Skip to main content

Dynamic linkages among equity markets: local versus basket currencies

Buy Article:

$47.50 plus tax (Refund Policy)

This article compares the stability of interrelationships among nine national equity markets by employing basket currencies versus individual base currencies to measure rates of return. We show that the average correlations of equity indexes based on basket currencies are much lower than the average correlations of equity indexes based on individual home base currencies. Additionally, empirical directed graph results from using basket currencies are more consistent with each other than the results from using different individual currencies. We conclude that basket currencies provide more robust results for studying equity market comovements than individual currencies. By implication, studies on equity market interrelationships, including studies on potential financial contagion between equity markets, should use basket currencies to avoid currency dependent results.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
No Metrics

Document Type: Research Article

Affiliations: 1: Department of Agricultural Economics, Texas A&M University, College Station, Texas 77840, USA 2: Department of Finance, Texas A&M University, College Station, Texas 77843, USA

Publication date: 01 May 2011

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more