The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan

Agmon, Tamir

doi:10.2307/2978672

Cited by 117 publications

(42 citation statements)

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“…The third strand of literature, lead by Agmon (1972), Granger and Morgenstern (1970) and Hilliard (1979), focuses on lead-lag relationships between international markets. Using monthly data for the U.S., the U.K., Germany, and Japan for the period 1961-1966, Agmon (1972 finds a strong contemporaneous relationship between U.S. market returns and returns in the three other markets and interprets his findings in the context of the "one-efficient-market" hypothesis and suggests his evidence supports the notion of a single world market risk factor. Using spectral analysis on weekly data for eight countries, Granger and Morgenstern (1970) conclude that "contrary to widespread beliefs, there is little or no interrelationship between different stock market exchanges around the world."…”

Section: The Early Daysmentioning

confidence: 99%

Price and Volatility Transmission across Borders

Gagnon

Karolyi

2006

Financial Market

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Over the past forty years, financial markets throughout the world have steadily become more open to foreign investors. With open markets, asset prices are determined globally. A vast literature on portfolio choice and asset pricing has evolved to study the importance of global factors as well as local factors as determinants of portfolio choice and of expected returns on risky assets. There is growing evidence that risk premia are increasingly determined globally. An important outcome of this force of globalization is increased comovement in asset prices across markets. This survey study examines the literature on the dynamics of comovements in asset prices and volatility across markets around the world. The literature began in the 1970s in conjunction with early theoretical developments on international asset pricing models, but it blossomed in the late 1980s and early 1990s with the availability of comprehensive international stock market databases and the development of econometric methodology to model these dynamics.

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Section: The Early Daysmentioning

confidence: 99%

Price and Volatility Transmission across Borders

Gagnon

Karolyi

2006

Financial Market

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“…This IC is also able to reveal potential comovements between countries. The underlying assumption is that countries that are highly correlated to other countries tend to share comovements with them (Agmon, 1972). Usually, such countries would have more significant influence financially and may consequently lead to dominance in the regional financial environment.…”

Section: Mstn Constructionmentioning

confidence: 99%

A network visualization approach and global stock market integration

2018

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This paper applies a visualized network approach to analyse the degree of integration or comovement among global equity markets. We utilize daily prices of stock market indices of 57 countries from January 1997 to August 2012 to establish both a minimum spanning tree network and graph network. We examine network features including connectivity and centrality through a variety of indicators. Our results clearly show that there has been a tendency over time for markets to become more integrated globally even during periods of market stress. The centrality results suggest that the U.S. and Hong Kong markets have been the most dominant markets in their geographic region. For Europe, we find 3 dominant centres, the United Kingdom, France, and Germany in contrast to previous literature suggesting that the United Kingdom was the dominant country. We further identify that Japan and Australia, instead of acting as dominant countries in their region, serve as bridging countries between the region and the rest of the world. Finally, we find that Africa does not form a cluster, and individual African countries tend to connect to other developed markets.

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“…To test the thesis that international equity market comovement is increasing, we established the following time series regression model: YEARS 1963-1972Year 19631964196519661967196919711972 Qt (adjusted) . 066 .115 .121 .115 ,070 .121 ,177 .280 ,130 .135 &(unadjusted) , 081 .113 .118 .115 .068 .125 .215 .271 .126 .151 where &is the average correlation across all pairwise country correlations (see definition above), t is time, et is the tth period residual and 0: and /3 are regression coefficients.…”

Section: Trend Analysis Of International Equity Market Comovementsmentioning

confidence: 99%