Contagion in international financial markets: A recursive cointegration approach |
| |
Authors: | Nafeesa Yunus |
| |
Institution: | Department of Finance and Economics, Merrick School of Business, The University of Baltimore, 1420 North Charles St., Baltimore, MD 21201, United States |
| |
Abstract: | This study utilizes the recursive cointegration technique to analyze the dynamic interdependence among ten major equity markets throughout North America, Europe, Latin America and Asia. Results indicate that the international equity markets are integrated and that the degree of integration among these markets has increased over time. A scrutiny of the various crisis periods reveals that a major financial crisis had an effect of increasing the level of convergence among these markets. Moreover, the recursive cointegration technique is able to pinpoint and capture the approximate timing of a major global crisis. In addition, the study finds that the U.S., Japan, India, China, U.K., and Germany lead the other markets with the U.S. contributing most heavily to the common trend. Overall, the results indicate that profitable opportunities from portfolio diversification are limited across major markets and that these benefits are further reduced during episodes that are marked by a global financial turmoil. |
| |
Keywords: | Global equity markets Financial crises Contagion Recursive cointegration Portfolio diversification |
本文献已被 ScienceDirect 等数据库收录! |
|