Superexogeneity and the dynamic linkages among international equity markets
Abstract
In this article, we combine the Johansen procedure for cointegration testing with
tests of weak exogeneity and invariance in order to ascertain whether a system of
equity markets is characterized by superexogeneity. Superexogeneity is rejected for
the system comprised of stock indices of the US, UK, Germany and Japan. This finding
implies that agents participating in these financial markets are forward looking,
all markets are endogenous in our system and the assumption of stability of the asset
demand function is questionable.
Type
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https://hdl.handle.net/10161/1964Collections
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Lori Leachman
Professor of the Practice Emerita of Economics
Professor Leachman is interested in studying the subjects of international trade,
exchange rates, fiscal policy, and international macroeconomics. In conducting her
research, she often incorporates intertemporal models, multicointegration and sustainability.
Her current research project explores the political economy of intertemporal budgeting.
She recently collaborated with G Rosas, A Bester, and P. Lange to complete a study
on, “The Political Economy of Budget Deficits,” and worked
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