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

Detalhes bibliográficos
Autor(a) principal: Dionísio, A.
Data de Publicação: 2007
Outros Autores: Menezes, R., Mendes, D. A.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/id/ci-pub-14587
http://hdl.handle.net/10071/13868
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 marketsCointegrationExogeneityFIGARCH modelsFractional integrationNon-stationarityThis 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.Elsevier2017-07-05T15:48:21Z2007-01-01T00:00:00Z20072017-07-05T15:46:56Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/id/ci-pub-14587http://hdl.handle.net/10071/13868eng0378-437110.1016/j.physa.2007.02.008Dionísio, A.Menezes, R.Mendes, D. A.info: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:RCAAP2023-11-09T17:32:08Zoai:repositorio.iscte-iul.pt:10071/13868Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:14:28.910298Repositório 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, A.
Cointegration
Exogeneity
FIGARCH models
Fractional integration
Non-stationarity
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, A.
author_facet Dionísio, A.
Menezes, R.
Mendes, D. A.
author_role author
author2 Menezes, R.
Mendes, D. A.
author2_role author
author
dc.contributor.author.fl_str_mv Dionísio, A.
Menezes, R.
Mendes, D. A.
dc.subject.por.fl_str_mv Cointegration
Exogeneity
FIGARCH models
Fractional integration
Non-stationarity
topic Cointegration
Exogeneity
FIGARCH models
Fractional integration
Non-stationarity
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
2007
2017-07-05T15:48:21Z
2017-07-05T15:46:56Z
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 https://ciencia.iscte-iul.pt/id/ci-pub-14587
http://hdl.handle.net/10071/13868
url https://ciencia.iscte-iul.pt/id/ci-pub-14587
http://hdl.handle.net/10071/13868
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0378-4371
10.1016/j.physa.2007.02.008
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 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
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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