WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 13, 2016
Evidence of Increasing Integration Between International Markets
Authors: , ,
Abstract: Since the origins of modern finance theory, interdependence between assets is an issue as the search for diversification ends with a better portfolio. Many studies and many approaches have been given to answer to the questions of correlation, covariance and interdependence but the subprime crises and the almost meltdown of financial markets throughout the globe, proved that portfolios were not efficiently diversified. The concept of diversification and the risk measures did not prevent from hundreds of companies worldwide to go belly up. This paper focuses its attention to a bewildering fact: interdependence is increasing along the years and the task of diversification is becoming tougher. Utilizing the Quantile Regression and including a volatility measure of the American market regressed with other international major players grouped by their geographic region it brings up strong evidence of increasing integration. It comprises stock market data from the year 2000 to 2012, going through four major events: the Nasdaq burst, the 9/11, the Subprime and the European crises.
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Pages: 238-259
WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 13, 2016, Art. #23