The name is absent



these studies focus on the international diversification benefits from holding iShares funds of
different countries, in the short run and/or in the long run and compare their performance with the
respective closed-end country funds (CECF), when possible. In this backdrop, the present study
adds to the existing literature in a number of ways. First, it considers a very recent time period to
measure equity market integration relying on iShares prices using daily data from March 1996 to
January 2005. It is thus the longest time series of iShares prices analyzed in the literature so far.
Second, by drawing on the work of Olienyk, Schwebach and Zumwalt (1999), we perform a
more in-depth analysis of the long-term and short term interdependencies between iShares price
series than has been previously done using very recently developed time series techniques. In
particular, we use Gregory-Hansen (1996) test for cointegration that allows for an endogenously
determined structural break of unknown timing. We also investigate the time-varying dynamics
of the long-run relationships by using Hansen-Johansen (1999) recursive cointegration graphical
procedure. Furthermore, we use the recently developed dynamic conditional correlation
specification of multivariate GARCH models by Engle (2002) (DCC-GARCH) that allows for
explicit time variation in the conditional covariance and correlation matrix between iShares
returns.

Taking the U.S. based investor’s perspective, we measure the status of integration between
U.S. and the remaining Group of Seven (G7) markets: Canada, France, Germany, Italy, Japan and
United Kingdom. In our empirical analysis, we utilize prices for the iShares MSCI Index Series
for non-U.S. markets and Standard & Pours Depository Receipts (SPDRs) for the U.S. By using
G7 markets, we cover well in access of 60 % of world equity market capitalization (
www.world-
exchanges.org/
) and over 50 % of U.S. foreign equity holdings (US Department of Treasury
(2003)).

Based on our findings, there is some evidence in favor of multivariate cointegration



More intriguing information

1. The name is absent
2. The name is absent
3. Voting by Committees under Constraints
4. The name is absent
5. TOWARDS THE ZERO ACCIDENT GOAL: ASSISTING THE FIRST OFFICER MONITOR AND CHALLENGE CAPTAIN ERRORS
6. Dual Track Reforms: With and Without Losers
7. Beyond Networks? A brief response to ‘Which networks matter in education governance?’
8. Multifunctionality of Agriculture: An Inquiry Into the Complementarity Between Landscape Preservation and Food Security
9. The Determinants of Individual Trade Policy Preferences: International Survey Evidence
10. Feeling Good about Giving: The Benefits (and Costs) of Self-Interested Charitable Behavior
11. INTERPERSONAL RELATIONS AND GROUP PROCESSES
12. Dual Inflation Under the Currency Board: The Challenges of Bulgarian EU Accession
13. Commitment devices, opportunity windows, and institution building in Central Asia
14. The name is absent
15. The name is absent
16. Mortality study of 18 000 patients treated with omeprazole
17. What Drives the Productive Efficiency of a Firm?: The Importance of Industry, Location, R&D, and Size
18. The name is absent
19. The name is absent
20. Heterogeneity of Investors and Asset Pricing in a Risk-Value World