 Comovements and correlations in international stock marketsRita D'Ecclesia and Mauro Costantini The European Journal of Finance, 2006, vol. 12, issue 6-7, 567-582 Abstract: The interrelationship between international stock markets is a key issue in international portfolio management and risk measurement. The dynamics of security returns and their risk characteristics have a crucial role in the financial market theory. Recent empirical studies have tested market efficiency measuring the degree of integration of international financial markets. These studies have shown that international markets react quickly to news but they are volatile and difficult to predict, with a changing correlation structure of security returns among countries. In this paper the nature of the relationship between the major international stock markets in Canada, Japan, UK and the US, is analysed using the common trends and common cycles approach. The presence of co-movements is investigated to try to detect a long-term stationary component, the common trend, and a short-term stationary cyclical component, among international stock markets. The implications for international portfolio management are also discussed. Keywords: Common cycles; common trends; cointegration; VECM; market diversification (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:12:y:2006:i:6-7:p:567-582 Ordering information: This journal article can be ordered from DOI: 10.1080/13518470500531135 Access Statistics for this article The European Journal of Finance is currently edited by Chris Adcock More articles in The European Journal of Finance from Taylor & Francis Journals |
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