Comovement in International Equity Markets: A Sectoral View

By R. Berben, Wouter Jansen, Jan Marc Berk, J. Swank, P. Vlaar. 2005

276 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c81c48c8de332ffce15d750f629ff408b89af56f

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Citations in the corpus

International diversification: A copula approach (2011, unknown): “A separa ! e approach involves holding industry portfolios to diversify sectorally . see Berben and Jansen ( 2005 ) and Flavin ( 2004 ) .”
The Euro and European Financial Market Dependence (2007, methodology): “We use the diagnostic test of Berkowitz (2001) to evaluate the goodnessof-fit of our marginal return densities, specified by the GJR-GARCH-MA-t model given by (6).”
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005, methodology): “One of the most frequently used multivariate GARCH models is the Constant Conditional Correlation (CCC) GARCH model of Bollerslev (1990). In this model comovements between heteroskedastic time series are modelled by allowing each series to follow a separate GARCH process while restricting the condit”
U.S. and Latin American Stock Market Linkages (2011, methodology): “It is also observed that volatility of asset returns often reacts differently to positive news than to negative news, and many studies document that negative shocks on asset prices tend to have a larger impact on volatility than do positive shocks of the same magnitude (see for example, Black (1976)”
Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries (2015, unknown): “Since we are interested in the propagation mechanism via market activities in private sectors, we decide not to include China in the present analysis, focusing on emerging Asian economies with relatively more market-oriented financial markets.(5)”
International comovement of stock market returns: a wavelet analysis (2009, methodology): “First, the results obtained support the idea of a weak correlation between the Japanese stock market and the other major developed stock markets both across sectors and across time and frequency (see also Berben and Jansen (2005)).”
No contagion, only globalization and flight to quality (2012, background): “…one hand, the globalization phenomenon, i.e., th general increase of correlations within asset classes and across geographical areas over the past decades, is well documented, both for equities2 (Berben and Jansen, 2005; Morana and Beltratti, 2008) and for government bonds (Hunter and Simon, 2004).”