A0630
Title: International stock market comovement outlined with a thick pen
Authors: Agnieszka Jach - Hanken School of Economics (Finland) [presenting]
Abstract: The aim is to quantify time-varying, bi-variate and multivariate co-movement between international stock market returns, across various time scales, using a novel approach called thick pen transform. We study 11 countries and examine their comovement with respect to (non-dyadic) time scales/frequencies, development and region. We also consider all possible 2036 different combinations of 2 or more of these countries. In the bi-variate set-up with the USA, the BRIC countries, except for Brazil (especially over small time scales), offer diversification benefits, while in the multivariate one, clustering with respect to America or Europe (but not Asia) leads to homogeneous groups. Hence development and region cannot always be considered as ultimate clustering factors. Leave-one-out cross-validation shows a nuanced interplay of time scales, development and region as grouping factors for Brazil and Australia, and even more so for UK, Japan and Hong Kong.
