Intégration financière internationale face à une stratégie de diversification de portefeuille

CONCLUSION GENERALE

T

out au long de ce mémoire on a étudié les modèles d?évaluations des actifs financiers, la diversification et l?impact de l?intégration des marchés des capitaux développés et émergents et ses implications sur les gains potentiels des stratégies de

diversification internationale de portefeuille. Théoriquement on a étudié le modèle d?évaluation des actifs financiers et suite au critiques et aux anomalies adressées à ce modèle on a testé d?autres versions comme le MEDAFI (le modèle d?évaluation des actifs financiers à l?international), le MEDAF conditionnel, l?APT et le modèle de Fama French (1993), le but c?est le portefeuille optimal pour un investisseur qui cherche à maximiser leurs rentabilités. D?ailleurs, pour assurer cette rentabilité il faut diversifier le portefeuille par des titres domestiques sur le plan national, mais à l?international ça dépend de la corrélation entre les marchés financiers. Alors que L?accroissement de l?intégration financière favorise l?augmentation des corrélations entre les marchés nationaux ce qui réduirait les gains des stratégies de diversification internationale. Nos résultats prouvent que les marchés développés sont intégrés entre eux alors que les marchés émergents sont segmentés aussi bien entre eux qu?avec les marchés développés. Ces conclusions sont conformes avec la majorité des études menées sur le thème de l?intégration des marchés financiers tel que celle de Gilmore et McManus (2002) et Bekaert, Harvey et Ng (2003). Cela implique que ces marchés émergents représentent encore une source importante de diversification internationale de portefeuille. Cependant, il faut tenir compte des transmissions des chocs surtout suite aux nombreuses crises qui ont frappé les marchés financiers ces dernières années.

BIBLIOGRAPHIE

BIBLIOGRAPHIE

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Cobbaut R (1997), « Théorie Financière », Economica.

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ANNEXES

075

⁰⁰⁰

12

⁰⁷

Annexes 1 : L'évolution des indices bousiers des différentes zones étudiées

Annexe 2 : Corrélations des rendements des pays développé.

	Zone de l'Europe
		BE20	CAC40	AEX	DAX	FTSE100	SSMI	MIB30
BE20		1	0.6341	0.6591	0.2998	0.5409	0.5317	0.1917
CAC40			1	0.9480	0.2508	0.6580	0.6218	0.2274
AEX				1	0.2356	0.6669	0.6169	0.2478
DAX					1	0.3337	0.2472	0.2371
FTSE100						1	0.680	0.1934
SSMI							1	0.2332
MIB30								1

Tableau 16 : corrélations des rendements des zones à économies de l?Europe. Zone de l'Amérique du nord

	SPTSX	SP500
SPTSX	1	0.3478
SP500		1

Tableau 17 : Corrélations des rendements des zones à économies de l?Amérique du nord Corrélations des rendements des pays émergents.

Zone de l'Asie.

	ALLO RDIN ARIE	BSE30	HANG SENG	JKSE	KLSE	NIKK EI225	KS11	SHANGC OMP	STI
ALLORDIN ARIE	1	0.0780	0.2012	-0.0081	0.0212	0.1927	0.1054	0.0407	0.0330
BSE30		1	0.0755	0.2088	0.1506	0.2159	0.1484	0.0688	0.0981
HANGSENG			1	0.0335	0.0183	0.0885	0.4107	0.0998	0.2865
JKSE				1	0.0417	0.2818	0.0161	0.1294	0.2714
KLSE					1	0.1700	0.0473	0.0661	0.0597
NIKKEI225						1	0.0725	0.0658	0.1111
KS11							1	0.1003	0.2069
SHANGCO MP								1	0.0368
STI									1

Tableau 18 : Corrélations des rendements de la zone de l?Asie

=W CI l* P pUTuERINine.

	BOVESPA	IPC	MERVAL
BOVESPA	1	0.4583	0.3461
IPC		1	0.3091
MERVAL			1

Tableau 19 : Corrélations des rendements de la zone de l?Amérique latine

	=MICR* IUTME
		EGX30	TUNINDEX
EGX30		1	0.0005
TUNINDEX			1

Tableau 20 : Corrélations des rendements de la zone de l?Afrique

Annexe 3 : Test de Ducky- Fuller simple pour les pays développé Zone de l'Europe.

Royaume - Uni (Au niveau et En différence)

Null Hypothesis: FTSE100 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 14 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.826981 0.6912

Test critical values: 1% level -3.965494

5% level -3.413454

10% level -3.128769

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(FTSE100)

Method: Least Squares

Date: 05/30/11 Time: 11:41

Sample (adjusted): 16 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	183.4527	97.62340 1.879188	0.0605
@TREND(1)	-0.035537	0.034634 -1.026059	0.3051
R-squared	0.424041	Mean dependent var	0.590202
Adjusted R-squared	0.416475	S.D. dependent var	524.0094
S.E. of regression	400.2847	Akaike info criterion	14.83590
Sum squared resid	1.95E+08	Schwarz criterion	14.90636
Log likelihood	-9144.167	Hannan-Quinn criter.	14.86240
F-statistic	56.04575	Durbin-Watson stat	1.999134
Prob(F-statistic)	0.000000

84

Null Hypothesis: D(FTSE100) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -60.49416 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(FTSE100,2)

Method: Least Squares

Date: 05/30/11 Time: 11:41

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.976530	25.75440 0.076745	0.9388
@TREND(1)	-0.001926	0.035679 -0.053976	0.9570
R-squared	0.746154	Mean dependent var	0.012260
Adjusted R-squared	0.745746	S.D. dependent var	900.5584
S.E. of regression	454.0940	Akaike info criterion	15.07689
Sum squared resid	2.57E+08	Schwarz criterion	15.08922
Log likelihood	-9404.977	Hannan-Quinn criter.	15.08152
F-statistic	1829.772	Durbin-Watson stat	2.315436
Prob(F-statistic)	0.000000

-France (Au niveau et En différence)

Null Hypothesis: CAC40 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 1 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.816092 0.6966

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(CAC40)

Method: Least Squares

Date: 05/30/11 Time: 11:40

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	24.92624	12.67051 1.967264	0.0494
@TREND(1)	-0.010028	0.005739 -1.747345	0.0808
R-squared	0.012690	Mean dependent var	-0.097075
Adjusted R-squared	0.010309	S.D. dependent var	63.15981
S.E. of regression	62.83341	Akaike info criterion	11.12205
Sum squared resid	4911358.	Schwarz criterion	11.13849
Log likelihood	-6936.160	Hannan-Quinn criter.	11.12823
F-statistic	5.329845	Durbin-Watson stat	2.004031
Prob(F-statistic)	0.001192

Null Hypothesis: D(CAC40) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 21 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.937211 0.0000

Test critical values: 1% level -3.965543

5% level -3.413478

10% level -3.128783

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(CAC40,2)

Method: Least Squares

Date: 05/30/11 Time: 11:40

Sample (adjusted): 24 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	2.653840	3.733518 0.710815	0.4773
@TREND(1)	-0.004404	0.005150 -0.855177	0.3926
R-squared	0.559084	Mean dependent var	0.003415
Adjusted R-squared	0.550654	S.D. dependent var	94.19919
S.E. of regression	63.14482	Akaike info criterion	11.14810
Sum squared resid	4796683.	Schwarz criterion	11.24810
Log likelihood	-6815.362	Hannan-Quinn criter.	11.18573
F-statistic	66.32210	Durbin-Watson stat	1.997613
Prob(F-statistic)	0.000000

-Allemagne (Au niveau et En différence)

Null Hypothesis: DAX has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 12 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.660388 0.7682

Test critical values: 1% level -3.965482

5% level -3.413448

10% level -3.128765

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(DAX)

Method: Least Squares

Date: 05/30/11 Time: 11:40

Sample (adjusted): 14 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	75.84281	38.81177 1.954119	0.0509
@TREND(1)	-0.018582	0.018921 -0.982116	0.3262
R-squared	0.550101	Mean dependent var	1.290493
Adjusted R-squared	0.544947	S.D. dependent var	351.0504
S.E. of regression	236.8102	Akaike info criterion	13.78445
Sum squared resid	68528616	Schwarz criterion	13.84654
Log likelihood	-8510.680	Hannan-Quinn criter.	13.80780
F-statistic	106.7263	Durbin-Watson stat	2.003564
Prob(F-statistic)	0.000000

Null Hypothesis: D(DAX) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -58.95777 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(DAX,2)

Method: Least Squares

Date: 05/30/11 Time: 11:41

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	7.184216	17.48378 0.410908	0.6812
@TREND(1)	-0.008515	0.024221 -0.351552	0.7252
R-squared	0.736286	Mean dependent var	0.007748
Adjusted R-squared	0.735862	S.D. dependent var	599.7965
S.E. of regression	308.2615	Akaike info criterion	14.30217
Sum squared resid	1.18E+08	Schwarz criterion	14.31450
Log likelihood	-8921.557	Hannan-Quinn criter.	14.30681
F-statistic	1738.010	Durbin-Watson stat	2.276823
Prob(F-statistic)	0.000000

Italie (Au niveau et En différence)

Null Hypothesis: MIB30 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 3 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.764548 0.7215

Test critical values: 1% level -3.965428

5% level -3.413422

10% level -3.128749

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(MIB30)

Method: Least Squares

Date: 05/30/11 Time: 11:41

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	438.5926	233.8361 1.875641	0.0609
@TREND(1)	-0.248286	0.123222 -2.014937	0.0441
R-squared	0.435372	Mean dependent var	-7.232592
Adjusted R-squared	0.433095	S.D. dependent var	1518.526
S.E. of regression	1143.345	Akaike info criterion	16.92611
Sum squared resid	1.62E+09	Schwarz criterion	16.95080
Log likelihood	-10538.96	Hannan-Quinn criter.	16.93539
F-statistic	191.2272	Durbin-Watson stat	1.945528
Prob(F-statistic)	0.000000

Null Hypothesis: D(MIB30) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -58.96631 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(MIB30,2)

Method: Least Squares

Date: 05/30/11 Time: 11:42

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	22.44923	75.89679 0.295786	0.7674
@TREND(1)	-0.053148	0.105147 -0.505460	0.6133
R-squared	0.736342	Mean dependent var	-0.010144
Adjusted R-squared	0.735918	S.D. dependent var	2604.015
S.E. of regression	1338.174	Akaike info criterion	17.23840
Sum squared resid	2.23E+09	Schwarz criterion	17.25073
Log likelihood	-10753.76	Hannan-Quinn criter.	17.24304
F-statistic	1738.513	Durbin-Watson stat	2.273582
Prob(F-statistic)	0.000000

Suisse (Au niveau et En différence)

Null Hypothesis: SSMI has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 14 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.910137 0.6486

Test critical values: 1% level -3.965494

5% level -3.413454

10% level -3.128769

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SSMI)

Method: Least Squares

Date: 05/30/11 Time: 11:42

Sample (adjusted): 16 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	107.5393	50.91261 2.112234	0.0349
@TREND(1)	-0.035588	0.021736 -1.637277	0.1018
R-squared	0.505069	Mean dependent var	0.755789
Adjusted R-squared	0.498567	S.D. dependent var	351.6663
S.E. of regression	249.0217	Akaike info criterion	13.88663
Sum squared resid	75530357	Schwarz criterion	13.95709
Log likelihood	-8557.992	Hannan-Quinn criter.	13.91313
F-statistic	77.68427	Durbin-Watson stat	2.014279
Prob(F-statistic)	0.000000

Null Hypothesis: D(SSMI) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -58.81346 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SSMI,2)

Method: Least Squares

Date: 05/30/11 Time: 11:42

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	6.862434	17.52060 0.391678	0.6954
@TREND(1)	-0.009322	0.024272 -0.384040	0.7010
R-squared	0.735333	Mean dependent var	-0.004968
Adjusted R-squared	0.734908	S.D. dependent var	599.9786
S.E. of regression	308.9116	Akaike info criterion	14.30639
Sum squared resid	1.19E+08	Schwarz criterion	14.31872
Log likelihood	-8924.186	Hannan-Quinn criter.	14.31102
F-statistic	1729.512	Durbin-Watson stat	2.276471
Prob(F-statistic)	0.000000

Pays - Bad (Au niveau et En différence)

Null Hypothesis: AEX has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.604094 0.7912

Test critical values: 1% level -3.965410

5% level -3.413413

10% level -3.128744

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(AEX)

Method: Least Squares

Date: 05/30/11 Time: 11:39

Sample (adjusted): 2 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.684029	0.969984 1.736141	0.0828
@TREND(1)	-0.000794	0.000500 -1.586054	0.1130
R-squared	0.002679	Mean dependent var	-0.026085
Adjusted R-squared	0.001078	S.D. dependent var	5.447239
S.E. of regression	5.444302	Akaike info criterion	6.229415
Sum squared resid	36931.98	Schwarz criterion	6.241737
Log likelihood	-3887.270	Hannan-Quinn criter.	6.234048
F-statistic	1.673276	Durbin-Watson stat	2.089362
Prob(F-statistic)	0.188053

Null Hypothesis: D(AEX) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 21 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.253836 0.0000

Test critical values: 1% level -3.965543

5% level -3.413478

10% level -3.128783

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(AEX,2)

Method: Least Squares

Date: 05/30/11 Time: 11:39

Sample (adjusted): 24 1250

Included observations: 1227 after adjustments

Variable		Coefficient	Std. Error t-Statistic	Prob.
C		0.174247	0.321836 0.541414	0.5883
@TREND(1)		-0.000298	0.000444 -0.670792	0.5025
R-squared		0.535947	Mean dependent var	0.001899
Adjusted R-squared		0.527074	S.D. dependent var	7.937139
S.E. of regression		5.458337	Akaike info criterion	6.251532
Sum squared resid		35841.51	Schwarz criterion	6.351528
Log likelihood		-3811.315	Hannan-Quinn criter.	6.289158
F-statistic		60.40758	Durbin-Watson stat	1.996748
Prob(F-statistic)		0.000000
	=TnFOdFOl'AP pUiINFOdN OITUd.

