Download or read book Comovements of Major International Equity Markets written by O. Maurice Joy and published by . This book was released on 1976 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Additions to Market Indices and the Comovement of Stock Returns Around the World written by Yishay Yafeh and published by International Monetary Fund. This book was released on 2011-03-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information-related factors are also important in explaining the increased comovement.
Download or read book Comovements and Correlations in International Stock Markets written by Rita L. D'Ecclesia and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interrelationship between international stock markets is becoming a key issue in international portfolio managment and risk measurement. The dynamics of security returns and their risk characteristics have a crucial role in the financial market's therory. Recent empirical studies have tested market efficiency measuring the degree of integration of international financial markets. These studies have shown that international markets react quickly to news but they are volatile and difficult to predict and with a changing correlation structure of security returns among countries.In this paper we analyze the nature of the relationship between the major international stock markets in Canada, Japan, U.K. and the U.S., using the common trends and common cycles approach. We investigate the presence of co-movements trying to detect a long-term stationary component, the common trend, and a short term stationary cyclical component, among international stock markets. The implications on international portfolio management are alos discussed.
Download or read book Comovement in International Equity Markets written by W. Jos Jansen and published by . This book was released on 2011 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate shifts in correlation patterns among international equity returns at the market level as well as the industry level. We develop a novel bivariate GARCH model for equity returns with a smoothly time-varying correlation and then derive a Lagrange Multiplier statistic to test the constant-correlation hypothesis directly. Applying the test to weekly data from Germany, Japan, the UK and the US in the period 1980-2000, we find that correlations among the German, UK and US stock markets have doubled, whereas Japanese correlations have remained the same. Both dates of change and speeds of adjustment vary widely across countries and sectors.
Download or read book Comovement of International Equity Markets written by Don Panton and published by . This book was released on 1976 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time varying Comovement Across International Equity Markets written by Patrick Wegmann and published by . This book was released on 2001 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Comovement in International Equity Markets written by Robert-Paul Berben and published by . This book was released on 2002 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cross country Stock Market Comovement written by Alexis Anagnostopoulos and published by . This book was released on 2021 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We establish a link between two recent trends: (i) the rise in cross-country stock market correlations over the past three decades, and (ii) the increase in foreign direct investment (FDI) positions over the same period. We document the presence of these phenomena, both for the US versus developed economies, as well as for bilateral pairs of six developed economies with major stock markets, and show that the relation between FDI and stock market correlations survives controlling for other relevant factors. We then develop a two-country asset pricing model with multinational firms in order to inspect and quantify the mechanism underlying the increases in stock market correlations and FDI. We find that the increase in FDI positions in the calibrated model can account for approximately one third of the rise in the observed stock market correlations. We also extend the model to account for increases in trade and portfolio diversification and find that, in contrast to FDI, these two factors do not generate an increase in stock market correlations.
Download or read book Comovement in International Equity Markets written by R. P. Berben and published by . This book was released on 2002 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Dynamics of Value Comovement Across Global Equity Markets written by Mayank Gupta and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interaction Between MENA Stock Markets written by Ulkem Basdas and published by . This book was released on 2013 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the integration of emerging stock markets over different time horizons using daily data over 1992-2011. The links among major Middle East and North African (MENA) stock exchange markets (Egypt, Israel, Jordan, Lebanon, Morocco, Turkey and United Arab Emirates) are considered by adopting the recently developed wavelet comovement analysis (Rua, 2010). The wavelet base measure of correlation enables not only to analyze the interdependence among stock markets but also to consider changing effects of time and frequency domains simultaneously. The characteristics of returns' patterns are examined over the whole sample by special emphasis on pre- and post-global financial crisis periods to test the impact of pressure exerted on these markets through the interdependence in the global economic structure. The results indicate that MENA stock markets are partially integrated and the degree of interdependence has increased significantly after 2008 Crisis. Nevertheless, for global investors there is still room for gains especially in the post global crisis period.
Download or read book Global Production Linkages and Stock Market Comovement written by Raphael A. Auer and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of International Equity Market Co movements written by Manuela Croci and published by . This book was released on 2003 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Co Movements in International Equity Markets written by Salim M. Darbar and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the co-movements of equity returns in four major international markets by characterizing the time-varying cross-country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S. stock markets have significant transitory covariance, but zero permanent covariance. The other pairs of markets examined display significant permanent and transitory covariance. We also find that, while conditional correlations between returns are generally small, they change considerably over time. An event analysis suggests that basing diversification strategies on these conditional correlations is potentially beneficial.
Download or read book International Equity Market Comovements written by Robert A. Connolly and published by . This book was released on 2012 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the causes ...
Download or read book Co Movements Between Germany and International Stock Markets written by Gazi Salah Uddin and published by . This book was released on 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of co-movements of stock market returns is a fundamental issue in finance. The aim of this paper is to examine the co-movement between Germany and major International Stock Markets in the time-frequency space. Our sample period goes from 01 June 1992 to 26 March 2013 and includes the financial crisis that erupted in US financial institutions in the summer of 2007 and spread beyond the US to other developed economies in the first half of 2008. We use DCC-GARCH and wavelet-based measures of co-movements which make it possible to find a balance between the time and frequency domain features of the data. The results suggest that the difference in the co-movement dynamics could be the result of the different natures of the financial crises or a change in regime. The finding of this paper has relevant policy implications in asset allocation and risk management in designing international portfolios for investment decisions.
Download or read book Determinants of Time Varying Co Movements Among International Stock Markets During Crisis and Non Crisis Periods written by Mobarek Asma and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for the period from 1999 to 2011. We then examine the transmission mechanisms by regressing the quarterly economic, financial, and behavioral variables on the quarterly DCC-MIDAS correlations. We find that country specific factors are crisis contingent transmission mechanisms for the co-movements of emerging country pairs and mixed pairs of advanced and emerging countries during the global financial crisis. However, we do not observe wake-up calls in the transmission of the crisis among advanced country pairs. The classification of the transmission mechanisms for crisis and non-crisis periods with the different country pairs has important implications for crisis management as well as for portfolio investment strategies. Thus, our findings contribute to the discussion on the role and effectiveness of the international financial architecture.
