An empirical analysis of international equity market co-movements: implications for informational efficiency

Manuela Croci
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Manuela Croci: [n.a.]

No 197, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: Relying on the common statement that New York is a leader market in the world, this paper investigates whether the American market drives the performance of other world's stock markets and whether the interdependence becomes higher in periods of economic downturn and poor market performance (asymmetry in stock market co-movements). Results confirm that the behavior of major stock markets in the world is partly explained by comovements with America's exchange and, more importantly, that there is evidence for an asymmetric behavior. Additionally, estimated results are consistent with the notion of informationally effient stock markets, as the transmission of news from America to the rest of the world is completed within few days.

Keywords: asymmetry in equity market co-movements; informational efficiency; international equity markets; univariate GARCH (search for similar items in EconPapers)
JEL-codes: C22 C52 G14 G15 (search for similar items in EconPapers)
Pages: 37
Date: 2003-11
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:197

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