Essays on International Stock Market Co-movements

Essays on International Stock Market Co-movements

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This dissertation contains three essays related to international stock market co-movement. The first essay explores whether emerging stock markets become more integrated with the world stock market overtime. Conditional time-varying correlations between the country's and the world stock returns are extracted from the multivariate factor model with time-varying volatility of country's stock returns. The finding suggests the co-movements of stock returns in most emerging markets and the world market had strengthened in which their correlations increased at faster pace particularly after financial crises.The U.S. stock market (Saamp;P 500) represents the world stock market as in Manning (2002) as well as Phylaktis and ... 5 This paper considers two adjustments for missing data owing to holidays in one market, but not in the other markets. One isanbsp;...

Title:Essays on International Stock Market Co-movements
Author:Piyaporn Sodsriwiboon
Publisher:ProQuest - 2008


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