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On the integrated behaviour of non-stationary volatility in stock markets

Author

Listed:
  • Dionisio, Andreia
  • Menezes, Rui
  • Mendes, Diana A.

Abstract

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.

Suggested Citation

  • Dionisio, Andreia & Menezes, Rui & Mendes, Diana A., 2007. "On the integrated behaviour of non-stationary volatility in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 58-65.
    • Handle: RePEc:eee:phsmap:v:382:y:2007:i:1:p:58-65
    DOI: 10.1016/j.physa.2007.02.008
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    Cited by:

    1. González-Pla, Francisco & Lovreta, Lidija, 2019. "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    2. Rui Menezes & Sonia Bentes, 2016. "Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016," Papers 1610.00259, arXiv.org.
    3. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    4. Fernández-Macho, Javier, 2012. "Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1097-1104.
    5. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
    6. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.
    7. Kang, Sang Hoon & Yoon, Seong-Min, 2007. "Long memory properties in return and volatility: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(2), pages 591-600.
    8. Kang, Sang Hoon & Cho, Hwan-Gue & Yoon, Seong-Min, 2009. "Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3543-3550.

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