Correlation dynamics in European equity markets

Kearney, Colm; Potì, Valerio

doi:10.1016/j.ribaf.2005.05.006

Cited by 60 publications

(24 citation statements)

References 21 publications

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“…Empirical evidence supports that correlations tend to increase in equity markets during turbulent periods or downward markets (e.g. Longin and Solnik, 2001;Ang and Chen, 2002;Kearney and Poti, 2006).…”

Section: Introductionmentioning

confidence: 98%

Dynamic correlations and volatility effects in the Balkan equity markets

Syriopoulos

Roumpis

2009

Journal of International Financial Markets, Institutions and Mo

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Section: Introductionmentioning

confidence: 98%

Dynamic correlations and volatility effects in the Balkan equity markets

Syriopoulos

Roumpis

2009

Journal of International Financial Markets, Institutions and Mo

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“…Liljeblom et al (1997) investigated the benefits of IPD from the point of view of Nordic investors; Ho et al (1999) reported that reducing the risk of loss through IPD would be of substantial benefit to Canadian investors; Rowland and Tesar (2004) and Gerke et al (2005) also examined the potential benefits of IPD from the perspective of the German investor; Dunis and Shannon (2005) who examined stock markets in Southeast Asia (Malaysia, Philippines and Indonesia) and Central Asia (China, Belize, Taiwan and India), found that IDP would be beneficial to investors in the USA; Kearney and Poti (2006) used two conditional and unconditional estimation methods and analyzed the dynamics of correlation in five leading European capital markets, and Égert and Kocenda (2007) analyzed the issue between Eastern European stock markets and Central Bank ,where they stated that there is no long-term bond between stock markets between these two blocs. Therefore, on the question of the International Portfolio Diversification in the African context, there are practically no studies done, except for the few references that however, did not have a great impact on the African capital markets.…”

Section: Literature Reviewmentioning

confidence: 99%

The contribution of the African capital markets in the diversification of investment global portfolios

Barreto¹

2017

Afr. J. Bus. Manage.

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This study aims to evaluate the contribution of the African capital markets in the diversification of investment global portfolios. The study used the methodology based on the application of optimization models like mean variance (MV), resample michaud (RM), semi variance (SV), mean absolute deviation (MAD), and filtered historical simulation (FHS). In-sample and out-of-sample approaches were used to analyze the data. The study results suggested the existence of a strong correlation between some African capital markets and global capital markets, that is, they tend to move in the same direction. The most important being the diversification of global portfolio with assets of African capital markets generate benefits for both types of investors, risk averse and taker investors; that is, it provides benefits in the return and reduce investment risk. Still, the study results suggested that the foreign investors should look for African capital markets with a chance to maximize their wealth and diversify the investment risk in their portfolios. In the same order, the study result went further to elaborate on the advantages of the international diversification and furthermore contributes to the literature through application of the FHS method in the optimization portfolio. This methodology in addition to producing good results, is more restrained in the composition of investment portfolios than the other methods.

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“…The Johansen cointegration procedure indicates that there is no long-term relationship between the German and Central European markets, either individually or as a group. ChelleySteeley (2005) and Kearney and Poti (2006) examined the links among the various equity markets in the European markets. They found evidence in favour of a structural break in the process of market integration and established that the markets of Eastern Europe in particular are moving away from market segmentation.…”

Section: Literature Reviewmentioning

confidence: 99%

Cointegration and stock market interdependence: Evidence from South Africa, India and the USA

Mohanasundaram¹,

Parthasarathy²

2015

SAJEMS

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The purpose of this study is to explore the nature of the association and the possible existence of a shortrun and long-run relationship between the stock-market indices of South Africa, India and the USA. The idea behind this combination is to know how the stock markets of these three prominent countries are related to each other. The study employs monthly data from the stock indices, namely JALSH (South Africa), NIFTY (India) and NASDAQ (USA) composite from April 2004 to March 2014. After testing for the normality of the data distribution and the stationarity of the time series data, this paper discovered a strong correlation between the stock market indices of South Africa, India and the USA. The correlation among the stock markets is high, particularly between South Africa and India. In addition, the paper attempts to discover the presence of any predictive ability among these markets by applying the Granger causality test. The result indicates that the NASDAQ index has no predictive ability as far as the JALSH and NIFTY indices are concerned. However, the JALSH index has a predictive ability on the NIFTY index. After testing the Granger cause relationship, the existence of a long-run and short-run relationship is tested. The long-run relationships among the stock market indices are analysed, following the Johansen and Juselius multivariate cointegration approach. The result suggests the absence of a long-run relationship among the three stock market indices. Short-run relationship is investigated with the Vector Autoregression (VAR) model, and the outcome obtained shows that both the USA and the South African stock markets are predicted only by their own past lags. However, the Indian stock market is seen to be a function of its own past lags and the past lags of the South African stock index.

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Correlation dynamics in European equity markets

Cited by 60 publications

References 21 publications

Dynamic correlations and volatility effects in the Balkan equity markets

Dynamic correlations and volatility effects in the Balkan equity markets

The contribution of the African capital markets in the diversification of investment global portfolios

Cointegration and stock market interdependence: Evidence from South Africa, India and the USA

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