Etats #177; Unis (Au niveau et En différence)

Null Hypothesis: SP500 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 11 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.994753 0.6031

Test critical values: 1% level -3.965476

5% level -3.413445

10% level -3.128763

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SP500)

Method: Least Squares

Date: 05/30/11 Time: 11:35

Sample (adjusted): 13 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	47.39653	23.84044 1.988073	0.0470
@TREND(1)	-0.011710	0.009706 -1.206422	0.2279
R-squared	0.430783	Mean dependent var	-0.025380
Adjusted R-squared	0.424737	S.D. dependent var	142.1047
S.E. of regression	107.7808	Akaike info criterion	12.20932
Sum squared resid	14218850	Schwarz criterion	12.26723
Log likelihood	-7543.570	Hannan-Quinn criter.	12.23110
F-statistic	71.25552	Durbin-Watson stat	2.005217
Prob(F-statistic)	0.000000

Null Hypothesis: D(SP500) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -60.79157 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SP500,2)

Method: Least Squares

Date: 05/30/11 Time: 11:35

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	0.238642	6.975842 0.034210	0.9727
@TREND(1)	-0.000486	0.009664 -0.050290	0.9599
R-squared	0.748007	Mean dependent var	-0.005609
Adjusted R-squared	0.747602	S.D. dependent var	244.8209
S.E. of regression	122.9961	Akaike info criterion	12.46458
Sum squared resid	18834403	Schwarz criterion	12.47691
Log likelihood	-7774.900	Hannan-Quinn criter.	12.46922
F-statistic	1847.808	Durbin-Watson stat	2.324240
Prob(F-statistic)	0.000000

Canada (Au niveau et En différence)

Null Hypothesis: SPTS has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 15 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.401543 0.3785

Test critical values: 1% level -3.965500

5% level -3.413457

10% level -3.128770

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SPTS)

Method: Least Squares

Date: 05/30/11 Time: 11:35

Sample (adjusted): 17 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	691.8556	290.1728 2.384288	0.0173
@TREND(1)	-0.015644	0.134818 -0.116039	0.9076
R-squared	0.395955	Mean dependent var	1.940640
Adjusted R-squared	0.387511	S.D. dependent var	2150.225
S.E. of regression	1682.802	Akaike info criterion	17.70879
Sum squared resid	3.44E+09	Schwarz criterion	17.78344
Log likelihood	-10908.32	Hannan-Quinn criter.	17.73687
F-statistic	46.88801	Durbin-Watson stat	1.998171
Prob(F-statistic)	0.000000

Null Hypothesis: D(SPTS) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -58.17555 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SPTS,2)

Method: Least Squares

Date: 05/30/11 Time: 11:36

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable		Coefficient	Std. Error t-Statistic	Prob.
D(SPTS(-1))		-1.462133	0.025133 -58.17555	0.0000
C		7.108130	107.6266 0.066044	0.9474
@TREND(1)		-0.007065	0.149102 -0.047383	0.9622
R-squared		0.731066	Mean dependent var	0.008173
Adjusted R-squared		0.730634	S.D. dependent var	3656.309
S.E. of regression		1897.641	Akaike info criterion	17.93701
Sum squared resid		4.48E+09	Schwarz criterion	17.94934
Log likelihood		-11189.70	Hannan-Quinn criter.	17.94165
F-statistic		1692.197	Durbin-Watson stat	2.229257
Prob(F-statistic)		0.000000
	=14J1de l' \le.

Japon (Au niveau et En différence)

Null Hypothesis: NIKKEI225 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 13 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.276598 0.4460

Test critical values: 1% level -3.965488

5% level -3.413451

10% level -3.128767

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(NIKKEI225)

Method: Least Squares

Date: 05/30/11 Time: 11:48

Sample (adjusted): 15 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	681.0832	288.1342 2.363771	0.0182
@TREND(1)	-0.290507	0.155949 -1.862832	0.0627
R-squared	0.389351	Mean dependent var	-0.786707
Adjusted R-squared	0.381844	S.D. dependent var	2111.932
S.E. of regression	1660.463	Akaike info criterion	17.68044
Sum squared resid	3.36E+09	Schwarz criterion	17.74671
Log likelihood	-10910.51	Hannan-Quinn criter.	17.70537
F-statistic	51.85840	Durbin-Watson stat	2.010682
Prob(F-statistic)	0.000000

Null Hypothesis: D(NIKKEI225) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -59.21019 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(NIKKEI225,2) Method: Least Squares

Date: 05/30/11 Time: 11:48

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(NIKKEI225(-1))	-1.475883	0.024926 -59.21019	0.0000
C	11.45422	107.5707 0.106481	0.9152
@TREND(1)	-0.020487	0.149025 -0.137477	0.8907
R-squared	0.737941	Mean dependent var	0.128165
Adjusted R-squared	0.737520	S.D. dependent var	3702.033
S.E. of regression	1896.653	Akaike info criterion	17.93597
Sum squared resid	4.48E+09	Schwarz criterion	17.94830
Log likelihood	-11189.05	Hannan-Quinn criter.	17.94061
F-statistic	1752.924	Durbin-Watson stat	2.239170
Prob(F-statistic)	0.000000

Hong Kong (Au niveau et En différence)

Null Hypothesis: HANGSENG has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 9 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.850196 0.6795

Test critical values: 1% level -3.965464

5% level -3.413440

10% level -3.128760

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(HANGSENG) Method: Least Squares

Date: 05/30/11 Time: 11:46

Sample (adjusted): 11 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	406.6069	213.7837	1.901955	0.0574
@TREND(1)	0.046825	0.141427	0.331092	0.7406
R-squared	0.328427	Mean dependent var		6.139226
Adjusted R-squared	0.322411	S.D. dependent var		2024.743
S.E. of regression	1666.683	Akaike info criterion		17.68469
Sum squared resid	3.41E+09	Schwarz criterion		17.73426
Log likelihood	-10952.51	Hannan-Quinn criter.		17.70333
F-statistic	54.59483	Durbin-Watson stat		1.999527
Prob(F-statistic)	0.000000

Null Hypothesis: D(HANGSENG) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -54.17722 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(HANGSENG,2) Method: Least Squares

Date: 05/30/11 Time: 11:46

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable		Coefficient	Std. Error t-Statistic	Prob.
D(HANGSENG(-1))		-1.404331	0.025921 -54.17722	0.0000
C		17.02203	104.7772 0.162459	0.8710
@TREND(1)		-0.014058	0.145154 -0.096848	0.9229
R-squared		0.702165	Mean dependent var	-0.027548
Adjusted R-squared		0.701687	S.D. dependent var	3382.387
S.E. of regression		1847.394	Akaike info criterion	17.88334
Sum squared resid		4.25E+09	Schwarz criterion	17.89567
Log likelihood		-11156.20	Hannan-Quinn criter.	17.88798
F-statistic		1467.585	Durbin-Watson stat	2.242268
Prob(F-statistic)		0.000000
	=14J1de l' XV.raXie.

Australie (Au niveau et En différence)

Null Hypothesis: ALLORDINARIES has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 21 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.467237 0.8403

Test critical values: 1% level -3.965537

5% level -3.413475

10% level -3.128781

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ALLORDINARIES) Method: Least Squares

Date: 05/30/11 Time: 11:45

Sample (adjusted): 23 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	74.73087	44.00287 1.698318	0.0897
@TREND(1)	-0.023159	0.019929 -1.162078	0.2454
R-squared	0.444970	Mean dependent var	0.583469
Adjusted R-squared	0.434367	S.D. dependent var	321.6468
S.E. of regression	241.9059	Akaike info criterion	13.83433
Sum squared resid	70456235	Schwarz criterion	13.93426
Log likelihood	-8470.276	Hannan-Quinn criter.	13.87193
F-statistic	41.96748	Durbin-Watson stat	2.008419
Prob(F-statistic)	0.000000

Null Hypothesis: D(ALLORDINARIES) has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -59.63607 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ALLORDINARIES,2) Method: Least Squares

Date: 05/30/11 Time: 11:45

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(ALLORDINARIES(-1))	-1.481406	0.024841 -59.63607	0.0000
C	3.840850	15.87432 0.241954	0.8089
@TREND(1)	-0.004965	0.021992 -0.225764	0.8214
R-squared	0.740704	Mean dependent var	-0.016106
Adjusted R-squared	0.740287	S.D. dependent var	549.2115
S.E. of regression	279.8892	Akaike info criterion	14.10907
Sum squared resid	97530790	Schwarz criterion	14.12140
Log likelihood	-8801.057	Hannan-Quinn criter.	14.11370
F-statistic	1778.230	Durbin-Watson stat	2.289054
Prob(F-statistic)	0.000000

Annexe 3 : Test de Ducky- Fuller simple pour les pays émergents. =14J1de l' sie.

Chine (Au niveau et En différence)

Null Hypothesis: SHANGCOMP has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 8 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.862654 0.6732

Test critical values: 1% level -3.965458

5% level -3.413437

10% level -3.128758

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SHANGCOMP) Method: Least Squares

Date: 05/30/11 Time: 11:48

Sample (adjusted): 10 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	27.59611	17.76672	1.553247	0.1206
@TREND(1)	0.008979	0.021867	0.410618	0.6814
R-squared	0.095162	Mean dependent var		1.459919
Adjusted R-squared	0.087806	S.D. dependent var		261.9954
S.E. of regression	250.2288	Akaike info criterion		13.89145
Sum squared resid	77015803	Schwarz criterion		13.93687
Log likelihood	-8608.647	Hannan-Quinn criter.		13.90853
F-statistic	12.93594	Durbin-Watson stat		2.004366
Prob(F-statistic)	0.000000

106

Null Hypothesis: D(SHANGCOMP) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -42.84485 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SHANGCOMP,2) Method: Least Squares

Date: 05/30/11 Time: 11:49

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(SHANGCOMP(-1))	-1.191745	0.027815 -42.84485	0.0000
C	4.418153	14.55463 0.303556	0.7615
@TREND(1)	-0.004428	0.020163 -0.219583	0.8262
R-squared	0.595869	Mean dependent var	-0.033197
Adjusted R-squared	0.595219	S.D. dependent var	403.3439
S.E. of regression	256.6170	Akaike info criterion	13.93545
Sum squared resid	81986068	Schwarz criterion	13.94778
Log likelihood	-8692.719	Hannan-Quinn criter.	13.94008
F-statistic	917.8407	Durbin-Watson stat	2.043789
Prob(F-statistic)	0.000000

Inde (Au niveau et En différence)

Null Hypothesis: BSE30 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 10 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.922157 0.6422

Test critical values: 1% level -3.965470

5% level -3.413442

10% level -3.128762

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BSE30)

Method: Least Squares

Date: 05/30/11 Time: 11:46

Sample (adjusted): 12 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	386.7169	189.7420	2.038119	0.0418
@TREND(1)	0.126252	0.173709	0.726804	0.4675
R-squared	0.469041	Mean dependent var		8.715706
Adjusted R-squared	0.463844	S.D. dependent var		2485.619
S.E. of regression	1820.036	Akaike info criterion		17.86154
Sum squared resid	4.06E+09	Schwarz criterion		17.91528
Log likelihood	-11052.22	Hannan-Quinn criter.		17.88175
F-statistic	90.25262	Durbin-Watson stat		1.999471
Prob(F-statistic)	0.000000

Null Hypothesis: D(BSE30) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -60.47994 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BSE30,2)

Method: Least Squares

Date: 05/30/11 Time: 11:46

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(BSE30(-1))	-1.492129	0.024671 -60.47994	0.0000
C	17.13955	122.3764 0.140056	0.8886
@TREND(1)	-0.007632	0.169535 -0.045017	0.9641
R-squared	0.746065	Mean dependent var	0.033934
Adjusted R-squared	0.745657	S.D. dependent var	4278.398
S.E. of regression	2157.701	Akaike info criterion	18.19388
Sum squared resid	5.80E+09	Schwarz criterion	18.20621
Log likelihood	-11349.98	Hannan-Quinn criter.	18.19851
F-statistic	1828.911	Durbin-Watson stat	2.316810
Prob(F-statistic)	0.000000

Indonésie (Au niveau et En différence)

Null Hypothesis: JKSE has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 14 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.013647 0.5927

Test critical values: 1% level -3.965494

5% level -3.413454

10% level -3.128769

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(JKSE)

Method: Least Squares

Date: 05/30/11 Time: 11:47

Sample (adjusted): 16 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	46.19886	25.05773	1.843697	0.0655
@TREND(1)	0.034505	0.026487	1.302719	0.1929
R-squared	0.347868	Mean dependent var		1.268267
Adjusted R-squared	0.339302	S.D. dependent var		315.9742
S.E. of regression	256.8344	Akaike info criterion		13.94841
Sum squared resid	80344012	Schwarz criterion		14.01887
Log likelihood	-8596.143	Hannan-Quinn criter.		13.97491
F-statistic	40.60757	Durbin-Watson stat		1.988491
Prob(F-statistic)	0.000000

Null Hypothesis: D(JKSE) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -56.17038 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(JKSE,2)

Method: Least Squares

Date: 05/30/11 Time: 11:47

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(JKSE(-1))	-1.429039	0.025441 -56.17038	0.0000
C	2.502160	16.09798 0.155433	0.8765
@TREND(1)	-0.000553	0.022301 -0.024777	0.9802
R-squared	0.717055	Mean dependent var	-0.908245
Adjusted R-squared	0.716600	S.D. dependent var	533.1589
S.E. of regression	283.8286	Akaike info criterion	14.13702
Sum squared resid	1.00E+08	Schwarz criterion	14.14935
Log likelihood	-8818.500	Hannan-Quinn criter.	14.14166
F-statistic	1577.574	Durbin-Watson stat	2.209962
Prob(F-statistic)	0.000000

Malaisie (Au niveau et En différence)

Null Hypothesis: KLSE has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 14 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.698175 0.7518

Test critical values: 1% level -3.965494

5% level -3.413454

10% level -3.128769

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(KLSE)

Method: Least Squares

Date: 05/30/11 Time: 11:47

Sample (adjusted): 16 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	34.71808	20.15121	1.722878	0.0852
@TREND(1)	0.006475	0.010456	0.619253	0.5359
R-squared	0.456684	Mean dependent var		0.359490
Adjusted R-squared	0.449547	S.D. dependent var		161.9445
S.E. of regression	120.1507	Akaike info criterion		12.42904
Sum squared resid	17583285	Schwarz criterion		12.49950
Log likelihood	-7657.932	Hannan-Quinn criter.		12.45555
F-statistic	63.98687	Durbin-Watson stat		1.980349
Prob(F-statistic)	0.000000

Null Hypothesis: D(KLSE) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -59.87130 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(KLSE,2)

