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Stockmarket comovements revisited

Author

Listed:
  • Sergio Da Silva

    (Department of Economics, Federal University of Santa Catarina)

  • Paulo Ceretta

    (Department of Management, Federal University of Santa Maria)

  • Silvia Nunes

    (Department of Economics, Amazon State University)

  • Newton Da Costa, Jr

    (Department of Economics, Federal University of Santa Catarina, Brazil)

Abstract

We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous treatment of data for the eighties and nineties. We show that while emerging markets experience greater instability in the long term than their developed counterparts, there is room for short-term strategies to take advantage of profit opportunities in the emerging markets, especially in India.

Suggested Citation

  • Sergio Da Silva & Paulo Ceretta & Silvia Nunes & Newton Da Costa, Jr, 2005. "Stockmarket comovements revisited," Economics Bulletin, AccessEcon, vol. 7(3), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-05g10001
    as

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    References listed on IDEAS

    as
    1. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
    2. Lessard, Donald R, 1973. "International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries," Journal of Finance, American Finance Association, vol. 28(3), pages 619-633, June.
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    4. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-675, September.
    5. Meric, Ilhan & Meric, Gulser, 1989. "Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 627-640, September.
    6. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    7. Errunza, Vihang, et al, 1994. "Conditional Heteroskedasticity and Global Stock Return Distributions," The Financial Review, Eastern Finance Association, vol. 29(3), pages 293-317, August.
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    Cited by:

    1. Sergio Da Silva & Jefferson Cunha & Newton Da Costa, Jr, 2005. "Stock selection based on cluster analysis," Economics Bulletin, AccessEcon, vol. 13(1), pages 1-9.
    2. Shamshuritawati Sharif & Maman Djauhari, 2012. "A Proposed Centrality Measure: The Case of Stocks Traded at Bursa Malaysia," Modern Applied Science, Canadian Center of Science and Education, vol. 6(10), pages 1-62, October.
    3. Marco GALLEGATI, 2001. "A Wavelet Analysis of MENA stock markets," Middle East and North Africa 330400031, EcoMod.
    4. repec:ebl:ecbull:v:13:y:2005:i:1:p:1-9 is not listed on IDEAS
    5. da Silva, Marcus Fernandes & de Area Leão Pereira, Éder Johnson & da Silva Filho, Aloisio Machado & de Castro, Arleys Pereira Nunes & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2016. "Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 1-8.
    6. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics

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