Time-varying inter-market linkage of international stock markets

Y. -P. Hu, Lin Lin and J. -W. Kao

Applied Economics, 2008, vol. 40, issue 19, 2501-2507

Abstract: As a response to the growing concern on the interconnection of international stock markets, this study uses the Pena-Box model to capture time-varying relationship of the returns of 13 stock indices during 1993-2002. The results indicate a dynamic relationship of world major stock markets over time, which provide new but supplemental evidence on the conclusion derived from the conventional confirmatory factor analyses in literature.

Date: 2008
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DOI: 10.1080/00036840600970146

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