International Stock Markets

The price that people are prepared to pay for a company's shares in the market tells you how much money they think they will make in the future. Its only seven blocks long but it may be the most important street on earth, Wall Street! It's fueled some of the greatest economic expansions ever known. It's plugged millions into poverty and ruin!

We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value–at–Risk.

The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, we re-examine such comovement by resorting to a novel approach, wavelet analysis. Wavelet analysis allows one to measure the comovement in the time–frequency space. In this way, one can characterize how international stock returns relate in

Financial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices all indices in the same day or lagged indices. The answer this article proposes is that we should consider both. In this work, we use 79 indices of a diversity of stock markets across the world in order to study their correlation structure, and discover that representing in the same network original and lagged indices, we obtain a better understanding of how indices that operate at different hours relate to each other. (The final, revised version is published in Physica A - please follow the link provided.)

The article offers an introductory account on the two core approaches to investing; the quantitative (by diversification) and the qualitative (by stock picking). In the subsequent investigation of these styles, the reader may find some of the results thought-provoking and surprising. Finally, it aims to clarify whether or not a replicating strategy on either of these two is a likely way to financial abundance.

This article applied GARCH model instead AR or ARMA model to compare with the standard BP and SVM in forecasting of the four international including two Asian stock markets indices.These models were evaluated on five performance metrics or criteria. Our experimental results showed the superiority of SVM and GARCH models, compared to the standard BP in forecasting of the four international stock markets indices.

The purpose of this study is to access the factors which resist common man in India from investing in stock market and ways to overcome such hesitations with the sole motive to induce investment in Indian Stock Market. India is one of the fastest developing countries in the world. As country's growth is mainly dependent upon its financial markets, India is also concentrating towards its share market sector. Indian stock markets are the engines that drive the vehicle of our economy by pumping in much needed capital. The study compares investment in Indian Stock Market with United State, London and Japanese Stock Market. This research is based upon a survey conducted on both investors and non-investors. This paper tends to find out why in a population of over one billion; barely 3% invest in equity markets in India, whereas in developed countries like US, UK and Japan more than 50% invest in equity markets.

Previous studies have investigated the comovements of international equity markets by using correlation, cointegration, common factor analysis, and other approaches. In this paper, we investigate the stochastic structure of major euro and non-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram based metric for level and squared returns

In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then current modelling approaches will lead to an over-estimation of the risk of simul- taneous extreme events. We use two simple nonparametric measures to identify and quantify the tail dependence among

The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed historical returns but from their empirical properties, without imposing any restriction about the time dependence of the observations. To identify clusters of markets and multivariate outliers, factor analysis is then used to generate factor scores. The findings suggest the existence of meaningful factors which determine the differences in terms of the dependence structure between developed and emerging market returns.

En este documento se presentan los resultados obtenidos mediante la estimación de un modelo econométrico para estudiar la dinámica de la prima de riesgo del mercado mexicano de capitales. Las variables explicativas son los factores de riesgo mostrados por López y Ortiz (2005), construidos con base en variables económicas cuya importancia para explicar el riesgo sistemático ha sido identificada en la literatura teórica y en la derivada de estudios empíricos para el caso mexicano. En el análisis que se presenta en el documento se consideran también la relación del mercado mexicano con el mercado mundial de capitales y eventos importantes para el mercado mexicano de valores. Además de la evidencia de que los factores analizados son relevantes para explicar la prima de riesgo en México, se encuentra que la liberalización financiera, el Tratado de Libre Comercio de América del Norte (TLCAN) y el proceso de estabilización de la economía mexicana mediante el pacto y las políticas sucedáneas han tenido efectos significativos también. Asimismo, se encuentra evidencia de segmentación parcial del mercado mexicano de capitales con respecto del mundial.

Palabras clave: valuación de activos, modelos multifactoriales, prima de riesgo, riesgo sistemático y variables económicas, integración-segmentación de mercados de capitales.

RESUMEN Esta investigación utiliza una red neuronal multicapa para relacionar el Índice General de Bolsa de Valores de Colombia (IGBC) con fundamentales macroeconómicos y variables Financieras. Proponemos dos modelos: un modelo APT (fundamentales macroeconómicos) y un modelo APT modificado (fundamentales macroeconómicos + indicador de las bolsas del mundo); de acuerdo a nuestro análisis el APT tradicional se ajusta mejor para

In this paper, we assess whether there is cointegration among stock exchange markets of a bloc of major EU countries of France, Germany, and, United Kingdom. Besides, we probe the cointegration patterns between these countries' capital markets and the world capital market as well, proxy of which is the Morgan Stanley Capital International (MSCI) Index. The main rationale inducing us to focus on these countries is their joint membership in European Union inferring great financial integration among them.