Institutions | About Us | Help | Gaeilge
rian logo


Mark
Go Back
Interrelationships among international stock market indices: Europe, Asia and the Americas
Sharkasi, Adel; Ruskin, Heather J.; Crane, Martin
In this paper, we investigate the price interdependence between seven international stock markets, namely Irish, UK, Portuguese, US, Brazilian, Japanese and Hong Kong, using a new testing method, based on the wavelet transform to reconstruct the data series, as suggested by Lee (2002). We find evidence of intra-European (Irish, UK and Portuguese) market co-movements with the US market also weakly influencing the Irish market. We also find co-movement between the US and Brazilian markets and similar intra-Asian co-movements (Japanese and Hong Kong). Finally, we conclude that the circle of impact is that of the European markets (Irish, UK and Portuguese) on both American markets (US and Brazilian), with these in turn impacting on the Asian markets (Japanese and Hong Kong) which in turn influence the European markets. In summary, we find evidence for intra-continental relationships and an increase in importance of international spillover effects since the mid 1990’s, while the importance of historical transmissions has decreased since the beginning of this century.
Keyword(s): Numerical analysis; Statistics; Statistical physics; simple regression; volatility; wavelet analysis
Publication Date:
2005
Type: Other
Peer-Reviewed: Unknown
Language(s): English
Institution: Dublin City University
Citation(s): Sharkasi, Adel, Ruskin, Heather J. ORCID: 0000-0001-7101-2242 <https://orcid.org/0000-0001-7101-2242> and Crane, Martin ORCID: 0000-0001-7598-3126 <https://orcid.org/0000-0001-7598-3126> (2005) Interrelationships among international stock market indices: Europe, Asia and the Americas. International Journal of Theoretical and Applied Finance, 8 (5). pp. 1-18. ISSN 0219-0249
Publisher(s): World Scientific Publishing
File Format(s): application/pdf
Related Link(s): http://doras.dcu.ie/14859/1/IJTAF_paper_Adelsharkasi.pdf,
http://dx.doi.org/10.1142/S0219024905003190
First Indexed: 2009-11-05 02:01:42 Last Updated: 2019-02-09 06:57:53