Time-varying inter-market linkage of international stock markets

Abstract

As a response to the growing concern on the interconnection of international stock markets, this study uses the Peña–Box model to capture time-varying relationship of the returns of 13 stock indices during 1993–2002. The results indicate a dynamic relationship of world major stock markets over time, which provide new but supplemental evidence on the conclusion derived from the conventional confirmatory factor analyses in literature.