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| Tekijä: | D'Ecclesia, R.L. Costantini, M. |
| Otsikko: | Comovements and correlations in international stock markets |
| Lehti: | European Journal of Finance
2006 : SEP/OCT, VOL. 12:6-7, p. 567-582 |
| Asiasana: | stock markets diversification international trends |
| Vapaa asiasana: | cycles |
| Kieli: | eng |
| Tiivistelmä: | In international (here as: int.) portfolio management and risk measurement, interrelationship btw. int. stock markets is a key issue. The dynamics of security returns and their risk characteristics have a crucial role in the financial market theory. This paper analyzes the nature of the relationship btw. the major int. stock markets in Canada, Japan, U.K. and the U.S., 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 int. stock markets. |
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