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Linkages in international stock markets: evidence from a classification procedure

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  • Simon Sosvilla-Rivero
  • Pedro Rodriguez

Abstract

In this article, we propose a new approach to evaluate the predictable components in stock indices using a boosting-based classification technique, and we use this method to examine causality among the three main stock market indices in the world during periods of large positive and negative price changes. The empirical evidence seems to indicate that the Standard & Poors 500 index contains incremental information that is not present in either the FTSE 100 index (Financial Times Stock Exchange Index) or the Nikkei 225 index, and that could be used to enhance the predictability of the large positive and negative returns in the three main stock market indices in the world. This in turn would suggest a causality relationship running from the Standard & Poors 500 index to both the FTSE 100 and the Nikkei 225 indices.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 42 (2010)
Issue (Month): 16 ()
Pages: 2081-2089

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Handle: RePEc:taf:applec:v:42:y:2010:i:16:p:2081-2089

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References

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Cited by:
  1. José M. Labeaga & Ester Martínez Ros, . "Persistence and ability in the innovation decisions," Working Papers 2005-16, FEDEA.
  2. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
  3. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  4. Corinne Mette, . "Wellbeing and dependency among European elderly: The role of social integration," Working Papers 2005-12, FEDEA.
  5. José M. Labeaga & Xisco Oliver & Amedeo Spadaro, . "Measuring Changes in Health Capital," Working Papers 2005-15, FEDEA.
  6. Ana Carolina Ortega Masagué, . "La situación laboral de los inmigrantes en España: Un análisis descriptivo," Working Papers 2005-08, FEDEA.
  7. Namkee Ahn & Juan Ramón García & José A. Herce, . "Demographic Uncertainty and Health Care Expenditure in Spain," Working Papers 2005-07, FEDEA.

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