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Time-varying inter-market linkage of international stock markets

Author

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  • 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. Edson Zambon Monte & Felipe Fantin Almeida, 2020. "Interrelationships Between The Stock Returns Of Brazilian Companies That Make Up The Sãƒo Paulo Stock Exchange Index," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 17(1), pages 115-145, January-J.
    2. 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.
    3. 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.
    4. 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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