Comovement of International Stock Market from the Perspective of a Nonparametric Approach

Jabatan Kewangan
Fakulti Pengurusan Perniagaan
Universiti Kebangsaan Malaysia
43600 UKM Bangi
Selangor D.E.


Abstract

Most of the past studies regarding the comovement of the internationa stock markets deal with the potential gains to investors from international portfolio diversification. In general,these studies suggested that considerable gains were available to investors who diversify internationallly due to the usually low positive pr neative correlations between national stock markets. This study, on other hand, looks at this issue from the prespective of nonparametric approach as apposed to the commonly used parametric approach in the past studes, due to the problem of nonnormality with data under study. This study uses weekly indices of the markets of the Malaysia, Hong Kong, Australia, Japan, the United Kingdom, and the United States for a period from January 1984 to December 1988. The results of this study indicate that the comovements among these markets are not stable with time , which means that it is difficult to construct an optional investment strategy based on comevements of these markets.

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Citation

Yong, O. (1992). Comovement of International Stock Market from the Perspective of a Nonparametric Approach. Jurnal Pengurusan, 11, 63–73.

@article{yong1992comovement,
  title={Comovement of International Stock Market from the Perspective of a Nonparametric Approach},
  author={Yong, Othman},
  journal={Jurnal Pengurusan},
 

volume={11},
  number={},
  pages={63—73},
  year={1992},
  doi={},
  publisher={Penerbit UKM},
}

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11 (1992) 63 – 73

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