Examining Time-Varying Integrity And Interrelationships Among Global Stock Markets

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dc.authorid105929en_US
dc.contributor.authorAltınbaş, Hazar
dc.date.accessioned2020-10-15T06:07:16Z
dc.date.available2020-10-15T06:07:16Z
dc.date.issued2020
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThis paper examines co-movements and interrelationships among 6 emerging and 5 developed stock market returns between period 2001- 2017. First, principal components are extracted from returns. Results show that, for the period analyzed, there is no strong global stock market integration and there isn't any change in patterns of correlations of returns except short-term disturbances in global financial crisis time. Second, partial least squares regression models are used for predicting each stock market returns with other stock markets' current and all markets' up to three month lagged returns. Results identify divergence between developed and emerging markets and greater number of latent transmission channels among former ones. Findings indicate a strong integrity among global stock markets is not yet appeared and considered together with previous studies, today's international market structure can be attributed to last two decades of 20th century. International investors still may benefit from international portfolio diversification opportunities.en_US
dc.identifier.citationInternational Journal of Economic Sciences, Vol. IX(1), pp. 1-24en_US
dc.identifier.doi10.20472/ES.2020.9.1.001
dc.identifier.issn2071-1050
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.20472/ES.2020.9.1.001
dc.identifier.wosWOS:000543252500001en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.subjectStock market integrationen_US
dc.subjectPrincipal components analysisen_US
dc.subjectPartial least squares regressionen_US
dc.subjectİnternational portfolio diversificationen_US
dc.titleExamining Time-Varying Integrity And Interrelationships Among Global Stock Marketsen_US
dc.typeArticleen_US

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