A study on the existence or non-existence of the cointegration effect in stock indices among the dow jones, nikkei and phisix for the period of January 1996 to December 2000

• Main Authors: Chua, Catherine I., Chua, Jassen K., Lao, Kim T., Wee, Jenny C.
• Format: text
• Language: English
• Published: Animo Repository 2001
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17094
• Institution: De La Salle University

This paper entitled, A study on the Existence or Non-Existence of Cointegration Effect in Stock Indices Among the Dow Jones, Nikkei, and Phisix for the Period of January 1996 to December 2000, deals with the problem of finding statistical evidence of the existence or non-existence of cointegration between the Phisix and the Dow Jones Industrial Average, the Nikkei and the Dow Jones Industrial Average, The Phisix and the Nikkei, and among all three variables taken together. In order to address that problem, the Soren Johansen cointegration test was applied after using the Augmented Dickey-Fuller unit root test on each of the three series. The series used began on January 1996 and ended on December 2000. All in all, 1297 data points were used. The findings indicate the presence of statistical evidence of cointegration between, and among all the series under investigation during the period under review. The proponents of this study were able to meet all the objectives, which they set out to do. Overall, the recommendations of the proponents in the end point to a challenge to future researchers to find out whether or not the present findings are stable over a different set of random variates, over a different sample size, over a different period, and/ or implicitly, a combination of all of the above.