Local and global price memory of international stock markets

Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982–2002

“…The growth of VAR applications, which consider the interrelationships among international equity markets, includes Knif and Pynnonen (1999) for Europe, Dekker, Sen, and Young (2001) for Australasia, Cha and Oh (2000) for Asia, Masih and Masih (1997) for developed countries, and Ratanapakorn and Sharma (2002) across regions. Increasingly, the VAR methodology is also being used to examine the question of which fundamental indicators may be seen as providing information on equity values, as in Kaneko and Lee (1995) for U.S. and Japanese stocks, Papapetrou (2001) for Greece, and Hassapis and Kalyvitis (2002) for the G7 countries.…”

Time-shift asymmetric correlation analysis of global stock markets

“…To capture the asymmetric answer of the volatility by the different sign of the stock market shocks, Engle et al (1990) proposed the AGARCH model. It is well known by now that cross-correlations of stock market returns vary over time (Makridakis and Wheelwright, 1974;Koch and Koch, 1991;Knif and Pynnonen, 1999). Correlations increase as economic integration intensifies (Erb et al, 1994;Longin and Solnik, 1995;Goetzmann et al, 2005), but the correlations most likely are higher in bull markets and lower in the bear markets.…”

A common factor analysis for the US and the German stock markets during overlapping trading hours

“…The first line of research, dating back at least to the contributions of Taylor and Tonks (1989), Kasa (1992), and Richards (1995), seeks to empirically identify cointegration relationships between national stock markets. More recent studies in this vein include Knif and Pynnönen (1999), Bessler and Yang (2003), Yang et al (2003), and Westermann (2003). As may be expected, the results brought forward are not unanimous.…”