search query: @author Bilici, H. / total: 1
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| Author: | Yavas, B. Rezayat, F. Bilici, H. |
| Title: | A study of correlation between international equity markets using exchange-traded funds |
| Journal: | Journal of Asia-Pacific Business
2004 : AUG, VOL 5:3, p. 67-82 |
| Index terms: | Stock markets Equity capital Funds Asia Europe USA |
| Language: | eng |
| Abstract: | In this study, weekly closing prices data are utilized from three exchange-traded funds representing American, Japanese and European equity markets. The aim is to examine the joint impact of any two on the third market. Ishares Russell 3000 (IWV), Ishares MSCI Japan (EWJ) and Ishares S&P Europe 350 (IEV) were used to represent the U.S., Japan, the European stock markets, respectively. While the findings indicate that the interdependences among the three markets are significant, there is still room for international portfolio diversification: e.g., Japanese investors can realize diversification benefits by investing both in Europe and in the U.S., European and American investors, on the other hand, can diversify portfolios by investing in Japan. Finally, the hypothesis is supported that the international market correlations increase during times of volatility. |
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