Time-varying inter-market linkage of international stock markets

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As a response to the growing concern on the interconnection of international stock markets, this study uses the Pena-Box model to capture time-varying relationship of the returns of 13 stock indices during 1993-2002. The results indicate a dynamic relationship of world major stock markets over time, which provide new but supplemental evidence on the conclusion derived from the conventional confirmatory factor analyses in literature.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840600970146

Affiliations: 1: Department of International Business Studies, National Chi-Nan University, Taiwan 545, R.O.C. 2: Department of Banking and Finance, National Chi-Nan University, Taiwan 545, R.O.C.

Publication date: October 1, 2008

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