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Linkages in international stock markets: Evidence from a classification procedure

  • Simon Sosvilla-Rivero
  • Pedro N. Rodríguez

In this paper we propose a new approach to evaluate the predictable components in stock indices using a boosting-based classification technique, and we use this method to examine causality among the three main stock market indices in the world during periods of large positive price changes. The empirical evidence seems to indicate that the Standard & Poors 500 index contains incremental information that is not present in either the FTSE 100 index or the Nikkei 225 index, and that could be used to enhance the predictability of the large positive returns in the three main stock market indices in the world. This in turn would suggest a causality relationship running from the Standard & Poors 500 index to both the FTSE 100 and the Nikkei 225 indices.

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File URL: http://documentos.fedea.net/pubs/dt/2004/dt-2004-23.pdf
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Paper provided by FEDEA in its series Working Papers with number 2004-23.

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Handle: RePEc:fda:fdaddt:2004-23
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  1. Raouf, BOUCEKKINE & David de la Croix & Omar Lidandro, 2004. "Modelling vintage structures with DDEs : principles and applications," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2004004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  2. Fabrice COLLARD & Omar LICANDRO & Luis A. PUCH, 2008. "The short-run Dynamics of Optimal Growth Model with Delays," Annales d'Economie et de Statistique, ENSAE, issue 90, pages 127-143.
  3. J. Aznar-Márquez & J. R. Ruiz-Tamarit, . "Non-Catastrophic Endogenous Growth and the Environmental Kuznets Curve," Working Papers 2004-15, FEDEA.
  4. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
  5. J. Ignacio Conde-Ruiz & Eduardo L. Giménez & Mikel Pérez-Nievas, . "Millian Efficiency with Endogenous Fertility," Working Papers 2004-13, FEDEA.
  6. J. Aznar-Márquez & J. R. Ruiz-Tamarit, . "Endogenous Growth, Capital Utilization and Depreciation," Working Papers 2004-21, FEDEA.
  7. Raquel Carrasco & Juan F. Jimeno & Ana Carolina Ortega, 2004. "The Effect Of Immigration On The Employment Opportunities Of Native-Born Workers: Some Evidence For Spain," Economics Working Papers we046122, Universidad Carlos III, Departamento de Economía.
  8. Javier Alonso & Simón Sosvilla-Rivero, . "Proyecciones del sistema educativo español ante el boom inmigratorio," Working Papers 2004-14, FEDEA.
  9. Joan Costa-Font & Joan Gil, . "Social interactions and the contemporaneous determinants of individuals’ weight," Working Papers 2004-19, FEDEA.
  10. José A. Herce, . "Could this ever happen in Spain? Economic and policy aspects of a SARS-like episode," Working Papers 2004-09, FEDEA.
  11. Celentani, Marco & Conde-Ruiz, José Ignacio & Desmet, Klaus, 2004. "Inflation in Open Economies with Complete Markets," CEPR Discussion Papers 4385, C.E.P.R. Discussion Papers.
  12. Juan F. Jimeno, . "Demographic change, immigration, and the labour market: A European perspective," Working Papers 2004-18, FEDEA.
  13. Namkee Ahn & Juan Ramón García, . "Job Satisfaction in Europe," Working Papers 2004-16, FEDEA.
  14. Koeniger, Winfried & Licandro, Omar, 2004. "Substitutability and Competition in the Dixit-Stiglitz Model," IZA Discussion Papers 1007, Institute for the Study of Labor (IZA).
  15. Amalia Morales-Zumaquero & Simon Sosvilla-Rivero, . "Structural Breaks in Volatility: Evidence from the OECD Real Exchange Rates," Working Papers 2004-22, FEDEA.
  16. Javier Alonso & Simón Sosvilla-Rivero, . "Capital humano en España: Una estimación del nivel de estudios alcanzado," Working Papers 2004-08, FEDEA.
  17. Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, . "Regímenes cambiarios de facto y de iure. Una aplicación al tipo de cambio yen/dólar," Working Papers 2004-10, FEDEA.
  18. Namkee Ahn & Juan Ramón García & Juan F. Jimeno, . "Well-being Consequences of Unemployment in Europe," Working Papers 2004-11, FEDEA.
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