Journal of International Business and Economy





file #1   ĶĒ    2_Meric_Kim_Coopersmith_&_Meric.pdf (557.7 KB)   download : 29
subject   ĶĒ
Co-Movements of Pacific-Basin Stock Markets: Portfolio Diversification Implications
Ilhan Meric, Joe H. Kim, Lewis W. Coopersmith, and Gulser Meric
Volume 8, Number 2, Fall 2007, pp. 11~34

This paper studies the co-movements of and the linkages between twelve Pacific-Basin stock markets during the June 1995-May 2005 period. We use the principal components analysis (PCA) technique to group the stock markets into statistically significant principal components in terms of the similarities of their index return movements. The rolling correlation analysis results show that correlation between the Pacific-Basin stock markets has considerable time-varying volatility. The Granger causality test results indicate that the weekly index returns of most Pacific-Basin stock markets are weak-form efficient and that most Pacific-Basin stock markets have significant lead/lag linkages. The study investigates the portfolio diversification implications of the linkages between the Pacific-Basin stock markets.

Key Words: Pacific-Basin stock markets, principal components analysis, time-varying correlation, Granger causality, portfolio diversification

hit : 5051      
prev ĶĒ
On the Internet, Nobody Knows You're a Girl: The Female Performance Advantage in Anonymous Virtual Teams
Emmeline de Pillis and Kimberly Furumo
Volume 8, Number 2, Fall 2007, pp. 35~47
next ĶĒ
Budget Deficits, Oil Prices and Interest Rates
Sanjay Paul and Hossein Varamini
Volume 8, Number 2, Fall 2007, pp. 1~10
list