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Title: On the integrated behaviour of non-stationary volatility in stock markets
Authors: Dionísio, Andreia
Menezes, Rui
Mendes, Diana
Keywords: Cointegration; Non-stationarity; Exogeneity; Fractional integration; FIGARCH models
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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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