Time-shift asymmetric correlation analysis of global stock markets

Sergey K. Aityan, Alexey K. Ivanov-Schitz and Sergey S. Izotov

Journal of International Financial Markets, Institutions and Money, 2010, vol. 20, issue 5, 590-605

Abstract: The time-shift asymmetric correlation analysis method is introduced for stock exchanges with different but non-overlapping trading hours to analyze the degree of global integration between stock markets of different countries and their influence on each other. Next-day correlation (NDC) and same-day correlation (SDC) coefficients are introduced. Correlations between major U.S. and Asia-Pacific stock market indices are analyzed. Most NDCs are statistically significant while most SDCs are insignificant. NDCs grow over time and the U.S. stock market plays a pacemaking role for the Asia-Pacific region. The correlation coefficients can be used as a measure of the degree of globalization for the corresponding countries.

Keywords: Stock; market; Correlation; Asymmetric; Time-shift; Globalization (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:20:y:2010:i:5:p:590-605

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