The structure of international stock market returns

João Bastos and Jorge Caiado

No 1002, CEMAPRE Working Papers from Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon

Abstract: The behavior of international stock market returns in terms of their distributional properties, serial dependence, long-memory and conditional volatility is examined. A factor analysis is employed to identify the underlying dimensions of the returns. The analysis reveals the existence of meaningful factors when these are estimated from the empirical properties of a large set of international equity indices. Furthermore, the factor scores discriminate very well the stock markets according to size and level of development.

Keywords: International stock markets; Serial dependence; Long-memory; Conditional volatility; Factor analysis. (search for similar items in EconPapers)
JEL-codes: C13 G15 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2010-07
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://cemapre.iseg.utl.pt/archive/preprints/418.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to cemapre.iseg.utl.pt:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cma:wpaper:1002

Access Statistics for this paper

More papers in CEMAPRE Working Papers from Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lima ( this e-mail address is bad, please contact ).