The study tries to explore the dynamics of comovement of stock markets of USA ,Brazil, Mexico, China and India during the period from January, 1996 to July, 2007 using daily closing price data. It attempts to analyze the speed of adjustment coefficients using daily, weekly and monthly data. It also tries to examine the efficiency of the stock market as a result of initiatives and regulatory mea...

We propose a simultaneous equation system with GARCHX errors to model the contemporaneous relations among Asian and American stock markets. We thus evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance which allows a simple graphical analysis of contagion. The empirical analysis on Asian and American stock markets shows some evidences of contagion.

Significant prediction of asset prices is of a great importance in financial economics. When studying economic and financial phenomena, it is essential to correctly specify the model. If the true dynamics are nonlinear, using linear methods will probably be irrelevant in doing empirical analysis. Existence of nonlinearity in financial markets has been argued by numerous studies. The main object...

In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the collective behavior of a set of forty influential markets in the world economy with the aim of exploring a global financial structure that could be called world-stoc...

This paper investigates the common volatility structure of Taiwan’s stock and exchange rate markets. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading vo...

This paper examines volatility spillovers between the stock and currency markets of ten Asian economies in the period 2003 to 2014. To carry out this analysis, a multivariate asymmetric GARCH model is used. In general, our results present evidence of bidirectional volatility spillovers between both markets, independently of the individual country’s level of development. Additionally, our findin...

The behaviour of multiple stock markets can be described within the framework of complex dynamic systems (CDS). A representative technique of the framework is the dynamic interaction network (DIN), recently developed in the bioinformatics domain (Chan et al., 2006). DINs are capable of modelling dynamic interactions between genes and predicting their future expressions. In this paper, we adopt ...

Despite the voluminous empirical research on the potential predictability of stock returns, much less attention has been paid to the predictability of bear and bull stock markets. In this study, the aim is to predict U.S. bear and bull stock markets with dynamic binary time series models. Based on the analysis of the monthly U.S. data set, bear and bull markets are predictable in and out of sam...

This article applied GARCH model instead AR or ARMA model to compare with the standard BP and SVM in forecasting of the four international including two Asian stock markets indices.These models were evaluated on five performance metrics or criteria. Our experimental results showed the superiority of SVM and GARCH models, compared to the standard BP in forecasting of the four international stock...