Análisis de la interdependencia entre mercados de valores americanos. Periodo de estudio 2009 - 2014

Abstract

This project aims to detect the interdependence between the major stock markets of Amercia, i.e., detecting of links between selected eight stock exchanges, for the years 2009 to 2014. Initially, the operational indicators of the American stock markets concerning to the trade of shares wil be studied, and the evolution of the stock indexes yields of the selected stock exchanges will be analyzed too. To identify the interdependence between American stock exchanges, short run relationships will be determined using Granger Causality, and long run relationships will be determined using Johansen Cointegration through bivariate Vector Autoregressive models VAR of the stock indexes. These both econometric tools will help to determine "what index causesto which one" in the short run, influential and which one is the most exposed to the variation of the others American stock exchange indexes.