Mongolian and World Equity Markets: Volatilities and Correlations

Yertai Tanai () and Kuan-Pin Lin ()

Eurasian Economic Review, 2013, vol. 3, issue 2, 136-164

Abstract: After more than 10 years since the establishment of the Shanghai Cooperation Organization (SCO), this paper studies how variances and correlations have evolved in four SCO countries’ equity markets (China, Kazakhstan, Mongolia, and Russia) relative to Japanese, US and EU markets. We focus on the Mongolian equity market. We trace stock market co-movements of Mongolia and SCO member countries to the world market since the inauguration of the SCO in 2001. We also take into account the effects of recent world financial crisis in the region. As compared to the increasing global trend of market integration among countries, we don’t find any significant contagion among SCO countries in the first half of sample periods. After 2005, market integrations among SCO countries are evident. Copyright Eurasia Business and Economics Society 2013

Keywords: SCO; Equity Market; Volatility; Correlation; G10; G15; F15 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.14208/eer.2013.03.02.003

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