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The structure of international stock market returns

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Author Info

  • 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)

Abstract

The behavior of international stock market returns in terms of their distributional properties, serial dependence, long-memory and conditional volatility is examined. A factor analysis is employed to identify the underlying dimensions of the returns. The analysis reveals the existence of meaningful factors when these are estimated from the empirical properties of a large set of international equity indices. Furthermore, the factor scores discriminate very well the stock markets according to size and level of development.

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File URL: http://cemapre.iseg.utl.pt/archive/preprints/418.pdf
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Bibliographic 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 1002.

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Length: 13 pages
Date of creation: Jul 2010
Date of revision:
Handle: RePEc:cma:wpaper:1002

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Related research

Keywords: International stock markets; Serial dependence; Long-memory; Conditional volatility; Factor analysis.;

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Cited by:
  1. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.

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