Method: Least Squares

Date: 05/30/11 Time: 11:47

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(KLSE(-1))	-1.484428	0.024794 -59.87130	0.0000
C	0.305564	7.999655 0.038197	0.9695
@TREND(1)	0.000297	0.011082 0.026778	0.9786
R-squared	0.742213	Mean dependent var	-0.008349
Adjusted R-squared	0.741799	S.D. dependent var	277.5792
S.E. of regression	141.0477	Akaike info criterion	12.73847
Sum squared resid	24768579	Schwarz criterion	12.75080
Log likelihood	-7945.808	Hannan-Quinn criter.	12.74311
F-statistic	1792.286	Durbin-Watson stat	2.314763
Prob(F-statistic)	0.000000

Corée (Au niveau et En différence)

Null Hypothesis: KS11 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 9 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.054947 0.5699

Test critical values: 1% level -3.965464

5% level -3.413440

10% level -3.128760

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(KS11)

Method: Least Squares

Date: 05/30/11 Time: 11:48

Sample (adjusted): 11 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	49.51816	22.51641	2.199203	0.0280
@TREND(1)	0.004518	0.012941	0.349103	0.7271
R-squared	0.444393	Mean dependent var		0.569685
Adjusted R-squared	0.439416	S.D. dependent var		198.2979
S.E. of regression	148.4699	Akaike info criterion		12.84827
Sum squared resid	27069186	Schwarz criterion		12.89785
Log likelihood	-7953.929	Hannan-Quinn criter.		12.86692
F-statistic	89.29042	Durbin-Watson stat		2.001550
Prob(F-statistic)	0.000000

Null Hypothesis: D(KS11) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -60.64842 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(KS11,2)

Method: Least Squares

Date: 05/30/11 Time: 11:48

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(KS11(-1))	-1.494235	0.024638 -60.64842	0.0000
C	1.417299	9.753594 0.145310	0.8845
@TREND(1)	-0.001041	0.013512 -0.077027	0.9386
R-squared	0.747117	Mean dependent var	0.007388
Adjusted R-squared	0.746711	S.D. dependent var	341.7039
S.E. of regression	171.9722	Akaike info criterion	13.13494
Sum squared resid	36820155	Schwarz criterion	13.14727
Log likelihood	-8193.205	Hannan-Quinn criter.	13.13958
F-statistic	1839.115	Durbin-Watson stat	2.320236
Prob(F-statistic)	0.000000

Singapour (Au niveau et En différence)

Null Hypothesis: STI has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 7 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.612052 0.7881

Test critical values: 1% level -3.965452

5% level -3.413434

10% level -3.128756

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(STI)

Method: Least Squares

Date: 05/30/11 Time: 11:49

Sample (adjusted): 9 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	40.81677	24.63973 1.656543	0.0979
@TREND(1)	-0.002505	0.013262 -0.188918	0.8502
R-squared	0.377451	Mean dependent var	0.567593
Adjusted R-squared	0.372903	S.D. dependent var	211.2849
S.E. of regression	167.3154	Akaike info criterion	13.08566
Sum squared resid	34489158	Schwarz criterion	13.12692
Log likelihood	-8116.193	Hannan-Quinn criter.	13.10117
F-statistic	82.99555	Durbin-Watson stat	2.007061
Prob(F-statistic)	0.000000

Null Hypothesis: D(STI) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -60.36464 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(STI,2)

Method: Least Squares

Date: 05/30/11 Time: 11:49

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(STI(-1))	-1.490682	0.024695 -60.36464	0.0000
C	1.711690	10.42473 0.164195	0.8696
@TREND(1)	-0.001381	0.014442 -0.095630	0.9238
R-squared	0.745341	Mean dependent var	0.006322
Adjusted R-squared	0.744932	S.D. dependent var	363.9398
S.E. of regression	183.8051	Akaike info criterion	13.26803
Sum squared resid	42061493	Schwarz criterion	13.28036
Log likelihood	-8276.251	Hannan-Quinn criter.	13.27267
F-statistic	1821.945	Durbin-Watson stat	2.302288
Prob(F-statistic)	0.000000

=WHI l'AP pUIue latine.
Brésil (Au niveau et En différence)

Null Hypothesis: BOVESPA has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 15 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.544407 0.8139

Test critical values: 1% level -3.965500

5% level -3.413457

10% level -3.128770

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BOVESPA)

Method: Least Squares

Date: 05/30/11 Time: 11:31

Sample (adjusted): 17 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	1155.162	716.1063	1.613115	0.1070
@TREND(1)	0.879554	0.734394	1.197660	0.2313
R-squared	0.425773	Mean dependent var		35.09157
Adjusted R-squared	0.417746	S.D. dependent var		8494.015
S.E. of regression	6481.409	Akaike info criterion		20.40574
Sum squared resid	5.11E+10	Schwarz criterion		20.48040
Log likelihood	-12572.34	Hannan-Quinn criter.		20.43383
F-statistic	53.03711	Durbin-Watson stat		1.985285
Prob(F-statistic)	0.000000

Null Hypothesis: D(BOVESPA) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -56.53415 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BOVESPA,2)

Method: Least Squares

Date: 05/30/11 Time: 11:31

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(BOVESPA(-1))	-1.439331	0.025460 -56.53415	0.0000
C	30.36987	430.6823 0.070516	0.9438
@TREND(1)	0.027810	0.596651 0.046609	0.9628
R-squared	0.719665	Mean dependent var	-0.455128
Adjusted R-squared	0.719214	S.D. dependent var	14330.59
S.E. of regression	7593.664	Akaike info criterion	20.71042
Sum squared resid	7.18E+10	Schwarz criterion	20.72275
Log likelihood	-12920.30	Hannan-Quinn criter.	20.71505
F-statistic	1598.055	Durbin-Watson stat	2.270286
Prob(F-statistic)	0.000000

Mexique (Au niveau et En différence)

Null Hypothesis: IPC has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 9 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.058490 0.5679

Test critical values: 1% level -3.965464

5% level -3.413440

10% level -3.128760

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IPC) Method: Least Squares

Date: 05/30/11 Time: 11:32 Sample (adjusted): 11 1250 Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	644.0286	259.1141	2.485502	0.0131
@TREND(1)	0.153498	0.221016	0.694510	0.4875
R-squared	0.435315	Mean dependent var		26.27262
Adjusted R-squared	0.430257	S.D. dependent var		2890.722
S.E. of regression	2181.955	Akaike info criterion		18.22346
Sum squared resid	5.85E+09	Schwarz criterion		18.27304
Log likelihood	-11286.55	Hannan-Quinn criter.		18.24211
F-statistic	86.06039	Durbin-Watson stat		1.991266
Prob(F-statistic)	0.000000

Null Hypothesis: D(IPC) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -60.19589 0.0001

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IPC,2)

Method: Least Squares

Date: 05/30/11 Time: 11:32

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(IPC(-1))	-1.488549	0.024728 -60.19589	0.0000
C	30.13728	146.1662 0.206185	0.8367
@TREND(1)	-0.011471	0.202492 -0.056651	0.9548
R-squared	0.744277	Mean dependent var	0.215481
Adjusted R-squared	0.743866	S.D. dependent var	5092.203
S.E. of regression	2577.148	Akaike info criterion	18.54916
Sum squared resid	8.27E+09	Schwarz criterion	18.56149
Log likelihood	-11571.67	Hannan-Quinn criter.	18.55379
F-statistic	1811.773	Durbin-Watson stat	2.335918
Prob(F-statistic)	0.000000

Argentine (Au niveau et En différence)

Null Hypothesis: MERVAL has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 11 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.961026 0.6214

Test critical values: 1% level -3.965476

5% level -3.413445

10% level -3.128763

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(MERVAL)

Method: Least Squares

Date: 05/30/11 Time: 11:32

Sample (adjusted): 13 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	61.68896	31.73533	1.943858	0.0521
@TREND(1)	0.003945	0.018111	0.217839	0.8276
R-squared	0.422839	Mean dependent var		0.774515
Adjusted R-squared	0.416709	S.D. dependent var		296.1339
S.E. of regression	226.1677	Akaike info criterion		13.69167
Sum squared resid	62609846	Schwarz criterion		13.74959
Log likelihood	-8461.147	Hannan-Quinn criter.		13.71346
F-statistic	68.97900	Durbin-Watson stat		2.007269
Prob(F-statistic)	0.000000

Null Hypothesis: D(MERVAL) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -58.93437 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(MERVAL,2)

Method: Least Squares

Date: 05/30/11 Time: 11:32

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(MERVAL(-1))	-1.472249	0.024981 -58.93437	0.0000
C	0.365839	15.00572 0.024380	0.9806
@TREND(1)	0.001219	0.020788 0.058650	0.9532
R-squared	0.736132	Mean dependent var	0.071210
Adjusted R-squared	0.735708	S.D. dependent var	514.6466
S.E. of regression	264.5766	Akaike info criterion	13.99654
Sum squared resid	87150962	Schwarz criterion	14.00887
Log likelihood	-8730.841	Hannan-Quinn criter.	14.00118
F-statistic	1736.630	Durbin-Watson stat	2.299443
Prob(F-statistic)	0.000000

=14J1de l' IriTXIT

Tunisie (Au niveau et En différence)

Null Hypothesis: TUNINDEX has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 22 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.335111 0.4139

Test critical values: 1% level -3.965693

5% level -3.413552

10% level -3.128826

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(TUNINDEX)

Method: Least Squares

Date: 05/30/11 Time: 11:51

Sample (adjusted): 24 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	127.6034	56.27143	2.267641	0.0235
@TREND(1)	0.238132	0.092467	2.575327	0.0101
R-squared	0.379909	Mean dependent var		2.507024
Adjusted R-squared	0.367275	S.D. dependent var		383.5347
S.E. of regression	305.0789	Akaike info criterion		14.29958
Sum squared resid	1.10E+08	Schwarz criterion		14.40541
Log likelihood	-8576.198	Hannan-Quinn criter.		14.33944
F-statistic	30.07167	Durbin-Watson stat		2.000385
Prob(F-statistic)	0.000000

Null Hypothesis: D(TUNINDEX) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -49.65332 0.0000

Test critical values: 1% level -3.965434

5% level -3.413425

10% level -3.128751

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(TUNINDEX,2) Method: Least Squares

Date: 05/30/11 Time: 11:52

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
D(TUNINDEX(-1))	-1.329997	0.026786 -49.65332	0.0000
C	1.027881	22.37258 0.045944	0.9634
@TREND(1)	0.004084	0.031056 0.131489	0.8954
R-squared	0.664999	Mean dependent var	0.023671
Adjusted R-squared	0.664460	S.D. dependent var	680.4216
S.E. of regression	394.1400	Akaike info criterion	14.79370
Sum squared resid	1.93E+08	Schwarz criterion	14.80605
Log likelihood	-9206.076	Hannan-Quinn criter.	14.79834
F-statistic	1232.726	Durbin-Watson stat	2.199634
Prob(F-statistic)	0.000000

Egypte (Au niveau et En différence)

Null Hypothesis: EGX30 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 4 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.449064 0.8461

Test critical values: 1% level -3.965434

5% level -3.413425

10% level -3.128751

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EGX30)

Method: Least Squares

Date: 05/30/11 Time: 11:51

Sample (adjusted): 6 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	40.40381	18.90378 2.137340	0.0328
@TREND(1)	-0.011852	0.018759 -0.631801	0.5276
R-squared	0.112462	Mean dependent var	3.179462
Adjusted R-squared	0.108161	S.D. dependent var	226.2490
S.E. of regression	213.6633	Akaike info criterion	13.57229
Sum squared resid	56517208	Schwarz criterion	13.60111
Log likelihood	-8441.749	Hannan-Quinn criter.	13.58313
F-statistic	26.14504	Durbin-Watson stat	1.988037
Prob(F-statistic)	0.000000

Null Hypothesis: D(EGX30) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -34.81357 0.0000

Test critical values: 1% level -3.965416

5% level -3.413416

10% level -3.128746

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EGX30,2)

Method: Least Squares

Date: 05/30/11 Time: 11:51

Sample (adjusted): 3 1250

Included observations: 1250 after adjustments

Variable		Coefficient	Std. Error t-Statistic	Prob.
D(EGX30(-1))		-0.987878	0.028376 -34.81357	0.0000
C		13.96180	12.82819 1.088369	0.2766
@TREND(1)		-0.017236	0.017769 -0.969978	0.3322
R-squared		0.493283	Mean dependent var	-0.338117
Adjusted R-squared		0.492469	S.D. dependent var	317.3484
S.E. of regression		226.0828	Akaike info criterion	13.68208
Sum squared resid		63636233	Schwarz criterion	13.69441
Log likelihood		-8534.618	Hannan-Quinn criter.	13.68672
F-statistic		605.9964	Durbin-Watson stat	1.989895
Prob(F-statistic)		0.000000
	Zone de l'Europe

Belgique (Au niveau et En différence)

Null Hypothesis: BEL20 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.562716 0.8071

Test critical values: 1% level -3.965410

5% level -3.413413

10% level -3.128744

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BEL20)

Method: Least Squares

Date: 05/30/11 Time: 11:40

Sample (adjusted): 2 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
BEL20(-1)	-0.002561	0.001639 -1.562716	0.1184
C	12.59213	7.271996 1.731592	0.0836
@TREND(1)	-0.007121	0.004008 -1.776428	0.0759
R-squared	0.002892	Mean dependent var	-0.379271
Adjusted R-squared	0.001291	S.D. dependent var	42.14806
S.E. of regression	42.12084	Akaike info criterion	10.32136
Sum squared resid	2210610.	Schwarz criterion	10.33368
Log likelihood	-6442.690	Hannan-Quinn criter.	10.32599
F-statistic	1.806707	Durbin-Watson stat	1.972537
Prob(F-statistic)	0.164624

Null Hypothesis: D(BEL20) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 21 (Automatic based on Modified SIC, MAXLAG=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.540594 0.0000

Test critical values: 1% level -3.965543

5% level -3.413478

10% level -3.128783

*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BEL20,2)

Method: Least Squares

Date: 05/30/11 Time: 11:40

Sample (adjusted): 24 1250

Included observations: 1250 after adjustments

Variable	Coefficient	Std. Error t-Statistic	Prob.
C	1.357337	2.497141 0.543557	0.5868
@TREND(1)	-0.002682	0.003448 -0.777831	0.4368
R-squared	0.504682	Mean dependent var	0.031410
Adjusted R-squared	0.495212	S.D. dependent var	59.57730
S.E. of regression	42.32875	Akaike info criterion	10.34818
Sum squared resid	2155443.	Schwarz criterion	10.44817
Log likelihood	-6324.606	Hannan-Quinn criter.	10.38580
F-statistic	53.29309	Durbin-Watson stat	1.998207
Prob(F-statistic)	0.000000

