The structure of international stock market returns

João Afonso 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)
New Economics Papers: this item is included in nep-fmk
Date: 2010-07
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Persistent link: http://EconPapers.repec.org/RePEc:cma:wpaper:1002

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