English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Título Revista
Physica A
Ano (publicação definitiva)
2007
Língua
Inglês
País
Países Baixos (Holanda)
Mais Informação
Web of Science®
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Abstract/Resumo
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.
Agradecimentos/Acknowledgements
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Palavras-chave
Cointegration,Exogeneity,FIGARCH models,Fractional integration,Non-stationarity
Classificação Fields of Science and Technology
- Ciências Físicas - Ciências Naturais
