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International Stock Markets (international + stock_market)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Integration Among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts

PACIFIC ECONOMIC REVIEW, Issue 1 2001
Pierre L. Siklos
Are stock markets in the Asia-Pacific region integrated with each other and with the US and Japan? The paper examines a number of common stochastic trends among stock prices in the US, Japan, Hong Kong, Korea, Singapore, Taiwan and Thailand. If integration exists it is a fairly recent phenomenon. Institutional and economic considerations suggest the same is true so that a single common stochastic trend among Asian and North American markets is a recent phenomenon. The reason is that the stock markets studied were only recently sufficiently liberalized to permit some form of integration to emerge. Also, not only was the 1987 stock market crash significant, but the 1991 Gulf War also signalled a turning point in the degree of stock market integration among the countries studied. [source]

Information Uncertainty Risk and Seasonality in International Stock Markets

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 2 2010
Dongcheol Kim
G14; G12 Abstract A parsimonious two-factor model containing the market risk factor and a risk factor related to earnings information uncertainty has been developed to explain the seasonal regularity of January in international stock markets. This two-factor model shows apparently stronger power in explaining time-series behavior of stock returns and the cross-section of average stock returns in all major developed countries than do the competing models. Furthermore, the arbitrage residual return in January, which is the difference in the average residual returns between the smallest and largest size portfolios, is statistically insignificant in all the countries. These results indicate that the risk factor related to earnings information uncertainty plays a special role in explaining the seasonal pattern of stock returns in January, and that January might be a month that potentially tends to differentially reward stocks having uncertain earnings information. It could be argued, therefore, that large returns in January might be a risk premium for taking information uncertainty risk concerning earnings and unexpected earnings surprises faced at the earnings announcement, and that the previously reported strong January seasonality in stock returns might result from the use of misspecified models in adjusting for risk. [source]

Time to leave foreign stock markets?

JOURNAL OF CORPORATE ACCOUNTING & FINANCE, Issue 6 2008
Damir Tokic
International stock markets have significantly outperformed the U.S. stock market from 2005 to 2008. But will this continue? The authors argue that international markets will hit their peak sometime this year,if they haven't already done so. The reason is that they will be dragged down by the anticipated U.S. recession. And what should U.S. investors do? The authors have some prudent recommendations. © 2008 Wiley Periodicals, Inc. [source]

Information Uncertainty Risk and Seasonality in International Stock Markets

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 2 2010
Dongcheol Kim
G14; G12 Abstract A parsimonious two-factor model containing the market risk factor and a risk factor related to earnings information uncertainty has been developed to explain the seasonal regularity of January in international stock markets. This two-factor model shows apparently stronger power in explaining time-series behavior of stock returns and the cross-section of average stock returns in all major developed countries than do the competing models. Furthermore, the arbitrage residual return in January, which is the difference in the average residual returns between the smallest and largest size portfolios, is statistically insignificant in all the countries. These results indicate that the risk factor related to earnings information uncertainty plays a special role in explaining the seasonal pattern of stock returns in January, and that January might be a month that potentially tends to differentially reward stocks having uncertain earnings information. It could be argued, therefore, that large returns in January might be a risk premium for taking information uncertainty risk concerning earnings and unexpected earnings surprises faced at the earnings announcement, and that the previously reported strong January seasonality in stock returns might result from the use of misspecified models in adjusting for risk. [source]