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Time-varying inter-market linkage of international stock markets

Author

Listed:
  • Y. -P. Hu
  • L. Lin
  • J. -W. Kao

Abstract

As a response to the growing concern on the interconnection of international stock markets, this study uses the Pena-Box model to capture time-varying relationship of the returns of 13 stock indices during 1993-2002. The results indicate a dynamic relationship of world major stock markets over time, which provide new but supplemental evidence on the conclusion derived from the conventional confirmatory factor analyses in literature.

Suggested Citation

  • Y. -P. Hu & L. Lin & J. -W. Kao, 2008. "Time-varying inter-market linkage of international stock markets," Applied Economics, Taylor & Francis Journals, vol. 40(19), pages 2501-2507.
  • Handle: RePEc:taf:applec:v:40:y:2008:i:19:p:2501-2507
    DOI: 10.1080/00036840600970146
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    Cited by:

    1. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    2. Wei-Chun Hsu & Lin Lin & Chen-Yu Li, 2014. "Forecasting automobile sales: the Peña-Box approach," Transportation Planning and Technology, Taylor & Francis Journals, vol. 37(6), pages 568-580, August.
    3. Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 590-605, December.

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