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Title: On the integrated behaviour of non-stationary volatility in stock markets
Authors: Dionísio, A.
Menezes, R.
Mendes, D. A.
Keywords: Cointegration
FIGARCH models
Fractional integration
Issue Date: 2007
Publisher: Elsevier
Abstract: This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.
Peer reviewed: yes
DOI: 10.1016/j.physa.2007.02.008
ISSN: 0378-4371
Publisher version: The definitive version is available at:
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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