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Co-movement and Integration among Developed Equity Markets

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  • Sarantis Tsiaplias

    (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne)

Abstract

In contrast to the existing focus on intertemporal global integration, this paper examines equity market integration from the dual perspectives of the global-regional dichotomy and the equity market regime structure. Results are obtained using an exact Kalman filter with common regimes and GARCH innovations. According to the findings, market volatility during periods of low global and European volatility tends to be dominated by idiosyncratic shocks. In contrast, common factors are generally dominant for medium-level global and European shocks. Finally, although the importance of the common factors has risen, there is no clear evidence of a global or European integration trend.

Suggested Citation

  • Sarantis Tsiaplias, 2007. "Co-movement and Integration among Developed Equity Markets," Melbourne Institute Working Paper Series wp2007n25, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    • Handle: RePEc:iae:iaewps:wp2007n25
    as

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    File URL: http://melbourneinstitute.unimelb.edu.au/downloads/working_paper_series/wp2007n25.pdf
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    References listed on IDEAS

    as
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