On the integrated behaviour of non-stationary volatility in stock markets
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10174/1815 |
Resumo: | This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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On the integrated behaviour of non-stationary volatility in stock marketsCointegration; Non-stationarity; Exogeneity; Fractional integration; FIGARCH modelsThis paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.Elsevier2009-11-16T15:48:08Z2009-11-162007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article80982 bytesapplication/pdfhttp://hdl.handle.net/10174/1815http://hdl.handle.net/10174/1815eng58-65382Physica A1livreandreia@uevora.ptrui.menezes@iscte.ptdiana.mendes@iscte.pt637Dionísio, AndreiaMenezes, RuiMendes, Dianainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:37:45Zoai:dspace.uevora.pt:10174/1815Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:57:39.418998Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
On the integrated behaviour of non-stationary volatility in stock markets |
title |
On the integrated behaviour of non-stationary volatility in stock markets |
spellingShingle |
On the integrated behaviour of non-stationary volatility in stock markets Dionísio, Andreia Cointegration; Non-stationarity; Exogeneity; Fractional integration; FIGARCH models |
title_short |
On the integrated behaviour of non-stationary volatility in stock markets |
title_full |
On the integrated behaviour of non-stationary volatility in stock markets |
title_fullStr |
On the integrated behaviour of non-stationary volatility in stock markets |
title_full_unstemmed |
On the integrated behaviour of non-stationary volatility in stock markets |
title_sort |
On the integrated behaviour of non-stationary volatility in stock markets |
author |
Dionísio, Andreia |
author_facet |
Dionísio, Andreia Menezes, Rui Mendes, Diana |
author_role |
author |
author2 |
Menezes, Rui Mendes, Diana |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Dionísio, Andreia Menezes, Rui Mendes, Diana |
dc.subject.por.fl_str_mv |
Cointegration; Non-stationarity; Exogeneity; Fractional integration; FIGARCH models |
topic |
Cointegration; Non-stationarity; Exogeneity; Fractional integration; FIGARCH models |
description |
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007-01-01T00:00:00Z 2009-11-16T15:48:08Z 2009-11-16 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10174/1815 http://hdl.handle.net/10174/1815 |
url |
http://hdl.handle.net/10174/1815 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
58-65 382 Physica A 1 livre andreia@uevora.pt rui.menezes@iscte.pt diana.mendes@iscte.pt 637 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
80982 bytes application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799136460961480704 |