Detecting capital market convergence clubs

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dc.authorscopusid57194656128
dc.authorscopusid6701354830
dc.authorscopusid15125307700
dc.contributor.authorBeylunioglu, F.C.
dc.contributor.authorStengos, T.
dc.contributor.authorYazgan, M.E.
dc.date.accessioned2024-07-18T20:17:17Z
dc.date.available2024-07-18T20:17:17Z
dc.date.issued2017
dc.description.abstractIn this study, we propose a new method to find convergence clubs that combine pairwise method of testing convergence with maximal clique algorithm. Unlike many o those already developed in the literature, this new method aims to find convergence clubs endogenously without depending on priori classifications. We use our method to study convergence among different capital markets as captured by their respective indices. Stock market convergence would indicate the absence of arbitrage opportunities in moving between the different markets as they would all present investors with similar risks. Furthermore, stock market convergence would be a precursor to GDP convergence as these economies would be bound by similar (possibly unobservable) common factors that affect long run macroeconomic performance. © 2017 Walter de Gruyter GmbH, Berlin/Boston.en_US
dc.description.sponsorshipSocial Sciences and Humanities Research Council of Canada, SSHRC; Türkiye Bilimsel ve Teknolojik Araştirma Kurumu, TÜBITAKen_US
dc.description.sponsorshipThis work has been produced as a part of the research project (project no: 113K757) supported by The Scientific and Technological Research Council of Turkey (TUBİTAK). Ege Yazgan and Thanasis Stengos would like to acknowledge financial support from TUBİTAK and Thanasis Stengos also from SSHRC of Canada.en_US
dc.identifier.doi10.1515/snde-2016-0062
dc.identifier.issn1081-1826
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85021418499en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.urihttps://doi.org/10.1515/snde-2016-0062
dc.identifier.urihttps://hdl.handle.net/11411/6494
dc.identifier.volume21en_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWalter de Gruyter GmbHen_US
dc.relation.ispartofStudies in Nonlinear Dynamics and Econometricsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectConvergence Clubsen_US
dc.subjectMaximal Clique Algorithmen_US
dc.subjectStock Market Convergenceen_US
dc.titleDetecting capital market convergence clubsen_US
dc.typeArticleen_US

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