Advanced Search
MyIDEAS: Login to save this paper or follow this series

Identifying the evolution of stock markets stochastic structure after the euro

Contents:

Author Info

  • Caiado, Jorge
  • Crato, Nuno

Abstract

Previous studies have investigated the comovements of international equity markets by using correlation, cointegration, common factor analysis, and other approaches. In this paper, we investigate the stochastic structure of major euro and non-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram based metric for level and squared returns in order to compute distances between the stock markets. This method captures the stochastic dependence structure of the time series and solves the shortcoming of unequal sample sizes found for different countries. The clusters of countries are formed by the dendrogram and the principal coordinates associated with the sample spectrum for both the series of returns and volatilities. The empirical results suggest that the cross-country groups have become considerably more homogeneous with the introduction of the euro as an electronic currency. For reference, we also explore the pairwise correlations among the series.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. 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.
File URL: http://mpra.ub.uni-muenchen.de/6609/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 6609.

as in new window
Length:
Date of creation: Jan 2008
Date of revision:
Handle: RePEc:pra:mprapa:6609

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Cluster analysis; Euro area; International stock markets; Periodogram; Stock returns; Volatility;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(5), pages 633-647.
  2. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, Springer, vol. 11(1), pages 193-197, September.
  3. Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2000. "High-frequency Cross-correlation in a Set of Stocks," Papers cond-mat/0009350, arXiv.org, revised Nov 2000.
  4. Karolyi, G Andrew & Stulz, Rene M, 1996. " Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, American Finance Association, vol. 51(3), pages 951-86, July.
  5. A. Tahai & Robert Rutledge & Khondkar Karim, 2004. "An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(5), pages 327-335.
  6. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(2), pages 167-76, April.
  7. Rita D'Ecclesia & Mauro Costantini, 2006. "Comovements and correlations in international stock markets," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(6-7), pages 567-582.
  8. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
  9. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(10), pages 2668-2684, June.
  10. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Comparison of time series with unequal length," MPRA Paper 6605, University Library of Munich, Germany.
  11. Tak-Kee Hui, 2005. "Portfolio diversification: a factor analysis approach," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(12), pages 821-834.
  12. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(2), pages 261-287, April.
  13. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
  14. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:6609. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.