Search results for "International stock markets"
showing 3 items of 3 documents
Skewness in financial returns
1999
Abstract In this paper the symmetry of daily returns is addressed in eight international stock markets and three spot exchange rates. Tests of symmetry with the sample skewness seem of little value, due to the non-normality of the returns. Under alternative non-normal distributions, the symmetry of the returns cannot be rejected for most markets. Distribution-free procedures do not detect strong asymmetries in most of the series either; however, some differences between returns below the mean and returns over the mean are observed in several markets
International Exchanges in a Globalized World
2018
A reality today is that the economy, characterized by the expansion and development of financial mechanisms, cannot be conceived without the stock exchange: the real economy is reflected in the trend of stock, and, in turn, the stock can influence – good or bad – the economic life. Thus, by the rise of globalization, as instruments of capital accumulation, stock exchange has become the most effective way of targeting the capital available in the economy to the most profitable use. The market will determine which companies will be funded and what is the cost of their capital. The decisive factor is the efficiency with which companies use this capital. In this way, international stock markets…
Timescale-dependent stock market comovement: BRICs vs. developed markets
2014
This paper examines the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the U.S. for different return periods. The novelty of the paper is that the stock return indices are decomposed to several timescales using wavelet analysis and that the results are further used as inputs for the dynamic conditional correlation (DCC) framework, which is used as a measure of comovement. The results propose that the level of stock market comovement depends on regional aspects, the level of d…