International stock market linkages: A factor analysis approach

M Illueca () and Juan Angel Lafuente
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M Illueca: University Jaume I

Journal of Asset Management, 2002, vol. 3, issue 3, No 6, 253-265

Abstract: Abstract This paper provides empirical evidence on the factor structure of stock market return and volatility from a representative set of international stock exchanges. As to stock market return linkages, the results show a mild segmentation of international stock exchanges into four international areas: Europe, Asia, North and South America. Empirical findings concerning stock market volatility, estimated using GARCH methodology, also lead to a four factors solution. However, the loadings are not similar, revealing that risk is spread more globally around the world.

Keywords: stock index; return; volatility; factor analysis; transformation analysis; Garch models (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1057/palgrave.jam.2240079

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