Annexe 4 : Test de Co-intégration

Détermination du nombre de retard L'Afrique

	VAR 1	VAR 2	VAR 3	VAR 4
AIC	28.522	28.447	28.279	28.245
SC	28.547	28.488	28.336	28.319

Co-intégration

Date: 05/30/11 Time: 12:08

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments Trend assumption: Linear deterministic trend Series: TUNINDEX EGX30

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.010609 17.06710 15.49471 0.0288

At most 1 0.003083 3.831361 3.841466 0.0503

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.010609 13.23574 14.26460 0.0722

At most 1 0.003083 3.831361 3.841466 0.0503

130

Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

TUNINDEX EGX30

-0.001294 0.000120

0.000111 -0.000451

Unrestricted Adjustment Coefficients (alpha):

D(TUNINDEX) 37.78661 -0.856175

D(EGX30) 1.115461 11.92958

1 Cointegrating Equation(s): Log likelihood -17510.11

Normalized cointegrating coefficients (standard error in parentheses)

TUNINDEX EGX30

1.000000 -0.092706

(0.09328)

Adjustment coefficients (standard error in parentheses)

D(TUNINDEX) -0.048887

(0.01346)

D(EGX30) -0.001443

(0.00793)

VECM

Vector Error Correction Estimates

Date: 05/30/11 Time: 12:10

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq:	CointEq1
TUNINDEX(-1)	1.000000
EGX30(-1)	-0.092706
	(0.09328)
	[-0.99387]
C	-1999.875
Error Correction:	D(TUNINDEX)	D(EGX30)
CointEq1	-0.048887	-0.001443
	(0.01346)	(0.00793)
	[-3.63280]	[-0.18206]
D(TUNINDEX(-1))	-0.458310	0.004906
	(0.02934)	(0.01728)
	[-15.6209]	[ 0.28388]

D(TUNINDEX(-2)) -0.367095 0.008873

(0.02976) (0.01753)

[-12.3342] [ 0.50612]

D(TUNINDEX(-3)) -0.201106 0.004213

(0.02796) (0.01647)

[-7.19282] [ 0.25584]

D(EGX30(-1)) 0.035288 0.027945

(0.04840) (0.02851)

[ 0.72911] [ 0.98023]

D(EGX30(-2)) 0.008266 -0.310527

(0.04613) (0.02717)

[ 0.17917] [-11.4271]

D(EGX30(-3)) 0.000116 0.037777

(0.04850) (0.02857)

[ 0.00238] [ 1.32244]

C 5.306338 (10.4074)	3.904617 (6.13027)
[ 0.50986]	[ 0.63694]
R-squared 0.235406	0.096835
Adj. R-squared 0.231066	0.091708
Sum sq. resids 1.66E+08	57438218
S.E. equation 366.4228	215.8335
F-statistic 54.23165	18.88560
Log likelihood -9083.490	-8426.654
Akaike AIC 14.65188	13.59332
Schwarz SC 14.68491	13.62635
Mean dependent 2.692554	3.046640
S.D. dependent 417.8668	226.4676
Determinant resid covariance (dof adj.)	6.25E+09
Determinant resid covariance	6.17E+09
Log likelihood	-17510.11
Akaike information criterion	28.24836
Schwarz criterion	28.32267

^CausalitéPairwise Granger Causality Tests

Date: 05/30/11 Time: 12:14 Sample: 1 1250

Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

LNEGX30 does not Granger Cause TUNDEX 1195 0.35261 0.7029

TUNDEX does not Granger Cause LNEGX30 0.26659 0.7660

L'Europe

	VAR 1	VAR 2	VAR 3	VAR 4
AIC	84.418	83.89	83.63	84.328
SC	84.648	84.328	84.269	84.164

Co-integration

Date: 05/30/11 Time: 12:21

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments

Trend assumption: Linear deterministic trend

Series: AEX BEL20 CAC40 DAX FTSE100 MIB30 SSMI Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized			Trace		0.05
No. of CE(s)	Eigenvalue		Statistic		Critical Value		Prob.**
None *	0.164028		481.9300		125.6154		0.0001
At most 1 *	0.105691		258.6972		95.75366		0.0000
At most 2 *	0.051739		119.5148		69.81889		0.0000
At most 3 * 0.028793 53.32009 47.85613									0.0141
At most 4 0.007990 16.91762 29.79707									0.6461
At most 5 0.005310 6.921606 15.49471									0.5868
At most 6 0.000231 0.287433 3.841466									0.5919
Trace test indicates 4 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05 No. of CE(s) Eigenvalue Statistic Critical Value									Prob.**
None * 0.164028 223.2328 46.23142									0.0000
At most 1 * 0.105691 139.1824 40.07757									0.0001
At most 2 * 0.051739 66.19468 33.87687									0.0000
At most 3 * 0.028793 36.40247 27.58434									0.0029
At most 4 0.007990 9.996014 21.13162									0.7451
At most 5 0.005310 6.634173 14.26460									0.5333
At most 6 0.000231 0.287433 3.841466									0.5919
Max-eigenvalue test indicates 4 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
AEX BEL20 CAC40 DAX									FTSE100			MIB30		SSMI
0.034568		-0.000769		-0.000404		0.000212		-0.004491			-8.35E-05		0.001268
-0.007753		-0.000220		0.011351		-0.001289		-0.000295			-0.000628		-0.002328
0.021450		0.003925		-0.004807		-0.001709		0.000575			-0.000409		0.002591
-0.040584		0.010464		-0.003706		0.000933		-0.000365			-0.000121		-0.001267
-0.072717		0.001981		0.005398		0.000509		-2.67E-05			-5.53E-05		0.000418
-0.027666		-0.001601		0.003155		-0.000900		-4.89E-05			0.000232		-7.66E-05
0.005651		0.000136		-0.000372		-0.000217		-7.14E-05			0.000113		-3.23E-05

Unrestricted Adjustment Coefficients (alpha):

D(AEX) 0.023321 -0.096130 0.455220 0.611344 0.034319 0.235723 0.011370

D(BEL20) 0.729314 0.201091 2.118592 -0.814212 -0.869777 2.724958 -0.077413

D(CAC40) 1.258077 -1.711614 6.453219 7.176462 -1.277136 2.190449 0.114149

D(DAX) 2.895387 58.92608 27.07687 -6.041505 0.194546 -0.649005 1.155793

D(FTSE100) 152.5412 18.68268 -23.50317 11.07254 -0.178076 3.241806 -0.043924

D(MIB30) 2.990069 275.1332 133.9618 -6.465772 10.05649 -7.144862 -4.690851

D(SSMI) -39.72783 44.46723 -35.06098 18.60810 -8.209885 4.514054 -0.088367

1 Cointegrating Equation(s): Log likelihood -51840.25

Normalized cointegrating coefficients (standard error in parentheses)

AEX BEL20 CAC40 DAX FTSE100 MIB30 SSMI

1.000000 -0.022232 -0.011678 0.006143 -0.129930 -0.002417 0.036681

(0.01952) (0.02468) (0.00461) (0.00817) (0.00151) (0.00685)

Adjustment coefficients (standard error in parentheses)

D(AEX) 0.000806

(0.00525)

D(BEL20) 0.025211

(0.03993)

D(CAC40) 0.043489

(0.06088)

D(DAX) 0.100088

(0.23014)

D(FTSE100) 5.273059

(0.36829)

D(MIB30) 0.103361

(1.07477)

D(SSMI) -1.373316

(0.27042)

136

2 Cointegrating Equation(s): Log likelihood -51770.66

Normalized cointegrating coefficients (standard error in parentheses)

AEX	BEL20	CAC40	DAX	FTSE100	MIB30	SSMI
1.000000	0.000000	-0.649325	0.076453	-0.056158	0.034232	0.152423
		(0.05177)	(0.01187)	(0.02102)	(0.00358)	(0.01758)
0.000000	1.000000	-28.68091	3.162474	3.318224	1.648457	5.205995
		(2.30712)	(0.52886)	(0.93683)	(0.15967)	(0.78342)
Adjustment coefficients (standard error in parentheses)
D(AEX)	0.001551	3.25E-06
	(0.00538)	(0.00012)
D(BEL20)	0.023652	-0.000605
	(0.04092)	(0.00092)
D(CAC40)	0.056759	-0.000590
	(0.06237)	(0.00141)
D(DAX)	-0.356750	-0.015204
	(0.22818)	(0.00515)
D(FTSE100)	5.128217	-0.121348
	(0.37696)	(0.00851)
D(MIB30)	-2.029675	-0.062899
	(1.06562)	(0.02405)
D(SSMI)	-1.718058	0.020738
	(0.27345)	(0.00617)
3 Cointegrating Equation(s):		Log likelihood	-51737.56
Normalized cointegrating coefficients (standard error in parentheses)
AEX	BEL20	CAC40	DAX	FTSE100	MIB30	SSMI
1.000000	0.000000	0.000000	-0.007651	-0.116156	-0.006389	0.039775
			(0.00399)	(0.00769)	(0.00067)	(0.00560)
0.000000	1.000000	0.000000	-0.552417	0.668088	-0.145809	0.230287
			(0.06727)	(0.12951)	(0.01126)	(0.09424)
0.000000	0.000000	1.000000	-0.129525	-0.092401	-0.062560	-0.173485
			(0.01692)	(0.03257)	(0.00283)	(0.02370)
Adjustment coefficients (standard error in parentheses)
D(AEX)	0.011316	0.001790	-0.003289
	(0.00627)	(0.00061)	(0.00187)
D(BEL20)	0.069097	0.007710	-0.008196
	(0.04777)	(0.00462)	(0.01423)
D(CAC40)	0.195184	0.024736	-0.050958
	(0.07251)	(0.00701)	(0.02159)
D(DAX)	0.224061	0.091062	0.537560
	(0.26482)	(0.02561)	(0.07887)
D(FTSE100)	4.624063	-0.213589	0.263477
	(0.43980)	(0.04253)	(0.13098)
D(MIB30)	0.843868	0.462847	2.477955
	(1.23559)	(0.11949)	(0.36798)
D(SSMI)	-2.470133	-0.116863	0.689341
	(0.31697)	(0.03065)	(0.09440)
4 Cointegrating Equation(s):		Log likelihood	-51719.36
Normalized cointegrating coefficients (standard error in parentheses)
AEX	BEL20	CAC40	DAX	FTSE100	MIB30	SSMI
1.000000	0.000000	0.000000	0.000000	-0.132189	-0.005210	0.036280
				(0.00726)	(0.00061)	(0.00508)
0.000000	1.000000	0.000000	0.000000	-0.489538	-0.060646	-0.022055
				(0.06563)	(0.00549)	(0.04588)
0.000000	0.000000	1.000000	0.000000	-0.363828	-0.042591	-0.232651
				(0.03766)	(0.00315)	(0.02633)
0.000000	0.000000	0.000000	1.000000	-2.095564	0.154165	-0.456795
				(0.22497)	(0.01883)	(0.15728)

Adjustment coefficients (standard error in parentheses)

D(AEX) -0.013495 0.008187 -0.005555 -7.88E-05

(0.00872) (0.00168) (0.00194) (0.00035)

D(BEL20)	0.102141		-0.000810			-0.005178	-0.004486
	(0.06687)		(0.01292)			(0.01485)	(0.00270)
D(CAC40)	-0.096068		0.099830			-0.077557	-0.001861
	(0.10082)		(0.01948)			(0.02239)	(0.00408)
D(DAX)	0.469251		0.027844			0.559952	-0.127284
	(0.37064)		(0.07162)			(0.08232)	(0.01499)
D(FTSE100)	4.174692		-0.097728			0.222439	0.058817
	(0.61549)		(0.11893)			(0.13670)	(0.02489)
D(MIB30)	1.106277		0.395191			2.501919	-0.589132
	(1.72993)		(0.33427)			(0.38422)	(0.06997)
D(SSMI)	-3.225329		0.077850			0.620373	0.011535
	(0.44271)		(0.08554)			(0.09833)	(0.01791)
5 Cointegrating Equation(s):			Log likelihood			-51714.36
Normalized cointegrating coefficients (standard error in parentheses)
AEX	BEL20		CAC40			DAX	FTSE100		MIB30		SSMI
1.000000	0.000000		0.000000			0.000000	0.000000		-0.001402		-0.071257
									(0.00235)		(0.01491)
0.000000	1.000000		0.000000			0.000000	0.000000		-0.046543		-0.420295
									(0.01051)		(0.06669)
0.000000	0.000000		1.000000			0.000000	0.000000		-0.032111		-0.528627
									(0.00758)		(0.04810)
0.000000	0.000000		0.000000			1.000000	0.000000		0.214531		-2.161544
									(0.04413)		(0.28006)
0.000000	0.000000		0.000000			0.000000	1.000000		0.028807		-0.813503
									(0.01839)		(0.11668)
Adjustment coefficients (standard error in parentheses)
D(AEX)	-0.015990		0.008255			-0.005370	-6.13E-05		-3.87E-05
	(0.01399)		(0.00171)			(0.00210)	(0.00036)		(0.00068)
D(BEL20)	0.165389		-0.002533			-0.009873	-0.004928		-0.001798
	(0.10724)		(0.01312)			(0.01610)	(0.00277)		(0.00525)
D(CAC40)	-0.003198		0.097300			-0.084450	-0.002510		-0.004021
	(0.16168)		(0.01978)			(0.02427)	(0.00417)		(0.00791)
D(DAX)	0.455104		0.028230			0.561002	-0.127185		-0.012661
	(0.59448)		(0.07273)			(0.08926)	(0.01534)		(0.02910)
D(FTSE100)	4.187641		-0.098080			0.221477	0.058726		-0.708188
	(0.98722)		(0.12077)			(0.14822)	(0.02547)		(0.04832)
D(MIB30)	0.374996		0.415113			2.556201	-0.584017		-0.015672
	(2.77461)		(0.33943)			(0.41659)	(0.07159)		(0.13581)
D(SSMI)	-2.628328		0.061585			0.576058	0.007359		0.138582
	(0.70976)		(0.08683)			(0.10656)	(0.01831)		(0.03474)
6 Cointegrating Equation(s):			Log likelihood			-51711.04
Normalized cointegrating coefficients (standard error in parentheses)
AEX	BEL20		CAC40			DAX	FTSE100		MIB30		SSMI
1.000000	0.000000		0.000000			0.000000	0.000000		0.000000		-0.081534
											(0.00688)
0.000000	1.000000		0.000000			0.000000	0.000000		0.000000		-0.761600
											(0.06325)
0.000000	0.000000		1.000000			0.000000	0.000000		0.000000		-0.764096
											(0.04443)
0.000000	0.000000		0.000000			1.000000	0.000000		0.000000		-0.588376
											(0.16111)
0.000000	0.000000		0.000000			0.000000	1.000000		0.000000		-0.602261
											(0.03729)
0.000000	0.000000		0.000000			0.000000	0.000000		1.000000		-7.333040
											(0.94100)
Adjustment coefficients (standard error in parentheses)
D(AEX)	-0.022512		0.007877			-0.004626	-0.000273		-5.02E-05		-0.000149
	(0.01458)		(0.00173)			(0.00215)	(0.00039)		(0.00068)		(0.00012)
D(BEL20)	0.090000		-0.006895			-0.001276	-0.007381		-0.001931		-0.000274
	(0.11162)		(0.01322)			(0.01647)	(0.00295)		(0.00524)		(0.00092)
D(CAC40)	-0.063799		0.093793			-0.077540	-0.004482		-0.004128		-0.001959
	(0.16857)		(0.01996)			(0.02487)	(0.00445)		(0.00791)		(0.00139)
D(DAX)		0.473060		0.029269	0.558954			-0.126601		-0.012629		-0.047766
		(0.62023)		(0.07344)	(0.09151)			(0.01638)		(0.02910)		(0.00512)
D(FTSE100)		4.097953		-0.103270	0.231705			0.055809		-0.708347		-0.015467
		(1.02993)		(0.12196)	(0.15195)			(0.02721)		(0.04832)		(0.00849)
D(MIB30)		0.572667		0.426550	2.533661			-0.577587		-0.015323		-0.229325
		(2.89469)		(0.34277)	(0.42708)			(0.07646)		(0.13581)		(0.02387)
D(SSMI)		-2.753214		0.054360	0.590299			0.003296		0.138361		-0.011063
		(0.74039)		(0.08767)	(0.10923)			(0.01956)		(0.03474)		(0.00611)

