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World Equity Markets: A New Approach for Segmentation (in English)

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Author Info

  • José Dias Curto

    ()
    (ISCTE Business School, Lisbon)

  • José Castro Pinto

    (ISCTE Business School, Lisbon)

  • Joao Eduardo Fernandes

    (ISCTE Business School, Lisbon)

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    Abstract

    This paper is an assessment of international equity-market integration and uses an innovative approach to segment equity markets into related geographic areas. The authors´ focus is on the relationships among the returns of the dominant national equity indexes by continent. To understand how these indexes have evolved, the authors will concentrate on a reduced number of dimensions extracted from principal components analysis. They will demonstrate that each one of these components is particularly associated with certain groups of nations and less associated with others.

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    File URL: http://journal.fsv.cuni.cz/storage/1062_s_344_360.pdf
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    Bibliographic Info

    Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

    Volume (Year): 56 (2006)
    Issue (Month): 7-8 (July)
    Pages: 344-360

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    Handle: RePEc:fau:fauart:v:56:y:2006:i:7-8:p:344-360

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    Related research

    Keywords: interaction; principal components analysis; returns;

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    1. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
    2. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    3. Henry Kaiser, 1974. "An index of factorial simplicity," Psychometrika, Springer, vol. 39(1), pages 31-36, March.
    4. George J. Feeney & Donald D. Hester, 1964. "Stock Market Indices: A Principal Components Analysis," Cowles Foundation Discussion Papers 175, Cowles Foundation for Research in Economics, Yale University.
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