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Interrelationships among international stock market indices: Europe, Asia and the Americas

Sharkasi, Adel and Ruskin, Heather J. and Crane, Martin (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

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Abstract

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.

Item Type:Article (Published)
Refereed:Yes
Uncontrolled Keywords:simple regression; volatility; wavelet analysis;
Subjects:Mathematics > Numerical analysis
Mathematics > Statistics
Physical Sciences > Statistical physics
DCU Faculties and Centres:DCU Faculties and Schools > Faculty of Engineering and Computing > School of Computing
Publisher:World Scientific Publishing
Official URL:http://dx.doi.org/10.1142/S0219024905003190
Use License:This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License
ID Code:14859
Deposited On:17 Sep 2009 14:30 by Martin Crane. Last Modified 17 Sep 2009 14:31

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