Using chaos measures to examine international capital market integration

Susan P. Sewell · Stanley R. Stansell · Insup Lee · Scott D. Below

33 citations0/0 files storedApplied Financial Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Global Financial Crisis and Policies

Abstract

Weekly changes for the period 1980 to 1994 in six major stock indices (the US, Korea, Taiwan, Japan, Singapore and Hong Kong) and the World Index are examined. Also examined are the corresponding foreign exchange rates between the US and these five countries. Using spectral analysis, techniques of nonlinear dynamics and ordinary least squares regression, evidence of varying levels of market integration are documented. Some of the time series examined exhibit nonlinear dependencies.

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References

1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Permanent and Temporary Components of Stock Prices 1989International Transmission of Stock Market Movements 1991Chaos and Nonlinear Dynamics: Application to Financial Markets 1985International Asset Pricing under Mild Segmentation: Theory and Test 1989Nonlinear Dynamics and Stock Returns 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates 1986International Arbitrage Pricing Theory: An Empirical Investigation

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