Comovements And Correlations In International Stock Markets PDF Download
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| Author | : Rita L. D'Ecclesia |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Comovements and Correlations in International Stock Markets Book in PDF, ePub and Kindle
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 | : Claudio Morana |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
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In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a progressive integration of the four stock markets, leading to increasing comovements in prices, returns, volatility and correlation. Evidence of a positive and non spurious linkage between volatility and correlation, and a trend increase in correlation coefficients over time, is also found. All the above mentioned linkages seem to be particularly strong for the US and Europe, while the persistent stagnation of the economy and the weak fundamentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market.
| Author | : W. Jos Jansen |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Comovement in International Equity Markets Book in PDF, ePub and Kindle
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 | : Mr.Sakai Ando |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2019-08-22 |
| Genre | : Business & Economics |
| ISBN | : 1513512692 |
Download International Financial Connection and Stock Return Comovement Book in PDF, ePub and Kindle
This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 2006 |
| Genre | : Rate of return |
| ISBN | : |
Download International Stock Return Comovements Book in PDF, ePub and Kindle
We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
| Author | : Mr.A. Javier Hamann |
| Publisher | : International Monetary Fund |
| Total Pages | : 28 |
| Release | : 2010-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1451961774 |
Download Correlations in Emerging Market Bonds Book in PDF, ePub and Kindle
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
| Author | : Robin Brooks |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2002-09 |
| Genre | : Business & Economics |
| ISBN | : |
Download The Rise in Comovement Across National Stock Markets Book in PDF, ePub and Kindle
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 | : Asl? Demirgüç-Kunt |
| Publisher | : World Bank Publications |
| Total Pages | : 73 |
| Release | : 1999 |
| Genre | : Bancos |
| ISBN | : |
Download Bank-based and Market-based Financial Systems Book in PDF, ePub and Kindle
| Author | : Yishay Yafeh |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2011-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1455218952 |
Download Additions to Market Indices and the Comovement of Stock Returns Around the World Book in PDF, ePub and Kindle
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 | : Mobarek Asma |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Determinants of Time Varying Co-Movements Among International Stock Markets During Crisis and Non-Crisis Periods Book in PDF, ePub and Kindle
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.
