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Stockmarket comovements revisited

  • Sergio Da Silva

    ()

    (Department of Economics, Federal University of Santa Catarina)

  • Paulo Ceretta

    ()

    (Department of Management, Federal University of Santa Maria)

  • Silvia Nunes

    ()

    (Department of Economics, Amazon State University)

  • Newton Da Costa, Jr

    ()

    (Department of Economics, Federal University of Santa Catarina, Brazil)

We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous treatment of data for the eighties and nineties. We show that while emerging markets experience greater instability in the long term than their developed counterparts, there is room for short-term strategies to take advantage of profit opportunities in the emerging markets, especially in India.

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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 7 (2005)
Issue (Month): 3 ()
Pages: 1-9

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Handle: RePEc:ebl:ecbull:eb-05g10001
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  1. Errunza, Vihang, et al, 1994. "Conditional Heteroskedasticity and Global Stock Return Distributions," The Financial Review, Eastern Finance Association, vol. 29(3), pages 293-317, August.
  2. Meric, Ilhan & Meric, Gulser, 1989. "Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 627-640, September.
  3. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
  4. Lessard, Donald R, 1973. "International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries," Journal of Finance, American Finance Association, vol. 28(3), pages 619-33, June.
  5. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  6. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
  7. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
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