Stock Market Co-Movement in the Caribbean
Bennett Harrison and
Winston Moore
Economic Issues Journal Articles, 2010, vol. 15, issue 1, 1-15
Abstract:
This paper investigates co-movement in five Caribbean stock markets (Barbados, Jamaica and Trinidad and Tobago, The Bahamas and Guyana) using common factor analysis. The common factors are obtained using principal component analysis and therefore account for the maximum portion of the variance present in the stock exchanges investigated. We break our analysis down and test for co-movement in different periods so as to ascertain any changes that have taken place from one period to the next. In particular we examine 10-year, 5-year and 3-year periods. We also specify a vector autoregression model and test for co-movement between the five markets during the sample period through impulse response functions. Both of our tests fail to find any evidence of co-movement between the exchanges over the entire sample period. However, we find evidence of periodic co-movement, particularly between exchanges in Barbados, Jamaica and Trinidad and Tobago.
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (8)
Downloads: (external link)
http://www.economicissues.org.uk/Files/110Harrison.pdf (application/pdf)
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:eis:articl:110harrison
Access Statistics for this article
More articles in Economic Issues Journal Articles from Economic Issues Contact information at EDIRC.
Bibliographic data for series maintained by Dan Wheatley (daniel.wheatley@ntu.ac.uk).