Revista Egitania Sciencia - Volume 15 | ARTICLE

Title: VOLATILITY AND LINKS BETWEEN INTERNATIONAL STOCK MARKETS: FROM THE CRISIS OF TECHNOLOGY COMPANIES TO THE GLOBAL FINANCIAL CRISIS

Author: Vitor Manuel Gabriel (vigab@ipg.pt), José Ramos Pires Manso (pmanso@ubi.pt)

Publication: Revista Egitania Sciencia - Volume 15

Abstract:
This study analyses the volatility of the international stock markets and the link between them, using a set comprising twelve markets, accounting for over 62% of world stock market capitalization in the period between 04/01/1999 and 30/06 /2011, taking into account the differentiation provided by the movements of rising and falling markets. On the one hand, it applies the concept of partial correlation according to Erb, Harvey and Viskanta (1994), in order to understand if the links between the markets changed significantly with index falling rates, and whether the global financial crisis has contributed to this. On the other hand, we analysed market risk, according to the movements described by the indexes, using the concept of semivolatility, as proposed by Zimmermann et al. (2003).

Keywords: global financial crisis, international stock markets, partial correlation, semi-volatility




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