Asynchronous Signaling in Global Equity Markets：Based on Opening Times

Huijian Dong

International Business Research, 2017, vol. 10, issue 8, 173-191

Abstract: This paper employs cointegration tests to identify the impacts of sequential opens of global equity market among the equity indices. We use the daily data of 31 major equity markets and explore the comovement relationship according to the sequence of the market open. This study also examines the impact of the 2008 global financial crisis to such comovement relationship. Our results indicate that the markets in Europe-Middle East, Asia-Pacific and Latin America, are less affected by the levels of earlier opens of other markets. After the end of 2007, the global equity market comovement pattern changed significantly, yet the interdependence of markets was not unanimously strengthened. The size of an equity market does not dictate its range and power of impact, as we find that a large size market can still be cointegrated with small size markets, while a small size market is almost always cointegrated with large size markets.

Keywords: global equity market; cointegration; comovement; financial crisis (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ibn:ibrjnl:v:10:y:2017:i:8:p:173-191

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