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International stock market linkages: A factor analysis approach

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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.Journal of Asset Management (2002) 3, 253–265; doi:10.1057/palgrave.jam.2240079

Document Type: Research Article

DOI: https://doi.org/10.1057/palgrave.jam.2240079

Affiliations: 1: 1Department of Finance and Accounting, University Jaume I, Campus del Riu Sec, 12080, Castellón, Spain, Tel: +34 964 728566, Fax: 34 964 728565, Email: illueca@cofin.uji.es 2: 2Lecturer in Finance in the Faculty of Law and Economics at University Jaume I

Publication date: 2002-12-01

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