Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications

International Review of Financial Analysis

Volumn 17, Issue 1, 2008, Pages 156-177

  Meric, Ilhan ^a   Ratner, Mitchell ^a   Meric, Gulser ^b  

^a RIDER UNIVERSITY   (United States)

^b ROWAN UNIVERSITY   (United States)

Author keywords

Bull and bear markets; Co movements of sector index returns; Global portfolio diversification; Granger causality; Principal components analysis

Indexed keywords

EID: 37349091185     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2005.12.001     Document Type: Article

References (29)

1. Aggarwal R., and Leal R. Linkages and volatility in emerging capital markets. In: Tsetsekos G., and Papaioannou M. (Eds). Emerging markets portfolios: Diversification and hedging strategies (1997), Irwin, Chicago 137-149
2. Enders W. Applied econometric time series (1995), Wiley, New York
3. Erb C.B., Harvey C.R., and Viskanta T.E. Do world markets still serve as a hedge?. Journal of Investing 4 (1995) 26-42
4. Goetzmann, W. N., Li, L., & Rouwenhorst, K.G. (2001). Long-term global markets correlations (Yale ICF Working Paper 00-60).
5. Granger C. Investigating causal relationships by econometric models and cross-spectral methods. Econometrica 37 (1969) 424-438
6. Hilliard J.E. The relationship between equity indices on world exchanges. Journal of Finance 34 (1979) 103-114
7. Joy O.M., Panton D.B., Reilly F.K., and Martin S.A. Co-movements of major international equity markets. Financial Review 11 (1976) 1-20
8. Lessard D.R. World, national, and industry factors in equity returns. Journal of Finance 29 (1974) 379-391
9. Lessard D.R. International diversification. Financial Analysts Journal 32 (1976) 32-38
10. Levy H., and Sarnat M. International diversification of investment portfolios. American Economic Review 60 (1970) 668-675
11. Longin F., and Solnik B. Is the correlation in international returns constant: 1960-1990?. Journal of International Money and Finance 14 (1995) 3-26
12. Makridakis S.G., and Wheelwright S.C. An analysis of the interrelationships among the major world stock exchanges. Journal of Business Finance and Accounting 1 (1974) 195-215
13. Maldonado R., and Saunders A. International portfolio diversification and the inter-temporal stability of international stock market relationships, 1957-1978. Financial Management 10 (1981) 54-63
14. Malliaris A.G., and Urrutia J.L. The international crash of October 1987: Causality tests. Journal of Financial and Quantitative Analysis 27 (1992) 353-364
15. Marascuilo L.A., and Levin J.R. Multivariate statistics in social sciences: A researcher's guide (1983), Brooks/Cole Publishing Company, Monterey, California
16. Mardia K., Kent J., and Bibby J. Multivariate analysis (1979), Academy Press, New York
17. Meric I., Coopersmith L.W., Wise D., and Meric G. The linkages between the world's major stock markets in the 2000-2001 bear market. Journal of Investing 11 (2002) 55-62
18. Meric I., and 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
19. Meric I., and Meric G. Correlation between the world s stock markets before and after the 1987 crash. Journal of Investing 7 (1998) 67-70
20. Meric I., Ratner M., and Meric G. Co-movements of the world's sector index returns. International Journal of Finance 17 (2005) 3376-3391
21. Philippatos G.C., Christofi A., and Christofi P. The inter-temporal stability of international stock market relationships: Another view. Financial Management 12 (1983) 63-69
22. Ratner M., and Leal R. Causality tests for the emerging markets of Latin America. Journal of Emerging Markets 1 (1996) 29-40
23. Ratner, M. & Leal, R. (in press). Sector integration and the benefits of global diversification. Multinational Finance Journal.
24. Ratner M., Meric I., and Meric G. Sector dispersion and stock market predictability. Journal of Investing 15 (2006) 56-61
25. Roll R. Industrial structure and the comparative behavior of international stock market indexes. Journal of Finance 47 (1992) 3-42
26. Sims C. Macroeconomics and reality. Econometrica 48 (1980) 1-49
27. Solnik B.H. Why not diversify internationally?. Financial Analysts Journal 30 (1974) 48-54
28. Solnik B.H., Boucrelle C., and Le Fur Y. International market correlation and volatility. Financial Analysts Journal 52 (1996) 17-34
29. Watson J. A study of possible gains from international investment. Journal of Business Finance and Accounting 5 (1978) 195-206