1. bookVolume 6 (2011): Issue 2 (November 2011)
Journal Details
License
Format
Journal
eISSN
2233-1999
ISSN
1840-118X
First Published
04 Mar 2008
Publication timeframe
2 times per year
Languages
English
access type Open Access

Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market

Published Online: 27 Jan 2012
Volume & Issue: Volume 6 (2011) - Issue 2 (November 2011)
Page range: 13 - 21
Journal Details
License
Format
Journal
eISSN
2233-1999
ISSN
1840-118X
First Published
04 Mar 2008
Publication timeframe
2 times per year
Languages
English
Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market

This paper explores the intersection between market integration and Weekend Effect by investigating the possibility of integration to occur in a certain day over the period of 1 January 1990 until 31 December 2010. The integration was retrieved from the intercept time varying rolling regression of Stehle's (1977) ICAPM Model. Meanwhile, the Weekend effect is captured by the intercept time varying rolling regression of French's (1980) Monday Effect Model. For robustness, we modified the French's Model to examine the seasonality inside market integration with Exchange Rate and Oil Prices as the control variable. This research remarks the seasonality of Lithuanian stock market integration.

Keywords

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