VECM

Vector Error Correction Estimates

Date: 05/30/11 Time: 12:21

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

AEX(-1) 1.000000

BEL20(-1) -0.022232

(0.01952)

[-1.13919]

CAC40(-1) -0.011678

(0.02468)

[-0.47323]

DAX(-1) 0.006143

(0.00461)

[ 1.33296]

FTSE100(-1) -0.129930

(0.00817)

[-15.9069]

MIB30(-1) -0.002417

(0.00151)

[-1.60295]

SSMI(-1) 0.036681

(0.00685)

[ 5.35757]

C 208.2633

Error Correction: D(AEX) D(BEL20) D(CAC40) D(DAX) D(FTSE100) D(MIB30) D(SSMI)

CointEq1 0.000806 0.025211 0.043489 0.100088 5.273059 0.103361 -1.373316

(0.00525) (0.03993) (0.06088) (0.23014) (0.36829) (1.07477) (0.27042)

[ 0.15345] [ 0.63138] [ 0.71433] [ 0.43489] [ 14.3178] [ 0.09617] [-5.07843]

D(AEX(-1)) 0.196660 2.852896 1.830724 0.964952 -0.339623 -9.602110 3.048412

(0.08552) (0.65001) (0.99107) (3.74646) (5.99525) (17.4959) (4.40212)

[ 2.29955] [ 4.38898] [ 1.84722] [ 0.25756] [-0.05665] [-0.54882] [ 0.69249]

D(AEX(-2)) -0.145930 -0.079490 -2.079784 1.774018 5.336141 1.045396 3.471691

(0.08568) (0.65126) (0.99296) (3.75361) (6.00670) (17.5293) (4.41052)

[-1.70311] [-0.12206] [-2.09452] [ 0.47262] [ 0.88836] [ 0.05964] [ 0.78714]

D(AEX(-3)) 0.026540 -1.062147 0.088737 2.944510 -3.677627 31.48520 0.702597

(0.08521) (0.64763) (0.98744) (3.73273) (5.97328) (17.4318) (4.38599)

[ 0.31148] [-1.64005] [ 0.08987] [ 0.78884] [-0.61568] [ 1.80620] [ 0.16019]

D(BEL20(-1)) 0.022909 -0.143406 0.254962 0.371046 0.725088 1.541486 0.687198

(0.00446) (0.03387) (0.05164) (0.19522) (0.31241) (0.91170) (0.22939)

[ 5.14058] [-4.23379] [ 4.93692] [ 1.90061] [ 2.32097] [ 1.69079] [ 2.99575]

D(BEL20(-2)) 0.006403 -0.031288 0.064764 0.529527 0.546551 1.726186 0.292853

(0.00463) (0.03517) (0.05363) (0.20273) (0.32441) (0.94673) (0.23821)

[ 1.38355] [-0.88955] [ 1.20764] [ 2.61203] [ 1.68474] [ 1.82331] [ 1.22941]

D(BEL20(-3)) 0.005314 0.008555 0.009840 0.476399 0.078105 2.846244 -0.045368

(0.00434) (0.03296) (0.05025) (0.18997) (0.30399) (0.88713) (0.22321)

[ 1.22544] [ 0.25957] [ 0.19581] [ 2.50783] [ 0.25693] [ 3.20836] [-0.20325]

D(CAC40(-1)) -0.029807 -0.040019 -0.332149 0.616962 -0.244969 0.717107 0.073005

(0.00732) (0.05562) (0.08481) (0.32058) (0.51301) (1.49712) (0.37669)

[-4.07306] [-0.71949] [-3.91658] [ 1.92449] [-0.47751] [ 0.47899] [ 0.19381]

D(CAC40(-2)) 0.008033 0.039834 0.083231 0.163735 -0.731970 1.687685 -0.103343

(0.00732) (0.05563) (0.08482) (0.32064) (0.51310) (1.49738) (0.37675)

[ 1.09744] [ 0.71604] [ 0.98127] [ 0.51065] [-1.42656] [ 1.12709] [-0.27430]

D(CAC40(-3)) -0.008977 0.066696 -0.070384 0.083483 0.218564 -1.375739 0.019420

(0.00727) (0.05528) (0.08429) (0.31863) (0.50989) (1.48801) (0.37440)

[-1.23426] [ 1.20644] [-0.83502] [ 0.26200] [ 0.42865] [-0.92455] [ 0.05187]

D(DAX(-1)) -0.000347 -0.006931 -0.005571 -0.732005 0.326012 -0.498287 0.076858

(0.00101) (0.00771) (0.01175) (0.04443) (0.07110) (0.20749) (0.05221)

[-0.34236] [-0.89915] [-0.47399] [-16.4750] [ 4.58521] [-2.40147] [ 1.47217]

D(DAX(-2)) -0.002407 -0.019322 -0.027662 -0.586939 0.172197 -0.777929 0.074634

(0.00112) (0.00850) (0.01296) (0.04897) (0.07837) (0.22870) (0.05754)

[-2.15310] [-2.27406] [-2.13520] [-11.9850] [ 2.19727] [-3.40149] [ 1.29700]

D(DAX(-3)) -0.000395 -0.000338 0.000121 -0.455492 0.083365 -0.936259 0.108990

(0.00098) (0.00746) (0.01138) (0.04302) (0.06885) (0.20092) (0.05055)

[-0.40169] [-0.04533] [ 0.01062] [-10.5869] [ 1.21082] [-4.65979] [ 2.15591]

D(FTSE100(-1)) 0.000283 0.004959 0.006435 -0.002136 -0.200321 -0.039135 -0.159889

(0.00064) (0.00484) (0.00738) (0.02789) (0.04464) (0.13027) (0.03278)

[ 0.44492] [ 1.02472] [ 0.87212] [-0.07658] [-4.48771] [-0.30042] [-4.87825]

D(FTSE100(-2)) -5.94E-05 0.003303 0.000200 -0.027275 -0.097493 -0.073939 -0.150426

(0.00056) (0.00423) (0.00644) (0.02435) (0.03897) (0.11374) (0.02862)

[-0.10689] [ 0.78162] [ 0.03097] [-1.11989] [-2.50152] [-0.65009] [-5.25650]

D(FTSE100(-3)) 2.37E-05 0.002730 0.001616 0.060033 0.009479 0.285405 0.055499

(0.00042) (0.00320) (0.00488) (0.01845) (0.02952) (0.08615) (0.02168)

[ 0.05630] [ 0.85284] [ 0.33117] [ 3.25428] [ 0.32111] [ 3.31293] [ 2.56042]

D(MIB30(-1)) -5.03E-05 0.000907 0.000141 -0.017571 0.013809 -0.647967 -0.006502

(0.00023) (0.00173) (0.00264) (0.00996) (0.01594) (0.04652) (0.01170)

[-0.22108] [ 0.52467] [ 0.05333] [-1.76397] [ 0.86633] [-13.9295] [-0.55550]

D(MIB30(-2)) 0.000540 0.004680 0.006431 -0.017226 0.021062 -0.421731 -0.000196

(0.00025) (0.00189) (0.00288) (0.01087) (0.01740) (0.05077) (0.01277)

[ 2.17462] [ 2.48115] [ 2.23612] [-1.58451] [ 1.21066] [-8.30672] [-0.01535]

D(MIB30(-3)) 0.000152 0.000460 0.000814 -0.019429 0.013038 -0.263843 -0.004297

(0.00022) (0.00168) (0.00257) (0.00970) (0.01553) (0.04532) (0.01140)

[ 0.68503] [ 0.27349] [ 0.31702] [-2.00200] [ 0.83955] [-5.82169] [-0.37679]

D(SSMI(-1)) -7.40E-05 -0.002428 -0.001010 0.029268 -0.136217 0.238025 -0.647691

(0.00054) (0.00412) (0.00628) (0.02374) (0.03799) (0.11086) (0.02789)

[-0.13647] [-0.58940] [-0.16086] [ 1.23289] [-3.58578] [ 2.14707] [-23.2201]

D(SSMI(-2)) -0.000582 -0.005066 -0.007380 0.016615 -0.097617 0.230174 -0.418012

(0.00061) (0.00460) (0.00702) (0.02653) (0.04246) (0.12392) (0.03118)

[-0.96047] [-1.10044] [-1.05137] [ 0.62617] [-2.29895] [ 1.85751] [-13.4072]

D(SSMI(-3)) -0.000441 -0.003412 -0.004692 0.010680 -0.047369 0.155393 -0.205658

(0.00053) (0.00401) (0.00611) (0.02310) (0.03696) (0.10787) (0.02714)

[-0.83699] [-0.85149] [-0.76784] [ 0.46238] [-1.28152] [ 1.44055] [-7.57734]

C -0.001863 -0.289613 (0.15218) (1.15664) [-0.01224] [-0.25039]						0.114079 (1.76352) [ 0.06469]			3.826050 (6.66646) [ 0.57393]			0.997372 (10.6680) [ 0.09349]		-11.95328 (31.1323) [-0.38395]				1.879133 (7.83315) [ 0.23990]
R-squared 0.048695 0.082476						0.048989			0.556566			0.489530		0.486890				0.388942
Adj. R-squared 0.031582 0.065971						0.031882			0.548589			0.480347		0.477660				0.377950
Sum sq. resids 35196.42 2033283.						4726747.			67545040			1.73E+08		1.47E+09				93255717
S.E. equation 5.364583 40.77422						62.16815			235.0085			376.0712		1097.485				276.1369
F-statistic 2.845558 4.997031						2.863642			69.77360			53.31048		52.75028				35.38397
Log likelihood -3849.444 -6376.620						-6902.174			-8559.078			-9144.894		-10479.36				-8760.027
Akaike AIC 6.215801 10.27226						11.11585			13.77541			14.71572		16.85772				14.09796
Schwarz SC 6.310454 10.36692						11.21050			13.87006			14.81037		16.95237				14.19261
Mean dependent -0.023114 -0.361790						-0.073836			1.313002			0.552167		-7.232592				0.715730
S.D. dependent 5.451357 42.18960						63.18351			349.7820			521.6912		1518.526				350.1160
Determinant resid covariance (dof adj.) 3.69E+27
Determinant resid covariance 3.24E+27
Log likelihood -51840.25
Akaike information criterion 83.48034
Schwarz criterion 84.17171
Causalité
Pairwise Granger Causality Tests
Date: 05/30/11 Time: 12:23
Sample: 1 1250
Lags: 2
Null Hypothesis:						Obs			F-Statistic			Prob.
BE20 does not Granger Cause AEX						1247			15.4092			2.E-07
AEX does not Granger Cause BE20									12.0595			6.E-06
CAC40 does not Granger Cause AEX						1247			7.00492			0.0009
AEX does not Granger Cause CAC40									5.95261			0.0027
DAX does not Granger Cause AEX AEX does not Granger Cause DAX				1239			0.46252 252.221			0.6298 1.E-92
FTSE100 does not Granger Cause AEX				1219			0.53042			0.5885
AEX does not Granger Cause FTSE100							6.58360			0.0014
MIB30 does not Granger Cause AEX				1235			14.8616			4.E-07
AEX does not Granger Cause MIB30							188.739			3.E-72
SSMI does not Granger Cause AEX				1239			3.57518			0.0283
AEX does not Granger Cause SSMI							3.69904			0.0250
CAC40 does not Granger Cause BE20				1247			8.15722			0.0003
BE20 does not Granger Cause CAC40							16.2514			1.E-07
DAX does not Granger Cause BE20				1239			1.05474			0.3486
BE20 does not Granger Cause DAX							127.902			3.E-51
FTSE100 does not Granger Cause BE20				1219			1.40439			0.2459
BE20 does not Granger Cause FTSE100							48.2435			7.E-21
MIB30 does not Granger Cause BE20				1235			15.1355			3.E-07
BE20 does not Granger Cause MIB30							97.8911			4.E-40
SSMI does not Granger Cause BE20				1239			3.41556			0.0332
BE20 does not Granger Cause SSMI							23.7874			7.E-11
DAX does not Granger Cause CAC40				1239			1.06033			0.3467
CAC40 does not Granger Cause DAX							255.165			2.E-93
FTSE100 does not Granger Cause CAC40				1219			2.04248			0.1302
CAC40 does not Granger Cause FTSE100							6.88765			0.0011
MIB30 does not Granger Cause CAC40				1235			12.4472			4.E-06
CAC40 does not Granger Cause MIB30							177.961			1.E-68
SSMI does not Granger Cause CAC40				1239			7.29282			0.0007
CAC40 does not Granger Cause SSMI							4.48664			0.0114
				146
FTSE100 does not Granger Cause DAX DAX does not Granger Cause FTSE100					1215		186.999 5.80865			2.E-71 0.0031
MIB30 does not Granger Cause DAX					1235		1.33238			0.2642
DAX does not Granger Cause MIB30							173.669			4.E-67
SSMI does not Granger Cause DAX					1231		102.042			1.E-41
DAX does not Granger Cause SSMI							6.00895			0.0025
MIB30 does not Granger Cause FTSE100					1211		10.7499			2.E-05
FTSE100 does not Granger Cause MIB30							249.484			2.E-91
SSMI does not Granger Cause FTSE100					1212		4.86855			0.0078
FTSE100 does not Granger Cause SSMI							1.15702			0.3148
SSMI does not Granger Cause MIB30					1227		134.987			1.E-53
MIB30 does not Granger Cause SSMI							14.6184			5.E-07
	I P pLiThF dh noLd
		VAR 1	VAR 2					VAR 3					VAR 4
AIC		30.42	30.149					30.042					29.97
SC		30.44	30.19					30.10					30.05

