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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Research Gate
2011
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/9654/ http://ir.unimas.my/id/eprint/9654/1/Does%20Integration%20Occur%20on%20a%20Certain%20Day%28abstract%29.pdf |
| _version_ | 1848836615570456576 |
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| author | Brahmana, Rayenda Asmar, Muath |
| author_facet | Brahmana, Rayenda Asmar, Muath |
| author_sort | Brahmana, Rayenda |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T06:26:35Z |
| format | Article |
| id | unimas-9654 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:26:35Z |
| publishDate | 2011 |
| publisher | Research Gate |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-96542015-11-10T03:20:09Z http://ir.unimas.my/id/eprint/9654/ Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market Brahmana, Rayenda Asmar, Muath HC Economic History and Conditions 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. Research Gate 2011 Article NonPeerReviewed text en http://ir.unimas.my/id/eprint/9654/1/Does%20Integration%20Occur%20on%20a%20Certain%20Day%28abstract%29.pdf Brahmana, Rayenda and Asmar, Muath (2011) Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market. South East European Journal of Economics and Business, 6 (2). pp. 13-21. http://www.researchgate.net/publication/227641079 DOI: 10.2478/v10033-011-0012-0 · Source: RePEc |
| spellingShingle | HC Economic History and Conditions Brahmana, Rayenda Asmar, Muath Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market |
| title | Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market |
| title_full | Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market |
| title_fullStr | Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market |
| title_full_unstemmed | Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market |
| title_short | Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market |
| title_sort | does integration occur on a certain day? the case of the lithuanian stock market |
| topic | HC Economic History and Conditions |
| url | http://ir.unimas.my/id/eprint/9654/ http://ir.unimas.my/id/eprint/9654/ http://ir.unimas.my/id/eprint/9654/ http://ir.unimas.my/id/eprint/9654/1/Does%20Integration%20Occur%20on%20a%20Certain%20Day%28abstract%29.pdf |