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Interrelationships Among International Stock Market Indices: Europe, Asia And The Americas

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Author Info

  • ADEL SHARKASI

    ()
    (School of Computing, Dublin City University, Dublin 9, Ireland)

  • HEATHER J. RUSKIN

    ()
    (School of Computing, Dublin City University, Dublin 9, Ireland)

  • MARTIN CRANE

    ()
    (School of Computing, Dublin City University, Dublin 9, Ireland)

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    Abstract

    In this paper, we investigate the price interdependence between seven international stock markets, namely Irish, UK, Portuguese, US, Brazilian, Japanese and Hong Kong, using a new testing method, based on the wavelet transform to reconstruct the data series, as suggested by Lee [11]. We find evidence of intra-European (Irish, UK and Portuguese) market co-movements with the US market also weakly influencing the Irish market. We also find co-movement between the US and Brazilian markets and similar intra-Asian co-movements (Japanese and Hong Kong). Finally, we conclude that the circle of impact is that of the European markets (Irish, UK and Portuguese) on both American markets (US and Brazilian), with these in turn impacting on the Asian markets (Japanese and Hong Kong) which in turn influence the European markets. In summary, we find evidence for intra-continental relationships and an increase in importance of international spillover effects since the mid 1990s, while the importance of historical transmissions has decreased since the beginning of this century.

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    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 08 (2005)
    Issue (Month): 05 ()
    Pages: 603-622

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    Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:603-622

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    Related research

    Keywords: Simple regression; volatility; wavelet analysis;

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    Cited by:
    1. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
    2. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion- Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-062, Department of Research, Ipag Business School.
    3. Khalfaoui, R & Boutahar, M, 2012. "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper 41624, University Library of Munich, Germany.
    4. Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
    5. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.

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