Co-integration

Date: 05/30/11 Time: 12:28

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments Trend assumption: No deterministic trend Series: SP500 SPTS

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.072997 94.82575 12.32090 0.0001

At most 1 0.000305 0.380540 4.129906 0.6005

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.072997 94.44521 11.22480 0.0001

At most 1 0.000305 0.380540 4.129906 0.6005

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

SP500 SPTS

-0.006210 0.000661

0.000612 2.09E-05

Unrestricted Adjustment Coefficients (alpha):

D(SP500) 10.17572 -1.853936

D(SPTS) -404.7969 -16.70047

1 Cointegrating Equation(s): Log likelihood -18665.66

Normalized cointegrating coefficients (standard error in parentheses)

SP500 SPTS

1.000000 -0.106474

(0.00140)

Adjustment coefficients (standard error in parentheses)

D(SP500) -0.063193

(0.01978)

D(SPTS) 2.513849

(0.30529)

VECM

Vector Error Correction Estimates

Date: 05/30/11 Time: 12:28

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq:	CointEq1
SP500(-1)	1.000000
SPTS(-1)	-0.106474
	(0.00140)
	[-76.2824]
Error Correction:	D(SP500)	D(SPTS)
CointEq1	-0.063193	2.513849
	(0.01978)	(0.30529)
	[-3.19464]	[ 8.23434]

D(SP500(-1)) -0.694513 -2.559175

(0.03181) (0.49097)

[-21.8317] [-5.21247]

D(SP500(-2)) -0.459081 -2.230026

(0.03401) (0.52492)

[-13.4976] [-4.24828]

D(SP500(-3)) -0.216340 -0.246524

(0.02878) (0.44418)

[-7.51700] [-0.55501]

D(SPTS(-1)) -0.003336 -0.430587

(0.00235) (0.03622)

[-1.42173] [-11.8894]

D(SPTS(-2)) -0.001232 -0.233782

(0.00227) (0.03506)

[-0.54247] [-6.66885]

D(SPTS(-3)) -0.003383 -0.169750

(0.00188) (0.02896)

[-1.80309] [-5.86169]

R-squared 0.372979 0.345559

Adj. R-squared 0.369943 0.342390

Sum sq. resids 15663066 3.73E+09

S.E. equation 112.4353 1735.271

F-statistic 122.8352 109.0366

Log likelihood -7648.571 -11058.30

Akaike AIC 12.28824 17.76132

Schwarz SC 12.31704 17.79012

Mean dependent -0.030562 1.846926

S.D. dependent 141.6488 2139.849

Determinant resid covariance (dof adj.) 3.56E+10

Determinant resid covariance 3.52E+10

Log likelihood -18665.66

Akaike information criterion				29.98661
Schwarz criterion				30.05246
^CausalitéPairwise Granger Causality Tests
Date: 05/30/11 Time: 12:29
Sample: 1 1250
Lags: 2
Null Hypothesis:				Obs	F-Statistic		Prob.
SPTSX does not Granger Cause SP500				1126	2.68042		0.0690
SP500 does not Granger Cause SPTSX					43.2690		8.E-19
	I \iF1SIIifiThF
		VAR 1	VAR 2			VAR 3		VAR 4
AIC		133.77	133.07			132.789		132.54
SC		137.14	133.77			133.826		133.91

Co-integration

Date: 05/30/11 Time: 12:32

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments

Trend assumption: Linear deterministic trend

Series: ALLORDINARIES BSE30 HANGSENG JKSE KLSE KS11 NIKKEI225 SHANGCOMP STI Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Intégration financière internationale face à une stratégie de diversification de portefeuille
Hypothesized No. of CE(s) Eigenvalue	Trace Statistic	0.05 Critical Value	Prob.**
None * 0.193499	973.0867	197.3709	0.0001
At most 1 * 0.154207	705.1337	159.5297	0.0000
At most 2 * 0.126327	496.4526	125.6154	0.0001
At most 3 * 0.087022	328.1820	95.75366	0.0000
At most 4 * 0.073948	214.7418	69.81889	0.0000
At most 5 * 0.059403	119.0180	47.85613	0.0000
At most 6 * 0.026600	42.71173	29.79707	0.0010
At most 7 0.004880	9.119399	15.49471	0.3545
At most 8 0.002424	3.024395	3.841466	0.0820
Trace test indicates 7 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized	Max-Eigen	0.05
No. of CE(s) Eigenvalue	Statistic	Critical Value	Prob.**
None * 0.193499	267.9530	58.43354	0.0000
At most 1 * 0.154207	208.6811	52.36261	0.0001
At most 2 * 0.126327	168.2706	46.23142	0.0000
At most 3 * 0.087022	113.4402	40.07757	0.0000
At most 4 * 0.073948	95.72386	33.87687	0.0000
At most 5 * 0.059403	76.30625	27.58434	0.0000
At most 6 * 0.026600	33.59233	21.13162	0.0006
At most 7 0.004880	6.095004	14.26460	0.6010
At most 8 0.002424	3.024395	3.841466	0.0820

Max-eigenvalue test indicates 7 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

ALLORDINARIES	BSE30	HANGSENG	JKSE	KLSE	KS11	NIKKEI225	SHA
0.001370	0.000269	-0.000315	0.001165	-0.014373	-0.001189	-0.000317	0.
0.000628	0.000527	-6.08E-05	-0.005301	0.007759	0.001715	-0.000295	-0.
-0.003074	0.000102	0.000480	-0.001628	-0.003130	-0.006400	0.000239	0.
0.000464	0.000407	-0.000217	0.001042	0.003013	-0.006451	0.000125	-4.
-0.002372	0.000157	-0.000443	-0.000529	-0.001264	0.003696	0.000121	-1.
-0.000811	0.000334	0.000146	-0.000494	-0.003241	0.001168	0.000416	0.
5.04E-05	5.74E-05	0.000260	0.000888	-0.002463	0.000185	-9.18E-05	-0.
-0.000694	0.000110	3.38E-05	0.000552	-0.000644	2.44E-05	-0.000128	0.
0.000490	-1.27E-05	4.19E-06	8.06E-05	3.93E-06	0.000276	1.31E-05	0.
Unrestricted Adjustment Coefficients (alpha):
D(ALLORDINARIES)	-12.61048	-24.32550	35.74549	-14.70375	25.40403	-6.116341	-10
D(BSE30)	-95.90700	-403.3727	156.0923	-226.5825	-69.97491	-216.4804	-33
D(HANGSENG)	300.1810	-0.551286	-285.2605	159.3466	176.1558	-101.4958	-82
D(JKSE)	23.56179	72.86116	35.39353	-28.24612	1.370294	-0.347172	-8.
D(KLSE)	45.28884	-0.196880	5.946693	-11.04083	-3.005862	7.444522	3.
D(KS11)	15.13820	1.702805	23.63166	29.15006	-11.81490	-13.61403	-0.
D(NIKKEI225)	200.7021	267.5029	-56.92639	-96.95929	-112.5904	-287.6652	48
D(SHANGCOMP)	-17.68201	23.30591	-21.71445	15.82100	13.71273	-0.111036	26
D(STI)	5.520858	1.803964	-21.58795	-6.281806	-28.99748	9.434907	-7.
1 Cointegrating Equation(s):		Log likelihood	-82592.82
Normalized cointegrating coefficients (standard error in parentheses)
ALLORDINARIES	BSE30	HANGSENG	JKSE	KLSE	KS11	NIKKEI225	SHA

1.000000 0.196338 -0.230075 0.850115 -10.48760 -0.867554 -0.231648 0.

(0.03513) (0.03310) (0.24692) (0.74455) (0.42662) (0.02326) (0.

Adjustment coefficients (standard error in parentheses) D(ALLORDINARIES) -0.017282

(0.00981)

D(BSE30) -0.131434

(0.07147)

D(HANGSENG) 0.411378

(0.06502)

D(JKSE) 0.032290

(0.01028)

D(KLSE) 0.062065

(0.00467)

D(KS11) 0.020746

(0.00591)

D(NIKKEI225) 0.275049

(0.06727)

D(SHANGCOMP) -0.024232

(0.00962)

D(STI) 0.007566

(0.00665)

2 Cointegrating Equation(s): Log likelihood -82488.48

Normalized cointegrating coefficients (standard error in parentheses)

ALLORDINARIES BSE30 HANGSENG JKSE KLSE KS11 NIKKEI225 SHA

1.000000		0.000000		-0.270743	3.688753	-17.46586	-1.966764	-0.158742		0.
				(0.04832)	(0.32622)	(1.12617)	(0.63215)	(0.03504)		(0.
0.000000		1.000000		0.207133	-14.45788	35.54198	5.598548	-0.371328		-2.
				(0.13398)	(0.90444)	(3.12230)	(1.75264)	(0.09716)		(0.
Adjustment coefficients (standard error in parentheses)
D(ALLORDINARIES)		-0.032553		-0.016208
		(0.01074)		(0.00421)
D(BSE30)		-0.384659		-0.238301
		(0.07666)		(0.03008)
D(HANGSENG)		0.411032		0.080479
		(0.07151)		(0.02806)
Intégration financière internationale face à une stratégie de diversification de portefeuille
D(JKSE)	0.078030		0.044723
	(0.01086)		(0.00426)
D(KLSE)	0.061942		0.012082
	(0.00514)		(0.00202)
D(KS11)	0.021815		0.004970
	(0.00650)		(0.00255)
D(NIKKEI225)	0.442979		0.194923
	(0.07308)		(0.02868)
D(SHANGCOMP)	-0.009601		0.007520
	(0.01053)		(0.00413)
D(STI)	0.008698		0.002436
	(0.00731)		(0.00287)

3 Cointegrating Equation(s): Log likelihood -82404.35

Normalized cointegrating coefficients (standard error in parentheses)

ALLORDINARIES BSE30 HANGSENG JKSE KLSE KS11 NIKKEI225 SHA

1.000000		0.000000		0.000000	-4.417774		26.33932	7.467030	-0.005741		-1.
					(0.51649)		(1.82718)	(0.95049)	(0.05642)		(0.
0.000000		1.000000		0.000000	-8.255953		2.028647	-1.618815	-0.488382		-0.
					(0.55976)		(1.98025)	(1.03011)	(0.06114)		(0.
0.000000		0.000000		1.000000	-29.94173		161.7959	34.84404	0.565117		-8.
					(2.96748)		(10.4980)	(5.46101)	(0.32414)		(1.
Adjustment coefficients (standard error in parentheses)
D(ALLORDINARIES)		-0.142417		-0.012562	0.022604
		(0.02413)		(0.00423)	(0.00407)
D(BSE30)		-0.864409		-0.222382	0.129665
		(0.17342)		(0.03041)	(0.02924)
D(HANGSENG)		1.287781		0.051386	-0.231460
		(0.15997)		(0.02805)	(0.02698)
D(JKSE)		-0.030752		0.048333	0.005117
		(0.02441)		(0.00428)	(0.00412)
D(KLSE)		0.043664		0.012689	-0.011415
Intégration financière internationale face à une stratégie de diversification de portefeuille
	(0.01165)		(0.00204)			(0.00196)
D(KS11)	-0.050817		0.007380			0.006460
	(0.01459)		(0.00256)			(0.00246)
D(NIKKEI225)	0.617942		0.189117			-0.106867
	(0.16587)		(0.02909)			(0.02797)
D(SHANGCOMP)	0.057138		0.005305			-0.006260
	(0.02383)		(0.00418)			(0.00402)
D(STI)	0.075049		0.000234			-0.012207
	(0.01647)		(0.00289)			(0.00278)
4 Cointegrating Equation(s):			Log likelihood			-82347.63

Normalized cointegrating coefficients (standard error in parentheses)

ALLORDINARIES BSE30 HANGSENG JKSE KLSE KS11 NIKKEI225 SHA

1.000000		0.000000		0.000000	0.000000		-2008.825		144.0679	-36.43127	89
							(146.779)		(82.4024)	(5.17381)	(1
0.000000		1.000000		0.000000	0.000000		-3801.294		253.6615	-68.56055	17
							(276.380)		(155.160)	(9.74208)	(3
0.000000		0.000000		1.000000	0.000000		-13631.65		960.6649	-246.3111	61
							(995.644)		(558.958)	(35.0953)	(1
0.000000		0.000000		0.000000	1.000000		-460.6764		30.92076	-8.245222	20
							(33.4247)		(18.7647)	(1.17818)	(4.
Adjustment coefficients (standard error in parentheses)
D(ALLORDINARIES)		-0.149243		-0.018545	0.025800		0.040741
		(0.02431)		(0.00510)	(0.00434)		(0.04054)
D(BSE30)		-0.969601		-0.314584	0.178910		1.536155
		(0.17356)		(0.03643)	(0.03099)		(0.28944)
D(HANGSENG)		1.361758		0.116228	-0.266092		0.983060
		(0.16067)		(0.03373)	(0.02869)		(0.26794)
D(JKSE)		-0.043866		0.036839	0.011256		-0.445819
		(0.02448)		(0.00514)	(0.00437)		(0.04082)
D(KLSE)		0.038539		0.008196	-0.009015		0.032617
		(0.01171)		(0.00246)	(0.00209)		(0.01952)
D(KS11)	-0.037284		0.019242			0.000124	0.000534
	(0.01443)		(0.00303)			(0.00258)	(0.02407)
D(NIKKEI225)	0.572929		0.149662			-0.085794	-1.192548
	(0.16711)		(0.03508)			(0.02984)	(0.27869)
D(SHANGCOMP)	0.064483		0.011743			-0.009698	-0.092301
	(0.02399)		(0.00504)			(0.00428)	(0.04001)
D(STI)	0.072133		-0.002322			-0.010841	0.025459
	(0.01661)		(0.00349)			(0.00297)	(0.02771)
5 Cointegrating Equation(s):			Log likelihood			-82299.76

