NDLI: Co-movements between emerging and developed stock markets in terms of global financial crisis

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Co-movements between emerging and developed stock markets in terms of global financial crisis

Content Provider	Semantic Scholar
Author	Trivedi, Jatin
Copyright Year	2013
Abstract	The global financial crisis emphasized in a dramatic manner the importance of research in the field of theoretical and applied finance. In this respect, stock market is an area of highly fertile applied research with significant practical implications. Academics, financial investors and policy makers analyzed this issue from different perspectives and have provided a variety of outcomes generated by an heterogeneous research methodology. This research study investigates the co-movements of emerging and developed stock markets particularly in the context of the global financial crisis by using series of integration test based on daily closing price stock indices during the period of January 2003 to January 2013. The empirical results reveal the presence of co-movement relationship, interdependency and inter-linkages among developed and emerging stock market. Hungary has been identified as the highest return payer country and Romania as an emerging stock market with high risk ratio. Japan and France indicate highest return payer with average risk ratio among the developed stock markets The study outcomes are based on advanced econometric models and techniques. Moreover, integrated results would be useful for international investors and decision makers in order to understand the co-movement, interdependency and inter-linkages among the selected international stock markets. Key-Words: Co-movements, interdependency, inter-linkages, Matlab, international stock market, financial assets, global financial crisis
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://wseas.us/e-library/conferences/2013/Dubrovnik/MATHMECH/MATHMECH-22.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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