Co-movements of U.S. and Latin American equity markets before and after the 1987 crash

International Review of Financial Analysis

Volumn 10, Issue 3, 2001, Pages 219-235

  Meric, Gulser ^a   Leal, Ricardo P C ^b   Ratner, Mitchell ^c   Meric, Ilhan ^c  

^a ROWAN UNIVERSITY   (United States)

^b FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^c RIDER UNIVERSITY   (United States)

Author keywords

1987 global stock market crash; Co movements of national equity markets; G 11; G 15; Latin American equity markets; Portfolio diversification

Indexed keywords

EID: 0012542126     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(01)00053-9     Document Type: Article

References (40)

1. Aggarwal R., Inclán C., Leal R. Volatility in emerging stock markets. Journal of Financial and Quantitative Analysis. 34:1999;33-35.
2. Aggarwal R., Leal R. Linkages and volatility in emerging capital markets. Tsetsekos G., Papaioannou M. Emerging markets portfolios: diversification and hedging strategies. 1997;137-149 Irwin, Chicago.
3. Arshanapalli B., Doukas J. International stock market linkages: evidence from the pre- and post-October 1987 period. Journal of Banking and Finance. 17:1993;193-208.
4. Bekaert G., Harvey C. Emerging equity market volatility. Journal of Financial Economics. 43:1997;23-77.
5. Bekaert G., Urias M. Is there a free lunch in emerging market equities? Journal of Portfolio Management. 25:1999;83-95.
6. Cho D.C., Taylor W.M. The seasonal stability of the factor structure of stock returns. Journal of Finance. 42:1987;1195-1211.
7. DeFusco R.A., Geppert J.M., Tsetsekos G.P. Long-run diversification potential in emerging stock markets. Financial Review. 31:1996;343-363.
8. Divecha A.B., Drach J., Stefek D. Emerging markets: a quantitative perspective. Journal of Portfolio Management. 24:1992;41-50.
9. Erb C.B., Harvey C.R., Viskanta T.E. Do world markets still serve as a hedge? Journal of Investing. 4:1995;26-42.
10. Goodhart C.A.E. The international transmission of asset price volatility. Financial market volatility. 1988;79-121 Federal Reserve Bank, Kansas.
11. Hamao Y., Masulis R., Ng V. Correlations in price changes and volatility across international stock markets. Review of Financial Studies. 3:1990;281-307.
12. Harvey C.R. Predictable risk and returns in emerging markets. Review of Financial Studies. 8:1995;773-816.
13. Emerging stock markets fact book. 2000.
14. King M., Wadhwani S. Transmission of volatility between stock markets. Review of Financial Studies. 3:1990;5-33.
15. Lee S.B., Kim K.J. Does the October 1987 crash strengthen the co-movements among national stock markets. Review of Financial Economics. 3:1993;89-104.
16. Lessard D.R. International diversification. Financial Analysts Journal. 32:1976;32-38.
17. Levy H., Sarnat M. International diversification of investment portfolios. American Economic Review. 60:1970;668-675.
18. Liljeblom E., Löflund A., Krokfors S. The benefits from international diversification for Nordic investors. Journal of Banking and Finance. 21:1997;469-490.
19. Makridakis S.G., Wheelwright S.C. An analysis of the interrelationships among the major world stock exchanges. Journal of Business Finance and Accounting. 1:1974;195-215.
20. Maldonado R., Saunders A. International portfolio diversification and the inter-temporal stability of international stock market relationships, 1957-1978. Financial Management. 10:1981;54-63.
21. Malliaris A.G., Urrutia J.L. The international crash of October 1987: causality tests. Journal of Financial and Quantitative Analysis. 27:1992;353-364.
22. Marascuilo L.A., Levin J.R. Multivariate statistics in social sciences: a researcher's guide. 1983;Brooks/Cole Publishing, Monterey, CA.
23. Mardia K., Kent J., Bibby J. Multivariate analysis. 1979;Academy Press, New York.
24. McInish T.H., Lau S.T. Comovements of international equity returns: a comparison of the pre- and post-October 19, 1987, periods. Global Finance Journal. 4:1993;1-19.
25. Meric G., Leal R., Ratner C., Meric M. Co-movements of U.S. and Latin American stock markets during the 1997-1998 emerging markets financial crisis. Meric I., Meric G. Global financial markets at the turn of the century. 2001;177-194 Pergamon, Elsevier Science, London.
26. Meric G., Meric I. Risk and return in the world's major stock markets. Journal of Investing. 10:2001;1-5.
27. Meric I., Meric G. Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships. Journal of Banking and Finance. 13:1989;627-640.
28. Meric I., Meric G. Inter-temporal stability in the long-term co-movements of the world's stock markets. Journal of Multinational Financial Management. 6:1996;73-83.
29. Meric I., Meric G. Co-movements of European equity markets before and after the 1987 crash. Multinational Finance Journal. 1:1997;137-152.
30. Meric I., Meric G. Correlation between the world's stock markets before and after the 1987 crash. Journal of Investing. 7:1998;67-70.
31. Meric I., Meric G., Ratner M. Emerging markets crisis and the ASEAN-5 stock markets: 1997-1998. International Journal of Finance. 12:2000;1835-1853.
32. Meric I., Ratner M., Leal R., Meric G. Co-movements of Latin American equity markets. International Journal of Finance. 10:1998;1163-1178.
33. Mullin J. Emerging equity markets in the global economy. Federal Reserve Bank of New York Quarterly Review. 1993, Summer;54-83.
34. Philippatos G.C., Christofi A., Christofi P. The inter-temporal stability of international stock market relationships: another view. Financial Management. 12:1983;63-69.
35. Ratner M., Leal R. Causality tests for the emerging markets of Latin America. Journal of Emerging Markets. 1:1996;29-40.
36. Roll R. The international crash of October 1987. Financial Analysts Journal. 44:1988;19-35.
37. Sharpe W.F. The Sharpe ratio. Journal of Portfolio Management. 7:1994;49-58.
38. Solnik B.H. Why not diversify internationally? Financial Analysts Journal. 30:1974;48-54.
39. Solnik B.H., Boucrelle C., Le Fur Y. International market correlation and volatility. Financial Analysts Journal. 52:1996;17-34.
40. Watson J. A study of possible gains from international investment. Journal of Business Finance and Accounting. 5:1978;195-206.