Normalized cointegrating coefficients (standard error in parentheses)

ALLORDINARIES		BSE30		HANGSENG	JKSE		KLSE	KS11		NIKKEI225	SHA
1.000000		0.000000		0.000000	0.000000		0.000000	0.395232		-0.104617	-0.
								(0.18084)		(0.01056)	(0.
0.000000		1.000000		0.000000	0.000000		0.000000	-18.21000		0.180279	0.
								(1.45748)		(0.08509)	(0.
0.000000		0.000000		1.000000	0.000000		0.000000	-14.28136		0.197344	0.
								(1.24055)		(0.07243)	(0.
0.000000		0.000000		0.000000	1.000000		0.000000	-2.027176		0.085435	0.
								(0.19152)		(0.01118)	(0.
0.000000		0.000000		0.000000	0.000000		1.000000	-0.071521		0.018084	-0.
								(0.04057)		(0.00237)	(0.
Adjustment coefficients (standard error in parentheses)
D(ALLORDINARIES)		-0.209490		-0.014553	0.014535		0.027303	-0.195803
		(0.02933)		(0.00519)	(0.00532)		(0.04049)	(0.11861)
D(BSE30)		-0.803650		-0.325582	0.209938		1.573168	-2.834192
		(0.21036)		(0.03725)	(0.03814)		(0.29043)	(0.85082)
D(HANGSENG)		0.943991		0.143913	-0.344203		0.889882	-3.168266
		(0.19373)		(0.03431)	(0.03512)		(0.26747)	(0.78357)
D(JKSE)		-0.047115		0.037054	0.010648		-0.446544	0.029048
		(0.02969)		(0.00526)	(0.00538)		(0.04099)	(0.12009)
D(KLSE)		0.045667		0.007723	-0.007682		0.034207	-0.700527
	(0.01419)		(0.00251)			(0.00257)	(0.01960)	(0.05741)
D(KS11)	-0.009264		0.017385			0.005363	0.006783	-0.175560
	(0.01745)		(0.00309)			(0.00316)	(0.02409)	(0.07057)
D(NIKKEI225)	0.839946		0.131966			-0.035869	-1.132993	-0.780720
	(0.20225)		(0.03582)			(0.03667)	(0.27924)	(0.81804)
D(SHANGCOMP)	0.031962		0.013898			-0.015779	-0.099554	0.533271
	(0.02906)		(0.00515)			(0.00527)	(0.04012)	(0.11752)
D(STI)	0.140903		-0.006880			0.002017	0.040797	0.019949
	(0.01985)		(0.00351)			(0.00360)	(0.02740)	(0.08028)
6 Cointegrating Equation(s):			Log likelihood			-82261.61

Normalized cointegrating coefficients (standard error in parentheses)

ALLORDINARIES		BSE30			HANGSENG			JKSE				KLSE		KS11			NIKKEI225			SHA
1.000000		0.000000			0.000000			0.000000				0.000000		0.000000			-0.120703			-0.
																	(0.01067)			(0.
0.000000		1.000000			0.000000			0.000000				0.000000		0.000000			0.921444			0.
																	(0.11853)			(0.
0.000000		0.000000			1.000000			0.000000				0.000000		0.000000			0.778610			0.
																	(0.10298)			(0.
0.000000		0.000000			0.000000			1.000000				0.000000		0.000000			0.167943			0.
																	(0.01520)			(0.
0.000000		0.000000			0.000000			0.000000				1.000000		0.000000			0.020995			-0.
																	(0.00237)			(0.
0.000000		0.000000			0.000000			0.000000				0.000000		1.000000			0.040701			-0.
																	(0.00704)			(0.
Adjustment coefficients (standard error in parentheses)
D(ALLORDINARIES)		-0.204531			-0.016598			0.013643				0.030326		-0.175978			-0.073860
		(0.02986)			(0.00569)			(0.00541)				(0.04062)		(0.12073)			(0.07064)
D(BSE30)		-0.628118			-0.397976			0.178355				1.680137		-2.132483			-0.626154
		(0.21261)			(0.04055)			(0.03854)				(0.28925)		(0.85960)			(0.50300)
D(HANGSENG)		1.026289			0.109971			-0.359011				0.940033		-2.839273			0.972267
		(0.19693)			(0.03755)			(0.03569)				(0.26792)		(0.79619)			(0.46590)
D(JKSE)	-0.046834					0.036938				0.010597	-0.446372				0.030173			0.057300
	(0.03024)					(0.00577)				(0.00548)	(0.04114)				(0.12226)			(0.07154)
D(KLSE)	0.039631					0.010213				-0.006596	0.030529				-0.724658			-0.023427
	(0.01443)					(0.00275)				(0.00262)	(0.01963)				(0.05833)			(0.03414)
D(KS11)	0.001775					0.012833				0.003377	0.013510				-0.131431			-0.413938
	(0.01769)					(0.00337)				(0.00321)	(0.02407)				(0.07154)			(0.04186)
D(NIKKEI225)	1.073199					0.035767				-0.077838	-0.990850				0.151731			0.457850
	(0.20297)					(0.03871)				(0.03679)	(0.27614)				(0.82062)			(0.48019)
D(SHANGCOMP)	0.032052					0.013861				-0.015795	-0.099500				0.533631			0.148432
	(0.02960)					(0.00564)				(0.00536)	(0.04026)				(0.11965)			(0.07002)
D(STI)	0.133252					-0.003724				0.003393	0.036135				-0.010634			0.079051
	(0.02018)					(0.00385)				(0.00366)	(0.02746)				(0.08160)			(0.04775)
7 Cointegrating Equation(s):						Log likelihood				-82244.81
Normalized cointegrating coefficients (standard error in parentheses)
ALLORDINARIES	BSE30					HANGSENG				JKSE	KLSE				KS11			NIKKEI225		SHA
1.000000	0.000000					0.000000				0.000000	0.000000				0.000000			0.000000		0.
																				(0.
0.000000	1.000000					0.000000				0.000000	0.000000				0.000000			0.000000		-3.
																				(0.
0.000000	0.000000					1.000000				0.000000	0.000000				0.000000			0.000000		-2.
																				(0.
0.000000	0.000000					0.000000				1.000000	0.000000				0.000000			0.000000		-0.
																				(0.
0.000000	0.000000					0.000000				0.000000	1.000000				0.000000			0.000000		-0.
																				(0.
0.000000	0.000000					0.000000				0.000000	0.000000				1.000000			0.000000		-0.
																				(0.
0.000000	0.000000					0.000000				0.000000	0.000000				0.000000			1.000000		4.
																				(0.
Adjustment coefficients (standard error in parentheses)
D(ALLORDINARIES) -0.205035						-0.017172				0.011042	0.021448				-0.151340			-0.075712		0.
																				(0.
	(0.02984)			(0.00570)						(0.00570)	(0.04106)				(0.12185)			(0.07060)
D(BSE30)	-0.629794			-0.399883						0.169709	1.650622				-2.050579			-0.632310		0.
	(0.21259)			(0.04064)						(0.04065)	(0.29256)				(0.86815)			(0.50299)		(0.
D(HANGSENG)	1.022118			0.105226						-0.380517	0.866623				-2.635555			0.956955		-0.
	(0.19669)			(0.03760)						(0.03761)	(0.27067)				(0.80320)			(0.46536)		(0.
D(JKSE)	-0.047271			0.036441						0.008345	-0.454059				0.051505			0.055697		-0.
	(0.03022)			(0.00578)						(0.00578)	(0.04159)				(0.12343)			(0.07151)		(0.
D(KLSE)	0.039815			0.010423						-0.005646	0.033775				-0.733665			-0.022750		-0.
	(0.01442)			(0.00276)						(0.00276)	(0.01985)				(0.05890)			(0.03412)		(0.
D(KS11)	0.001742			0.012796						0.003209	0.012936				-0.129837			-0.414058		-0.
	(0.01770)			(0.00338)						(0.00338)	(0.02435)				(0.07226)			(0.04187)		(0.
D(NIKKEI225)	1.075661			0.038569						-0.065139	-0.947504				0.031444			0.466891		-0.
	(0.20290)			(0.03879)						(0.03879)	(0.27922)				(0.82858)			(0.48007)		(0.
D(SHANGCOMP)	0.033384			0.015376						-0.008930	-0.076065				0.468600			0.153320		-0.
	(0.02942)			(0.00562)						(0.00563)	(0.04049)				(0.12014)			(0.06961)		(0.
D(STI)	0.132885			-0.004142						0.001498	0.029666				0.007318			0.077702		-0.
	(0.02017)			(0.00385)						(0.00386)	(0.02775)				(0.08235)			(0.04771)		(0.
8 Cointegrating Equation(s):				Log likelihood						-82241.77
Normalized cointegrating coefficients (standard error in parentheses)
ALLORDINARIES	BSE30			HANGSENG						JKSE	KLSE				KS11			NIKKEI225		SHA
1.000000	0.000000			0.000000						0.000000	0.000000				0.000000			0.000000		0.
0.000000	1.000000			0.000000						0.000000	0.000000				0.000000			0.000000		0.
0.000000	0.000000			1.000000						0.000000	0.000000				0.000000			0.000000		0.
0.000000	0.000000			0.000000						1.000000	0.000000				0.000000			0.000000		0.
0.000000	0.000000			0.000000						0.000000	1.000000				0.000000			0.000000		0.
0.000000	0.000000			0.000000						0.000000	0.000000				1.000000			0.000000		0.
																					0.
0.000000			0.000000				0.000000		0.000000				0.000000			0.000000			1.000000
0.000000			0.000000				0.000000		0.000000				0.000000			0.000000			0.000000		1.
Adjustment coefficients (standard error in parentheses)
D(ALLORDINARIES)			-0.206264				-0.016977		0.011102				0.022424			-0.152480			-0.075669		0.
			(0.03023)				(0.00576)		(0.00571)				(0.04124)			(0.12193)			(0.07060)		(0.
D(BSE30)			-0.594264				-0.405514		0.167981				1.622394			-2.017626			-0.633556		0.
			(0.21529)				(0.04099)		(0.04066)				(0.29372)			(0.86837)			(0.50278)		(0.
D(HANGSENG)			1.055895				0.099873		-0.382159				0.839787			-2.604228			0.955770		-0.
			(0.19918)				(0.03792)		(0.03762)				(0.27174)			(0.80338)			(0.46515)		(0.
D(JKSE)			-0.042558				0.035694		0.008116				-0.457804			0.055876			0.055531		-0.
			(0.03061)				(0.00583)		(0.00578)				(0.04176)			(0.12346)			(0.07148)		(0.
D(KLSE)			0.042008				0.010075		-0.005752				0.032032			-0.731631			-0.022827		-0.
			(0.01461)				(0.00278)		(0.00276)				(0.01993)			(0.05892)			(0.03411)		(0.
D(KS11)			0.004071				0.012426		0.003096				0.011085			-0.127676			-0.414139		-0.
			(0.01792)				(0.00341)		(0.00339)				(0.02445)			(0.07229)			(0.04186)		(0.
D(NIKKEI225)			1.046323				0.043218		-0.063713				-0.924195			0.004234			0.467920		-0.
			(0.20550)				(0.03912)		(0.03881)				(0.28036)			(0.82887)			(0.47991)		(0.
D(SHANGCOMP)			0.039456				0.014414		-0.009225				-0.080890			0.474231			0.153107		-0.
			(0.02979)				(0.00567)		(0.00563)				(0.04064)			(0.12015)			(0.06956)		(0.
D(STI)			0.134764				-0.004440		0.001407				0.028173			0.009061			0.077636		-0.
			(0.02043)				(0.00389)		(0.00386)				(0.02787)			(0.08239)			(0.04770)		(0.

VECM

Vector Error Correction Estimates

Date: 05/30/11 Time: 12:33

Sample (adjusted): 5 1250

Included observations: 1250 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: ^CointEqi

ALLORDINARIES(-1) 1.000000

BSE30(-1) 0.196338

(0.03513)

[ 5.58864]

HANGSENG(-1) -0.230075

(0.03310)

[-6.95054]

JKSE(-1) 0.850115

(0.24692)

[ 3.44292]

KLSE(-1) -10.48760

(0.74455)

[-14.0859]

KS11(-1) -0.867554

(0.42662)

[-2.03353]

NIKKEI225(-1) -0.231648

(0.02326)

[-9.95861]

SHANGCOMP(-1) 0.433636

(0.07780)

[ 5.57358]

STI(-1) 2.182948

(0.28198)

C	[ 7.74150] 4094.793
	D(ALLORDINA
Error Correction:	RIES)	D(BSE30)	D(HANGSENG)	D(JKSE)	D(KLSE)	D(KS11)	D
CointEq1	-0.017282	-0.131434	0.411378	0.032290	0.062065	0.020746
	(0.00981)	(0.07147)	(0.06502)	(0.01028)	(0.00467)	(0.00591)
	[-1.76194]	[-1.83892]	[ 6.32738]	[ 3.14152]	[ 13.2910]	[ 3.50876]	[
D(ALLORDINARIES(-1))	-0.648577	0.523284	-0.224502	-0.047129	-0.078627	-0.028931	-
	(0.03069)	(0.22363)	(0.20343)	(0.03216)	(0.01461)	(0.01850)
	[-21.1337]	[ 2.33993]	[-1.10361]	[-1.46547]	[-5.38138]	[-1.56385]	[
D(ALLORDINARIES(-2))	-0.401180	0.644307	-0.169185	-0.121554	-0.085849	-0.030494	-
	(0.03429)	(0.24984)	(0.22726)	(0.03593)	(0.01632)	(0.02067)
	[-11.7011]	[ 2.57890]	[-0.74444]	[-3.38320]	[-5.25932]	[-1.47546]	[
D(ALLORDINARIES(-3))	-0.212269	0.482392	-0.096007	0.079158	-0.086553	0.068994
	(0.02966)	(0.21612)	(0.19659)	(0.03108)	(0.01412)	(0.01788)
	[-7.15710]	[ 2.23204]	[-0.48835]	[ 2.54694]	[-6.12966]	[ 3.85907]	[

D(BSE30(-1)) 0.006037 -0.691396 0.005537 -0.001906 -0.001786 0.000130

(0.00429) (0.03127) (0.02845) (0.00450) (0.00204) (0.00259)

