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

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  • Andreia Dionisio
  • Rui Menezes
  • Diana A. Mendes

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.

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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number cond-mat/0607478.

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Date of creation: Jul 2006
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Handle: RePEc:arx:papers:cond-mat/0607478

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Web page: http://arxiv.org/

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Cited by:
  1. Fernández Macho, Francisco Javier, 2011. "Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) 2011-04, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  2. 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.
  3. 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.
  4. 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.
  5. 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.

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