Linkages in international stock markets: Evidence from a classification procedure

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Linkages in international stock markets: Evidence from a classification procedure

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Simon Sosvilla-Rivero
Pedro N. Rodríguez

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Abstract

In this paper we propose a new approach to evaluate the predictable components in stock indices using a boosting-based classification technique, and we use this method to examine causality among the three main stock market indices in the world during periods of large positive price changes. The empirical evidence seems to indicate that the Standard & Poors 500 index contains incremental information that is not present in either the FTSE 100 index or the Nikkei 225 index, and that could be used to enhance the predictability of the large positive returns in the three main stock market indices in the world. This in turn would suggest a causality relationship running from the Standard & Poors 500 index to both the FTSE 100 and the Nikkei 225 indices.

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Paper provided by FEDEA in its series Working Papers with number 2004-23.

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Handle: RePEc:fda:fdaddt:2004-23

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This paper has been announced in the following NEP Reports:

NEP-ALL-2005-03-20 (All new papers)
NEP-FIN-2005-03-20 (Finance)
NEP-FMK-2005-03-20 (Financial Markets)
NEP-RMG-2005-03-20 (Risk Management)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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Other versions:
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Other versions:
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Fabrice Collard & Omar Licandro & Luis A. Puch, . "The short-run dynamics of optimal growth models with delays," Working Papers 2004-05, FEDEA. [Downloadable!]
Other versions:
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Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Corinne Mette, . "Wellbeing and dependency among European elderly: The role of social integration," Working Papers 2005-12, FEDEA. [Downloadable!]
José M. Labeaga & Xisco Oliver & Amedeo Spadaro, . "Measuring Changes in Health Capital," Working Papers 2005-15, FEDEA. [Downloadable!]
Ana Carolina Ortega Masagué, . "La situación laboral de los inmigrantes en España: Un análisis descriptivo," Working Papers 2005-08, FEDEA. [Downloadable!]
Namkee Ahn & Juan Ramón García & José A. Herce, . "Demographic Uncertainty and Health Care Expenditure in Spain," Working Papers 2005-07, FEDEA. [Downloadable!]
José M. Labeaga & Ester Martínez Ros, . "Persistence and ability in the innovation decisions," Working Papers 2005-16, FEDEA. [Downloadable!]
Other versions:
- José M. Labeaga & Ester Martínez Ros, 2003. "Persistence And Ability In The Innovation Decisions," Business Economics Working Papers wb030101, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]

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