Linkages between international stock markets: A multivariate long-memory approach

Ozdemir Z. A.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol.388, no.12, pp.2461-2468, 2009 (SCI-Expanded) identifier identifier


This paper aims to analyze the linkages between international stock markets and to search for all optimum model for analyzing their interactions taking into consideration their geographical location, using the vector fractionally integrated autoregressive moving-average (VARFIMA) model. This model has not so far been employed in examining the interdependence among the stock markets of Germany, Japan, the UK, and the USA. The results of the pallet show that there is all interconnection among the stock markets of these countries. (c) 2009 Elsevier B.V. All rights reserved.