학술저널
A DUAL APPROACH TO MEASURING EQUITY MARKET INTERRELATIONSHIPS
- People & Global Business Association
- Global Business and Finance Review
- Vol.9 No.1
-
2004.0615 - 26 (12 pages)
- 8
This paper incorporates both mean returns and volatility effects in investigating relationships between and among international equity markets. As proxies for world equity markets, the US, Germany, and Japan are selected to represent their respective regions of the world. The more significant findings include: returns causalities are stronger than volatilities causalities, unconditional volatility (measured as rolling standard deviation of returns) affects returns more than conditional volatility (measured by GARCH effects).
Abstract
INTRODUCTION
LITERATURE REVIEW
DATA AND METHODOLOGY
EMPIRICAL RESULTS
CONCLUSIONS
REFERENCES
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