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Author : Louis Kenneth Fadner
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (244 download)
Download or read book The Interdependence of International Equity Markets written by Louis Kenneth Fadner and published by . This book was released on 1969 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giovanna Bua
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book International Equity Markets Interdependence written by Giovanna Bua and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract This paper investigates the nature of shocks across international equity markets and evaluates the shifts in their comovements at a business-cycle frequency. Using an “identification through heteroskedasticity” methodology, we compute the impact coefficients on the common and country-specific shocks to stock returns. We then establish three key results regarding the recent comovement amongst returns. First, across all indices, persistent high-volatility spells always coincide with macroeconomic slowdowns. This confirms that market volatility increases as a result of shifts in the perception of macroeconomic risk. Second, there is a rise in the observed responses of international stock returns to common shocks during turbulent periods; such increase is largely attributable to bigger shocks (heteroskedasticity of fundamentals) rather than to breaks in the transmission mechanism or increased structural interdependence between markets. This holds for the Great Financial Crisis too. Third, since around the turn of the new millennium, returns have been hit more often by high-volatility common shocks, likely because of larger and more persistent macroeconomic disturbances.
Author : Eduardo D Roca
Publisher : Routledge
ISBN 13 : 1351786229
Total Pages : 184 pages
Book Rating : 4.3/5 (517 download)
Download or read book Price Interdependence Among Equity Markets in the Asia-Pacific Region: Focus on Australia and ASEAN written by Eduardo D Roca and published by Routledge. This book was released on 2018-01-18 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
Author : Brian M. Lucey
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Evolution of Interdependence in World Equity Markets written by Brian M. Lucey and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The minimum spanning tree (a concept from Physics) is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single- and multiple-step linkage survival rates. Over the period studied, 1997-2006, the tree shows a tendency to become more compact. This implies that global equity markets are increasingly interrelated. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification.
Author : Avishek Bhandari
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book Time-varying Nature of Stock Market Interdependence written by Avishek Bhandari and published by . This book was released on 2020 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the literature on global market integration, the strength of interdependence has been measured in different ways. However, only an accurate measure of strength of interdependence helps in understanding the nature of integration among markets. This article, by employing novel time-frequency based wavelet techniques, analyses the interdependence of global equity markets from a heterogeneous investor perspective, with a special focus on the Indian stock market. With the wavelet framework effectively capturing the heterogeneity of market participants' space of operation, an analysis grounded in this framework allows one to capture information from adifferent dimension than the traditional time domain analyses, where the multi-scale structures of financial markets are clearly extracted.
Author : Barry O'Driscoll
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (795 download)
Download or read book Interdependence of International Stock Markets written by Barry O'Driscoll and published by . This book was released on 2001 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author : Wenling Lin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Interdependence between International Stock Returns--News or Contagion Effect? written by Wenling Lin and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Does the increasing trend of the globalization of equity markets increase price volatility and correlations of international stock returns by propagating a mistake in one market to another market? This paper provides new insights into this issue by examining whether such a transmission of international stock returns has any link to economic news. A one-period model of a competitive security market with heterogeneous information is set up to explain how domestic investors process foreign economic announcements and foreign price changes. The relative importance of U.S. economic announcements and price changes on Japanese stock returns is empirically tested to examine the implications of the model. Empirical results show that U.S. economic announcements-- money supply, wholesale and consumer price indices, and industrial production--have an effect on Japanese stock returns and trading volume. The results suggest that the market perception of Federal Reserves policy is globally communicable across borders.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451974493
Total Pages : 52 pages
Book Rating : 4.4/5 (519 download)
Download or read book Exchange Rate Movements and International Interdependence of Stock Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1989-05-12 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Author : Martin Feldstein
Publisher : University of Chicago Press
ISBN 13 : 0226241807
Total Pages : 500 pages
Book Rating : 4.2/5 (262 download)
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Author : Ulrich Carl
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (812 download)
Download or read book Intraday Interdependence of International Stock Markets written by Ulrich Carl and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the interdependence between international equity markets represented by the S&P 500 Mini Future, the Eurostoxx 50 Future and the Nikkei 225 Dollar Future using 5 minute tick data from April 2007 until February 2012. This very recent, high-frequency, future market data approach has a significant advantage over previous research based on lower frequency data by explicitly accounting for intraday effects and avoiding biases due to non-synchronous data. A preliminary analysis of hourly data reveals distinct intraday patterns especially in hourly volatility, correlations and volume. For the study of correlation and volatility, the trading day for each pair of markets is divided into four subsections of varying trading activity. The correlation is highest when only the American stock markets are open. While the European volatility strongly depends on the opening status of the U.S. equity markets, the American volatility is much less affected by the opening status of the European equity markets. This clearly indicates that U.S. markets are still dominant. The opening of a major stock exchange significantly increases volatility and correlation. There is no statistically significant return pattern, but some indication for a trend reversal in Eurostoxx 50 returns after Stoxx opening.
