On the integrated behaviour of non-stationary volatility in stock markets

Detalhes bibliográficos
Autor(a) principal: Dionísio, Andreia
Data de Publicação: 2007
Outros Autores: Menezes, Rui, Mendes, Diana
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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spelling 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
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/1815
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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
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dc.publisher.none.fl_str_mv Elsevier
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