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Time-shift asymmetric correlation analysis of global stock markets

  • Aityan, Sergey K.
  • Ivanov-Schitz, Alexey K.
  • Izotov, Sergey S.
Registered author(s):

    The time-shift asymmetric correlation analysis method is introduced for stock exchanges with different but non-overlapping trading hours to analyze the degree of global integration between stock markets of different countries and their influence on each other. Next-day correlation (NDC) and same-day correlation (SDC) coefficients are introduced. Correlations between major U.S. and Asia-Pacific stock market indices are analyzed. Most NDCs are statistically significant while most SDCs are insignificant. NDCs grow over time and the U.S. stock market plays a pacemaking role for the Asia-Pacific region. The correlation coefficients can be used as a measure of the degree of globalization for the corresponding countries.

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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 20 (2010)
    Issue (Month): 5 (December)
    Pages: 590-605

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    Handle: RePEc:eee:intfin:v:20:y:2010:i:5:p:590-605
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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