Extracting global stochastic trend from non-synchronous data
Iikka Korhonen and
No 15/2013, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition
We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive "most important" hours of world financial market and estimate the relative importance of local versus global news for different stock markets. The model generates results that are consistent with intuition. Key words: emerging stock markets, transition economies, financial market integration, stock market returns, global stochastic trend, state space model, Kalman filter, non-synchronous data. JEL codes: C49, C58, G10, G15, F36, F65
JEL-codes: C49 C58 G10 G15 F36 F65 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bof:bofitp:2013_015
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