World Equity Markets: A New Approach for Segmentation (in English)

José Dias Curto, José Castro Pinto and Joao Eduardo Fernandes
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José Castro Pinto: ISCTE Business School, Lisbon
Joao Eduardo Fernandes: ISCTE Business School, Lisbon

Czech Journal of Economics and Finance (Finance a uver), 2006, vol. 56, issue 7-8, 344-360

Abstract: This paper is an assessment of international equity-market integration and uses an innovative approach to segment equity markets into related geographic areas. The authors´ focus is on the relationships among the returns of the dominant national equity indexes by continent. To understand how these indexes have evolved, the authors will concentrate on a reduced number of dimensions extracted from principal components analysis. They will demonstrate that each one of these components is particularly associated with certain groups of nations and less associated with others.

Keywords: interaction; principal components analysis; returns (search for similar items in EconPapers)
JEL-codes: C10 E44 G15 O57 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:56:y:2006:i:7-8:p:344-360

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