[ 1.40666] [-22.1082] [ 0.19464] [-0.42382] [-0.87429] [ 0.05034] [

D(BSE30(-2)) 0.000574 -0.540992 0.061736 0.009528 -0.001787 3.54E-05

(0.00458) (0.03340) (0.03038) (0.00480) (0.00218) (0.00276)

[ 0.12530] [-16.1988] [ 2.03215] [ 1.98388] [-0.81913] [ 0.01281] [

D(BSE30(-3)) 0.004268 -0.332318 0.038310 0.001209 -0.002117 -0.002325

(0.00395) (0.02881) (0.02621) (0.00414) (0.00188) (0.00238)

[ 1.07943] [-11.5347] [ 1.46183] [ 0.29186] [-1.12480] [-0.97557] [

D(HANGSENG(-1)) -0.010067 -0.042574 -0.563062 0.001247 0.011978 0.000200

(0.00475) (0.03458) (0.03146) (0.00497) (0.00226) (0.00286)

[-2.12133] [-1.23108] [-17.8991] [ 0.25070] [ 5.30147] [ 0.06975] [

D(HANGSENG(-2)) -0.008102 -0.054421 -0.367188 3.25E-06 0.006897 -0.000853

(0.00508) (0.03699) (0.03365) (0.00532) (0.00242) (0.00306)

[-1.59585] [-1.47104] [-10.9113] [ 0.00061] [ 2.85338] [-0.27886] [

D(HANGSENG(-3)) -0.001812 -0.007216 -0.169047 0.004764 0.003167 0.004027 -

(0.00445) (0.03242) (0.02949) (0.00466) (0.00212) (0.00268)

[-0.40735] [-0.22258] [-5.73190] [ 1.02181] [ 1.49496] [ 1.50154] [

D(JKSE(-1)) -0.001479 1.129301 -0.605538 -0.607721 0.003231 0.031138

(0.03030) (0.22081) (0.20086) (0.03175) (0.01443) (0.01827)

[-0.04882] [ 5.11431] [-3.01472] [-19.1381] [ 0.22397] [ 1.70467] [

D(JKSE(-2)) -0.009444 -0.041734 -0.333934 -0.367369 -0.011184 0.004415

(0.03344) (0.24368) (0.22166) (0.03504) (0.01592) (0.02016)

[-0.28243] [-0.17127] [-1.50651] [-10.4834] [-0.70247] [ 0.21902] [

D(JKSE(-3)) 0.004917 0.179374 -0.128975 -0.155022 -0.010925 -0.006684

(0.02928) (0.21336) (0.19408) (0.03068) (0.01394) (0.01765)

[ 0.16794] [ 0.84070] [-0.66453] [-5.05235] [-0.78369] [-0.37870] [

D(KLSE(-1)) -0.180497 -0.379257 4.380679 0.435628 -0.279480 0.245694

(0.09899) (0.72136) (0.65618) (0.10374) (0.04713) (0.05967)

[-1.82333] [-0.52575] [ 6.67602] [ 4.19936] [-5.92998] [ 4.11727] [

D(KLSE(-2)) -0.138371 0.898484 2.513913 0.483563 -0.159616 0.162138

(0.08846) (0.64460) (0.58636) (0.09270) (0.04211) (0.05332)

[-1.56423] [ 1.39386] [ 4.28733] [ 5.21652] [-3.79000] [ 3.04062] [

D(KLSE(-3)) -0.114223 0.150938 1.239412 0.177168 -0.066914 0.108560

(0.06706) (0.48867) (0.44452) (0.07027) (0.03193) (0.04042)

[-1.70328] [ 0.30888] [ 2.78823] [ 2.52110] [-2.09582] [ 2.68548] [

D(KS11(-1)) -0.073844 -1.020135 0.980640 -0.057213 -0.005239 -0.722083 -

(0.04836) (0.35241) (0.32057) (0.05068) (0.02302) (0.02915)

[-1.52690] [-2.89473] [ 3.05907] [-1.12893] [-0.22754] [-24.7688] [

D(KS11(-2)) -0.047981 -0.281880 0.433435 -0.038299 0.007127 -0.449274 -

(0.05567) (0.40564) (0.36899) (0.05833) (0.02650) (0.03356)

[-0.86193] [-0.69490] [ 1.17465] [-0.65655] [ 0.26891] [-13.3886] [

D(KS11(-3)) -0.037238 -0.170908 0.187575 -0.028723 0.008190 -0.223785 -

(0.04774) (0.34790) (0.31647) (0.05003) (0.02273) (0.02878)

[-0.77997] [-0.49125] [ 0.59271] [-0.57411] [ 0.36030] [-7.77570] [

D(NIKKEI225(-1)) -0.005322 0.059736 0.126654 0.010138 0.011704 0.003899 -

(0.00443) (0.03226) (0.02934) (0.00464) (0.00211) (0.00267)

[-1.20220] [ 1.85184] [ 4.31630] [ 2.18553] [ 5.55351] [ 1.46130] [

D(NIKKEI225(-2)) 0.009241 0.039673 0.097802 0.004527 0.006924 0.003061 -

(0.00484) (0.03525) (0.03206) (0.00507) (0.00230) (0.00292)

[ 1.91055] [ 1.12557] [ 3.05039] [ 0.89303] [ 3.00654] [ 1.04997] [

D(NIKKEI225(-3)) 0.003736 0.002131 0.083205 -0.002591 0.001383 0.006269 -

(0.00414) (0.03018) (0.02746) (0.00434) (0.00197) (0.00250)

[ 0.90201] [ 0.07059] [ 3.03048] [-0.59694] [ 0.70130] [ 2.51060] [

D(SHANGCOMP(-1)) 0.275524 1.460187 0.290867 -0.009179 0.003767 0.027456 -

(0.03005) (0.21898) (0.19920) (0.03149) (0.01431) (0.01812)

[ 9.16842] [ 6.66799] [ 1.46019] [-0.29147] [ 0.26327] [ 1.51561] [

D(SHANGCOMP(-2)) 0.039401 -0.795413 -0.434941 -0.054484 -0.017841 -0.037005 -

(0.03142) (0.22895) (0.20827) (0.03293) (0.01496) (0.01894)

[ 1.25403] [-3.47411] [-2.08838] [-1.65477] [-1.19266] [-1.95382] [

D(SHANGCOMP(-3)) 0.029752 -0.512194 -0.353870 -0.012373 0.004600 -0.080497 -

(0.03115) (0.22700) (0.20649) (0.03264) (0.01483) (0.01878)

[ 0.95506] [-2.25635] [-1.71374] [-0.37904] [ 0.31013] [-4.28668] [

D(STI(-1)) 0.045249 0.652464 -1.052226 0.034744 -0.047883 -0.071795

(0.04624) (0.33692) (0.30648) (0.04845) (0.02201) (0.02787)

[ 0.97867] [ 1.93656] [-3.43330] [ 0.71709] [-2.17524] [-2.57592] [

D(STI(-2)) 0.038708 0.055075 -0.590828 -0.013887 -0.047490 -0.093401

(0.05052) (0.36812) (0.33486) (0.05294) (0.02405) (0.03045)

[ 0.76623] [ 0.14961] [-1.76441] [-0.26233] [-1.97453] [-3.06711] [

D(STI(-3)) 0.024115 -0.185761 -0.292175 0.080433 -0.026362 -0.055093

(0.04348) (0.31682) (0.28819) (0.04556) (0.02070) (0.02621)

[ 0.55467] [-0.58633] [-1.01382] [ 1.76539] [-1.27358] [-2.10210] [

C 0.825267 19.48715 11.72583 2.462879 0.674493 1.318499 -

(7.15917) (52.1688) (47.4550) (7.50225) (3.40844) (4.31562)

[ 0.11527]	[ 0.37354]	[ 0.24709]	[ 0.32829]	[ 0.19789]	[ 0.30552]	[
R-squared 0.388153	0.460749	0.328087	0.307668	0.455971	0.420654
Adj. R-squared 0.374076	0.448342	0.312628	0.291739	0.443454	0.407325
Sum sq. resids 77676235	4.12E+09	3.41E+09	85299295	17606558	28226022
S.E. equation 252.6381	1840.969	1674.628	264.7448	120.2796	152.2929
F-statistic 27.57354	37.13688	21.22313	19.31527	36.42899	31.55877
Log likelihood -8646.146	-11120.81	-11002.82	-8704.469	-7721.440	-8015.480	-
Akaike AIC 13.92479	17.89697	17.70757	14.01841	12.44051	12.91249
Schwarz SC 14.04414	18.01632	17.82691	14.13775	12.55986	13.03183
Mean dependent 0.482825	8.362552	5.920722	1.226549	0.332014	0.537408	-
S.D. dependent 319.3287	2478.629	2019.866	314.5798	161.2283	197.8205
Determinant resid covariance (dof adj.)	3.76E+46
Determinant resid covariance	3.04E+46
Log likelihood	-82592.82
Akaike information criterion	133.0061

Schwarz criterion 134.1173

Causalité

Pairwise Granger Causality Tests Date: 05/30/11 Time: 12:33 Sample: 1 1250

Lags: 2

Null Hypothesis:		Obs	F-Statistic		Prob.
BSE30 does not Granger Cause ALLORDINARIE		1156	4.36975		0.0129
ALLORDINARIE does not Granger Cause BSE30			1.23135		0.2923
HANGSENG does not Granger Cause ALLORDINARIE		1194	1.84859		0.1579
ALLORDINARIE does not Granger Cause HANGSENG			38.3245		7.E-17
JKSE does not Granger Cause ALLORDINARIE		1156	1.66814		0.1891
ALLORDINARIE does not Granger Cause JKSE			1.04722		0.3512
KLSE does not Granger Cause ALLORDINARIE		1180	0.68969		0.5019
ALLORDINARIE does not Granger Cause KLSE			2.99836		0.0503
KS11 does not Granger Cause ALLORDINARIE		1184	4.37455		0.0128
ALLORDINARIE does not Granger Cause KS11			22.0771		4.E-10
NIKKEI225 does not Granger Cause ALLORDINARIE		1148	3.24389		0.0394
ALLORDINARIE does not Granger Cause NIKKEI225			1.09710		0.3342
SHANGCOMP does not Granger Cause ALLORDINARIE		1208	0.92917		0.3952
ALLORDINARIE does not Granger Cause SHANGCOMP			3.40938		0.0334
STI does not Granger Cause ALLORDINARIE		1215	3.22035		0.0403
ALLORDINARIE does not Granger Cause STI			6.78728		0.0012
HANGSENG does not Granger Cause BSE30		1125	0.18878		0.8280
BSE30 does not Granger Cause HANGSENG			10.0392		5.E-05
JKSE does not Granger Cause BSE30 BSE30 does not Granger Cause JKSE	1104			26.1222 3.74719		8.E-12 0.0239
KLSE does not Granger Cause BSE30	1123			6.16689		0.0022
BSE30 does not Granger Cause KLSE				14.4001		7.E-07
KS11 does not Granger Cause BSE30	1126			5.91924		0.0028
BSE30 does not Granger Cause KS11				10.6902		3.E-05
NIKKEI225 does not Granger Cause BSE30	1097			13.5299		2.E-06
BSE30 does not Granger Cause NIKKEI225				9.46306		8.E-05
SHANGCOMP does not Granger Cause BSE30	1146			1.49760		0.2241
BSE30 does not Granger Cause SHANGCOMP				0.63645		0.5294
STI does not Granger Cause BSE30	1144			10.4669		3.E-05
BSE30 does not Granger Cause STI				8.51489		0.0002
JKSE does not Granger Cause HANGSENG	1127			0.04334		0.9576
HANGSENG does not Granger Cause JKSE				10.6329		3.E-05
KLSE does not Granger Cause HANGSENG	1159			0.66933		0.5122
HANGSENG does not Granger Cause KLSE				0.35523		0.7011
KS11 does not Granger Cause HANGSENG	1167			4.90611		0.0076
HANGSENG does not Granger Cause KS11				5.58634		0.0039
NIKKEI225 does not Granger Cause HANGSENG	1129			0.14080		0.8687
HANGSENG does not Granger Cause NIKKEI225				3.07827		0.0464
SHANGCOMP does not Granger Cause HANGSENG	1185			0.73570		0.4794
HANGSENG does not Granger Cause SHANGCOMP				26.9575		4.E-12
STI does not Granger Cause HANGSENG	1190			6.76244		0.0012
HANGSENG does not Granger Cause STI				35.0109		2.E-15
KLSE does not Granger Cause JKSE	1147			6.22995		0.0020
JKSE does not Granger Cause KLSE				20.6849		1.E-09

168

KS11 does not Granger Cause JKSE JKSE does not Granger Cause KS11	1132	21.8117 5.61677	5.E-10 0.0037
NIKKEI225 does not Granger Cause JKSE	1101	11.6705	1.E-05
JKSE does not Granger Cause NIKKEI225		27.0345	3.E-12
SHANGCOMP does not Granger Cause JKSE	1138	2.72690	0.0659
JKSE does not Granger Cause SHANGCOMP		9.70568	7.E-05
STI does not Granger Cause JKSE	1155	34.9244	2.E-15
JKSE does not Granger Cause STI		2.90162	0.0553
KS11 does not Granger Cause KLSE	1148	3.49125	0.0308
KLSE does not Granger Cause KS11		1.55831	0.2109
NIKKEI225 does not Granger Cause KLSE	1117	14.8676	4.E-07
KLSE does not Granger Cause NIKKEI225		1.11680	0.3277
SHANGCOMP does not Granger Cause KLSE	1166	3.20636	0.0409
KLSE does not Granger Cause SHANGCOMP		2.12369	0.1201
STI does not Granger Cause KLSE	1184	5.68529	0.0035
KLSE does not Granger Cause STI		9.23541	0.0001
NIKKEI225 does not Granger Cause KS11	1126	0.39173	0.6760
KS11 does not Granger Cause NIKKEI225		15.2059	3.E-07
SHANGCOMP does not Granger Cause KS11	1173	2.05511	0.1285
KS11 does not Granger Cause SHANGCOMP		4.53632	0.0109
STI does not Granger Cause KS11	1176	4.59313	0.0103
KS11 does not Granger Cause STI		80.5746	2.E-33
SHANGCOMP does not Granger Cause NIKKEI225	1134	4.40740	0.0124
NIKKEI225 does not Granger Cause SHANGCOMP		1.71246	0.1809
STI does not Granger Cause NIKKEI225	1145	17.7276	3.E-08
NIKKEI225 does not Granger Cause STI		2.09098	0.1240
STI does not Granger Cause SHANGCOMP	1197	3.15280	0.0431

SHANGCOMP does not Granger Cause STI 3.08377 0.0462