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Linkages in international stock markets: Evidence from a classification procedure

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  • Simon Sosvilla-Rivero
  • Pedro N. Rodríguez

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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References

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  1. Fabrice COLLARD & Omar LICANDRO & Luis A. PUCH, 2004. "The short-run dynamics of optimal growth models with delays," Economics Working Papers ECO2004/04, European University Institute.
  2. J. Aznar-Marquez & J.R. Ruiz-Tamarit, 2001. "Endogenous Growth, Capital Utilization and Depreciation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001037, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  3. J. Ignacio Conde-Ruiz & Eduardo L. Gimenez & Mikel Perez-Nievas, 2006. "Millian Efficiency with Endogenous Fertility," Documentos de trabajo - Analise Economica 0037, IDEGA - Instituto Universitario de Estudios e Desenvolvemento de Galicia.
  4. Winfried KOENIGER & Omar LICANDRO, 2004. "Substitutability and Competition in the Dixit-Stiglitz Model," Economics Working Papers ECO2004/05, European University Institute.
  5. Joan Costa-Font & Joan Gil, . "Social interactions and the contemporaneous determinants of individuals’ weight," Working Papers 2004-19, FEDEA.
  6. Juan F. Jimeno, . "Demographic change, immigration, and the labour market: A European perspective," Working Papers 2004-18, FEDEA.
  7. Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, . "Regímenes cambiarios de facto y de iure. Una aplicación al tipo de cambio yen/dólar," Working Papers 2004-10, FEDEA.
  8. J. Aznar-Márquez & J. R. Ruiz-Tamarit, . "Non-Catastrophic Endogenous Growth and the Environmental Kuznets Curve," Working Papers 2004-15, FEDEA.
  9. Raquel Carrasco & Juan F. Jimeno & Ana Carolina Ortega, 2004. "The Effect Of Immigration On The Employment Opportunities Of Native-Born Workers: Some Evidence For Spain," Economics Working Papers we046122, Universidad Carlos III, Departamento de Economía.
  10. José A. Herce, . "Could this ever happen in Spain? Economic and policy aspects of a SARS-like episode," Working Papers 2004-09, FEDEA.
  11. Javier Alonso & Simón Sosvilla-Rivero, . "Proyecciones del sistema educativo español ante el boom inmigratorio," Working Papers 2004-14, FEDEA.
  12. Raouf Boucekkine & David de la Croix & Omar Licandro, . "Modelling vintage structures with DDEs: Principles and applications," Working Papers 2004-07, FEDEA.
  13. Amalia Morales Zumaquero & Simón Sosvilla Rivero, 2005. "Structural Breaks in Volatility: Evidence for the OECD Real Exchange Rates," Economic Working Papers at Centro de Estudios Andaluces E2005/01, Centro de Estudios Andaluces.
  14. Marco Celentani & J. Ignacio Conde-Ruiz & Klaus Desmet, . "Inflation in open economies with complete markets," Working Papers 2004-12, FEDEA.
  15. Namkee Ahn & Juan Ramón García, . "Job Satisfaction in Europe," Working Papers 2004-16, FEDEA.
  16. Namkee Ahn & Juan Ramón García & Juan F. Jimeno, . "Well-being Consequences of Unemployment in Europe," Working Papers 2004-11, FEDEA.
  17. Javier Alonso & Simón Sosvilla-Rivero, . "Capital humano en España: Una estimación del nivel de estudios alcanzado," Working Papers 2004-08, FEDEA.
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Cited by:
  1. Namkee Ahn & Juan Ramón García & José A. Herce, . "Demographic Uncertainty and Health Care Expenditure in Spain," Working Papers 2005-07, FEDEA.
  2. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
  3. Ana Carolina Ortega Masagué, . "La situación laboral de los inmigrantes en España: Un análisis descriptivo," Working Papers 2005-08, FEDEA.
  4. Corinne Mette, . "Wellbeing and dependency among European elderly: The role of social integration," Working Papers 2005-12, FEDEA.
  5. José M. Labeaga & Ester Martínez Ros, . "Persistence and ability in the innovation decisions," Working Papers 2005-16, FEDEA.
  6. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  7. José M. Labeaga & Xisco Oliver & Amedeo Spadaro, . "Measuring Changes in Health Capital," Working Papers 2005-15, FEDEA.

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