Assessing Co-Movements in World Equity Markets

doi:10.6185/TJIA.V.16.N1.P1P46

機構典藏 > College of International Affairs > Department of Diplomacy International Relations > Journal Article > Item 987654321/80084

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/80084

Title:	Assessing Co-Movements in World Equity Markets
Authors:	David Kleykamp;Liu, Wen-Chieh
Contributors:	淡江大學經濟學系
Keywords:	Co-Movement;Equity;Financial Integration;Stock Market Index;Contagion
Date:	2012-07-01
Issue Date:	2013-01-17 15:34:46 (UTC+8)
Publisher:	新北市：淡江大學國際研究學院
Abstract:	The issue of co-movements in world equity markets has proven to be a topic worthy of serious consideration. Rising globalization, openness, and economic integration, as well as major financial crises, have created the potential for much stronger transmission of shocks between countries and regions. Policymakers are anxious to fully quantify how such global shocks can threaten domestic financial and economic stability. This paper proposes a definition for global equity events where all stock markets rise or fall in unison. Similar definitions for regional equity events are then entertained in which all countries within a region unanimously rise or fall, but where other countries in other regions do not follow suit. The definitions are seen to be intuitively clear and immediately operational on daily data. Using daily data on 10 major world stock market indexes over the period 2000-2012, it is found that the estimated average probability for global equity events on any given day has more than doubled since the end of 2006. Prior to 2007 the probability of a global event was roughly 0.15 and this has now risen to above 0.30. Moreover, this greater integration has occurred without a substantial rise in the probability of regional equity events. Instead, local events have become less important in determining movements in stock prices. A dynamic, triangular model linking the daily percentage changes in the US, UK, and Hong Kong markets is then estimated and the impact of these markets on each other are seen to have strengthened between the periods 2000-2006 and 2007-2012, confirming the extent of the rise in integration among global equity markets.
Relation:	Tamkang Journal of International Affairs=淡江國際研究 16(1) pp.1-46
DOI:	10.6185/TJIA.V.16.N1.P1P46
Appears in Collections:	[Department of Diplomacy International Relations] Journal Article

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