect to trades made on the stock exchanges, was to show the relationships and influences in the world.