English, Article edition: Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence Param Silvapulle; Mohammad N. Azam; Mahbuba Yeasmin

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/50547
Physical Description
  • article
Language
  • English

Edition details

Title
  • Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence
Author
  • Param Silvapulle
  • Mohammad N. Azam
  • Mahbuba Yeasmin
Physical Description
  • article
Notes
  • This article investigates the dependence of G10 countries' equity markets on the US market, particularly when the US experiences upturns or downturns in the market. If indeed the dependence is high in the downturn market, then investors will not benefit from international diversification when it is mostly needed. Using daily returns on the stock markets of G11 countries, this study estimates Pearson and rank correlations of G10 markets conditional on the US market falling below and rising above certain levels. The rank correlation is robust to outliers and hence provides stronger evidence than its counterpart. When the US market falls, the dependence between the US market and G10 countries has become notably stronger than that during bull markets, except for Sweden. The observed higher dependence in the bear market is of concern for investors, because it erodes the benefit of international diversification.
  • RePEc:taf:apfelt:v:3:y:2007:i:4:p:211-214
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment