Comovements Of Major International Equity Markets
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Author |
: O. Maurice Joy |
Publisher |
: |
Total Pages |
: 20 |
Release |
: 1976 |
ISBN-10 |
: OCLC:255790076 |
ISBN-13 |
: |
Rating |
: 4/5 (76 Downloads) |
Synopsis Comovements of Major International Equity Markets by : O. Maurice Joy
Author |
: Rita L. D'Ecclesia |
Publisher |
: |
Total Pages |
: 24 |
Release |
: 2008 |
ISBN-10 |
: OCLC:1290313085 |
ISBN-13 |
: |
Rating |
: 4/5 (85 Downloads) |
Synopsis Comovements and Correlations in International Stock Markets by : Rita L. D'Ecclesia
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.
Author |
: Robin Brooks |
Publisher |
: International Monetary Fund |
Total Pages |
: 46 |
Release |
: 2002-09 |
ISBN-10 |
: UCSD:31822032146896 |
ISBN-13 |
: |
Rating |
: 4/5 (96 Downloads) |
Synopsis The Rise in Comovement Across National Stock Markets by : Robin Brooks
The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.
Author |
: W. Jos Jansen |
Publisher |
: |
Total Pages |
: 28 |
Release |
: 2011 |
ISBN-10 |
: OCLC:1290243514 |
ISBN-13 |
: |
Rating |
: 4/5 (14 Downloads) |
Synopsis Comovement in International Equity Markets by : W. Jos Jansen
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.
Author |
: Yishay Yafeh |
Publisher |
: International Monetary Fund |
Total Pages |
: 36 |
Release |
: 2011-03-01 |
ISBN-10 |
: 9781455218950 |
ISBN-13 |
: 1455218952 |
Rating |
: 4/5 (50 Downloads) |
Synopsis Additions to Market Indices and the Comovement of Stock Returns Around the World by : Yishay Yafeh
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.
Author |
: Suk-Joong Kim |
Publisher |
: Elsevier |
Total Pages |
: 537 |
Release |
: 2007-12-12 |
ISBN-10 |
: 9780762314713 |
ISBN-13 |
: 0762314710 |
Rating |
: 4/5 (13 Downloads) |
Synopsis Asia-Pacific Financial Markets by : Suk-Joong Kim
This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.
Author |
: Don Panton |
Publisher |
: |
Total Pages |
: 18 |
Release |
: 1976 |
ISBN-10 |
: OCLC:1086310344 |
ISBN-13 |
: |
Rating |
: 4/5 (44 Downloads) |
Synopsis Comovement of International Equity Markets by : Don Panton
Author |
: Patrick Wegmann |
Publisher |
: |
Total Pages |
: 86 |
Release |
: 2001 |
ISBN-10 |
: OCLC:248813670 |
ISBN-13 |
: |
Rating |
: 4/5 (70 Downloads) |
Synopsis Time-varying Comovement Across International Equity Markets by : Patrick Wegmann
Author |
: Martin Feldstein |
Publisher |
: University of Chicago Press |
Total Pages |
: 500 |
Release |
: 2007-12-01 |
ISBN-10 |
: 9780226241807 |
ISBN-13 |
: 0226241807 |
Rating |
: 4/5 (07 Downloads) |
Synopsis International Capital Flows by : Martin Feldstein
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 |
: Robert-Paul Berben |
Publisher |
: |
Total Pages |
: 28 |
Release |
: 2002 |
ISBN-10 |
: OCLC:67029578 |
ISBN-13 |
: |
Rating |
: 4/5 (78 Downloads) |
Synopsis Comovement in International Equity Markets by : Robert-Paul Berben