Transformations  in
Business & Economics

EQUITY MARKET INTEGRATION IS DRIVEN BY THE ADVANCES IN INFORMATION AND COMMUNICATIONS TECHNOLOGY
Julijana Angelovska

ABSTRACT. Analyses whether the national stock exchanges move together in the long-run or if they are cointegrated are very much employed. Common trend that is driving the stock markets is of great interest amongthe investors, but the most interesting question is about the sources of this trend, i.e.,whether they are based on the real financial relations oron behavioural finance. This research attempts to provide answer for this question byinvestigating bilateral relationships between young and small Macedonian stock exchangeand three Yugoslav Republics (Slovenia, Croatia and Serbia) and three world stock exchanges (USA, Germany and UK). The case of Macedonian stock market as new and mostly out of interest of the foreign investors, except for the former Yugoslav Republics, can disclose this dilemma. Three econometric models: correlation, Johansen co-integration and Granger causality are used to show the integration between Macedonian and selected world and regional indices. There is no doubt that advances in information and communications technology is driving the equity market integration  .

KEYWORDS: stock market integration, long‐run convergence, cointegration, Granger causality.

JEL classification: C22, F36, G15.