Essays on International Stock Market Co-movements

Essays on International Stock Market Co-movements

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This dissertation contains three essays related to international stock market co-movement. The first essay explores whether emerging stock markets become more integrated with the world stock market overtime. Conditional time-varying correlations between the country's and the world stock returns are extracted from the multivariate factor model with time-varying volatility of country's stock returns. The finding suggests the co-movements of stock returns in most emerging markets and the world market had strengthened in which their correlations increased at faster pace particularly after financial crises.INTRODUCTION The global financial market had been complacent since the early 2000s. ... From August 2007 to March 2008, stock indexes in many countries dropped by 20-30 percent, especially those economies with prior domesticanbsp;...

Title:Essays on International Stock Market Co-movements
Publisher:ProQuest - 2008


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