Joao A. Bastos () (CEMAPRE, School of Economics and Management (ISEG), Technical University of Lisbon) Jorge Caiado () (CEMAPRE, School of Economics and Management (ISEG), Technical University of Lisbon)
Additional information is available for the following
registered author(s):
In this paper we employ variance ratio tests of the random walk hypothesis to investigate the interdependence of global equity markets in terms of the predictability of equity index returns and how the clustering pattern has evolved in recent years. The study is based on almost 15 years of daily returns of free float-adjusted market capitalization equity indices from 46 countries. First, we examine the validity of the random walk hypothesis in individual markets using conventional, rank- and sign-based variance ratio tests. Second, we employ multidimensional scaling and clustering techniques to examine the interdependence of variance ratios among equity markets. The empirical findings suggest that multivariate analysis of variance ratios provide significant insights that single variance ratio tests fail to capture. In particular, the results indicate that developed and emerging markets have become considerably more integrated over time.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon in its series CEMAPRE Working Papers with number
0904.