An empirical analysis of international equity market co-movements: implications for informational efficiency
AbstractRelying on the common statement that New York is a leader market in the world, this paper investigates whether the American market drives the performance of other world's stock markets and whether the interdependence becomes higher in periods of economic downturn and poor market performance (asymmetry in stock market co-movements). Results confirm that the behavior of major stock markets in the world is partly explained by comovements with America's exchange and, more importantly, that there is evidence for an asymmetric behavior. Additionally, estimated results are consistent with the notion of informationally effient stock markets, as the transmission of news from America to the rest of the world is completed within few days.
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Bibliographic InfoPaper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 197.
Date of creation: Nov 2003
Date of revision:
asymmetry in equity market co-movements; informational efficiency; international equity markets; univariate GARCH;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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