Author : Robert W. Croce
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (347 download)
Download or read book International Shocks and Interdependence written by Robert W. Croce and published by . This book was released on 1995 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lu Liu
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)
Download or read book International Stock Market Interdependence written by Lu Liu and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a dynamic panel-data gravity model to explain the correlations between 40 markets from 1996 to 2010 using four types of market linkages: information capacity, financial integration, economic integration, and similarity in industrial structure. The mechanism of interdependence of developed markets and that of developing markets are heterogeneous: 1) information capacity and industrial structure similarity have significant impact on the correlations of a developed market with other markets; 2) economic integration drives the correlations of a developing market with other markets; 3) financial integration is important for interdependence among developed markets and that among developing markets, but not for that between developed and developing markets. The EMU has a significant positive impact on stock market integration from 1996 to 2002. This impact increases after the inauguration of the EMU in 1999 but does not increase further after the monetary transition being accomplished in 2002.
Author : David Bessler
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Structure of Interdependence in International Stock Markets written by David Bessler and published by . This book was released on 2002 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the dynamic structure of nine major stock markets using an error correction model and directed acyclic graphs (DAG). The DAG representation provides a structure of causality among these markets in contemporaneous time. Building on this contemporaneous structure and the estimated error correction model, innovation accounting techniques are applied. The results show that the Japanese market is among the most highly exogenous and the Canadian and French markets among the least exogenous in our nine-market study. The U.S. market is highly influenced by its own historical innovations, but it is also influenced by market innovations from the U.K., Switzerland, Hong Kong, France and Germany. The U.S. market is the only market that has a consistently strong impact on price movements in other major stock markets in the longer-run.
Author : François M. Longin
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.X/5 (6 download)
Download or read book Extreme Correlation of International Equity Markets written by François M. Longin and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ekaterina Dorodnykh
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Globalization and Convergence of International Equity Markets written by Ekaterina Dorodnykh and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates the degree of sensitivity of international equity market returns, using MSCI indices as widely tracked global equity benchmarks of stock exchanges, traded throughout the world. In particular using a time-varying methodology, the research examines whether the returns of developed international stock exchange markets (Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the USA) are each associated with movements of MSCI World Index in order to see the level of bilateral influence between equity markets, affected by globalization processes. In this paper the author uses, first, the correlation analysis applied to stock exchange markets in order to highlight the dynamic of financial market globalization. Second, the author uses the estimation model of security markets convergence based on the bilateral differences of their returns, suggested and developed by Frazer (1994; 2008). The model contains the Kalman filter and, as a consequence, this model accommodates fundamental shifts in the bilateral relationships. However, there is no study where the Kalman filter methodology is used to examine time-varying convergence of international stock exchange market returns relative to MSCI World Index. The results of research show that all analyzed developed equity markets are moving toward greater integration in terms of increasing correlation. Moreover, all analyzed markets are interdependent and affected by globalization processes, showing strong and lasting relationships between each other. However, bilateral convergence of international equity markets is not an equal process, where different cluster of markets are engaged in different manners. Some of equity markets have less influence on other market' returns in global context, suggesting that bilateral convergence is not a homogeneous process. Furthermore, the findings suggest including industry portfolio diversification approach instead of geographical diversification in asset-allocation models.
Author : Paul James McCourt
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (111 download)
Download or read book A Vector Autoregressive Approach to Equity Market Interdependence Via the International Transmission of Index Volatility written by Paul James McCourt and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
