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An empirical analysis of international equity market co-movements: implications for informational efficiency

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  • Manuela CROCI

    ([n.a.])

Abstract

Relying on the common statement that New York is a leader market in the world, this paper investigates whether the American market drives the performance of other world's stock markets and whether the interdependence becomes higher in periods of economic downturn and poor market performance (asymmetry in stock market co-movements). Results confirm that the behavior of major stock markets in the world is partly explained by comovements with America's exchange and, more importantly, that there is evidence for an asymmetric behavior. Additionally, estimated results are consistent with the notion of informationally effient stock markets, as the transmission of news from America to the rest of the world is completed within few days.

Suggested Citation

  • Manuela CROCI, 2003. "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers 197, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  • Handle: RePEc:anc:wpaper:197
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    File URL: http://docs.dises.univpm.it/web/quaderni/pdf/197.pdf
    File Function: First version, 2003
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    References listed on IDEAS

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    5. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
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    7. Kpate ADJAOUT√Č & Jean-Pierre DANTHINE, 2003. "European Financial Integration and Equity Returns: A Theory-Based Assessment," FAME Research Paper Series rp84, International Center for Financial Asset Management and Engineering.
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    Citations

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    Cited by:

    1. Stefania BUSSOLETTI & Roberto ESPOSTI, 2004. "Regional Convergence, Structural Funds and the Role of Agricolture in the EU. A Panel-Data Approach," Working Papers 220, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. Renato BALDUCCI, 2005. "Public Expenditure and Economic Growth. A critical extension of Barro's (1990) model," Working Papers 240, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. Roberto ESPOSTI & Pierpaolo PIERANI, 2005. "Price, Private Demand and Optimal Provision of Public R&D in Italian Agriculture," Working Papers 238, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    4. Marcello MESSORI & Alberto ZAZZARO, 2004. "Monetary profits within the circuit: Ponzi finance oer "mors tua, vita mea"?," Working Papers 200, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    5. Elvio MATTIOLI, 2003. "The measurement of coherence in the evaluation of criteria and its effects or ranking problems illustrated using a multicriteria decision method," Working Papers 199, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

    More about this item

    Keywords

    asymmetry in equity market co-movements; informational efficiency; international equity markets; univariate GARCH;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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