Increasing Linkages of Stock Markets and Price Volatility

Research in International Business and Finance, Vol. 16, pp. 349-374

Posted: 23 May 2005

Abstract

This study is aimed to discuss forms of linkages that exist between the world stock markets, and to indicate to what extent the present interaction factors are increasing in the last decade. The study analyzed published data, as well as correlation between monthly changes of local price indices for 16 stock markets in 1994 and 1998.

The study indicated that there were significant changes during the nineties arising from introducing liberal regulatory rules, increasing foreign trading, increasing in number of cross listed firms and equity portfolio flows. The study found that there are significant positive increases from 1994 to 1998, in the degree of correlation between the majority of selected stock markets. Increasing linkages suppose to increase data dissemination, thus increase stock market efficiency, but with the existing cross-markets volatility transmission phenomenon, increasing linkages should be scrutinized carefully.

Keywords: Gl Stock markets, price volatility, stock market crises, International markets gobal Stock Market, Volatility, Stock market linkages

JEL Classification: G14, G18

Suggested Citation

Sabri, Nidal Rashid, Increasing Linkages of Stock Markets and Price Volatility. Research in International Business and Finance, Vol. 16, pp. 349-374, Available at SSRN: https://ssrn.com/abstract=727606

Nidal Rashid Sabri (Contact Author)

Birzeit University ( email )

Birzeit, West Bank
Palestine
972 2 2810396 (Phone)
972 2 2982963 (Fax)

HOME PAGE: http://home.birzeit.edu/commerce/sabri

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