search query: @indexterm analytical review / total: 857
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| Author: | Illueca, M. Lafuente, J. A. |
| Title: | International stock market linkages: A factor analysis approach |
| Journal: | Journal of Asset Management
2002 : DEC, VOL. 3:3, p. 253-265 |
| Index terms: | STOCK MARKETS FACTOR ANALYSIS ANALYTICAL REVIEW FINANCE |
| Language: | eng |
| Abstract: | This paper provides empirical evidence on the factor structure of stock market return and volatility from a representative set of international stock exchanges. As to stock market return linkages, the results show a mild segmentation of international stock exchanges into four international areas: Europe, Asia, North and South America. Empirical findings concerning stock market volatility, estimated using GARCH methodology, also lead to a four factors solution. However, the loadings are not similar, revealing that risk is spread more globally around the world. The paper provides a substantial list of references and a number of figures and tables on this subject. |
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