INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS

Adel Sharkasi (), Heather J. Ruskin () and Martin Crane ()
Additional contact information
Adel Sharkasi: School of Computing, Dublin City University, Dublin 9, Ireland
Heather J. Ruskin: School of Computing, Dublin City University, Dublin 9, Ireland
Martin Crane: School of Computing, Dublin City University, Dublin 9, Ireland

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 05, 603-622

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 [11]. 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 1990s, while the importance of historical transmissions has decreased since the beginning of this century.

Keywords: Simple regression; volatility; wavelet analysis (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024905003190
Access to full text is restricted to subscribers

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:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003190

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024905003190

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().