Review of Literature on Studies of Market Integration

Authors

  • Dimitrios Andrikopoulos
  • Chrysostomos Stoforos

Keywords:

market integration, price transmission, law of one price, Johansen cointegration test, error correction model, nonlinear autoregressive distributed lag model (NARDL), GARCH, Momentum threshold autoregressive model (M-TAR), wavelet analysis

Abstract

The objective of this paper is to provide extensive literature on market integration that may be useful for academicians, practitioners, and future researchers when studying the current research work. This paper includes studies that have been carried out from 1986 to 2021 and in this period market integration has been studied through various econometric methods. The results of these studies show that the majority of research has focused more on whether markets are integrated and their degree of integration.

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Published

08-11-2023

How to Cite

Andrikopoulos, D., & Stoforos, C. (2023). Review of Literature on Studies of Market Integration. SPOUDAI Journal of Economics and Business, 73(3-4), 81–104. Retrieved from https://spoudai.org/index.php/journal/article/view/544