The presentation of my research paper which I gave at The International Academy of Business and Economics Annual Conference, Las Vegas, October 2009

1. RELATIONSHIPS AMONG EUROPEAN EQUITY MARKETS: MULTIVARIATE COINTEGRATION AND CAUSALITY EVIDENCE ACROSS DEVELOPED AND EMERGING COUNTRIES OANA ARIANA BATORI Purdue university

2. AGENDA

3. 1. INTRODUCTION

4. NOVELTY OF THE RESEARCH

5. 2. THE DATA

6. Dynamic movement of equity markets

7. 3. EMPIRICAL RESULTS 3.1. STATIONARITY - PANEL UNIT ROOT TESTS The level series of daily index quotations are non-stationary, while the first differenced series are stationary

8. Transformed Variables Examples

9. LONG-RUN RELATIONSHIP 3.2. JOHANSEN COINTEGRATION TEST

10. SHORT-RUN RELATIONSHIP 3.3. GRANGER CAUSALITY TEST

11. Granger Causality Example Note: Granger causality is given by row to column. Significant p-values at the 1%, 5% or 10% level are in bold.

12. DYNAMIC RELATIONSHIPS 3.4. VECTOR ERROR CORRECTION MODEL

13. DYNAMIC RELATIONSHIPS VECTOR ERROR CORRECTION MODEL

14. Vector Error Correction Equation Example

15. IMPULSE RESPONSE FUNCTIONS

16. Impulse Response Functions Examples

17. VARIANCE DECOMPOSITION Stock markets continue to influence each other even after a 10 day interval – consistent with the cointegration test results

18. Variance Decomposition Example OTHER 1.51%

19. 4. CONCLUSIONS AND POLICY IMPLICATIONS

20. POLICY IMPLICATIONS

21. THANK YOU!Questions?