Comovement of International Stock Market from the perspective of a nonparametric approach

Most of the past studies regarding the comovement of the international 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 internationally due to t...

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Main Author:	Othman Yong
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 1992
Online Access:	http://journalarticle.ukm.my/7950/ http://journalarticle.ukm.my/7950/ http://journalarticle.ukm.my/7950/1/1614-3047-1-SM.pdf

id	ukm-7950
recordtype	eprints
spelling	ukm-79502016-12-14T06:45:44Z http://journalarticle.ukm.my/7950/ Comovement of International Stock Market from the perspective of a nonparametric approach Othman Yong, Most of the past studies regarding the comovement of the international 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 internationally due to the usually low positive or negative correlations between national stock markets. This study, on the other hand, looks at this issue from the perspective of a nonparametric approach as apposed to the commonly used parametric approach in the past studies, 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 optimal investment strategy based on comovements of these markets. Penerbit Universiti Kebangsaan Malaysia 1992 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7950/1/1614-3047-1-SM.pdf Othman Yong, (1992) Comovement of International Stock Market from the perspective of a nonparametric approach. Jurnal Pengurusan, 11 . pp. 63-73. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	Most of the past studies regarding the comovement of the international 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 internationally due to the usually low positive or negative correlations between national stock markets. This study, on the other hand, looks at this issue from the perspective of a nonparametric approach as apposed to the commonly used parametric approach in the past studies, 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 optimal investment strategy based on comovements of these markets.
format	Article
author	Othman Yong,
spellingShingle	Othman Yong, Comovement of International Stock Market from the perspective of a nonparametric approach
author_facet	Othman Yong,
author_sort	Othman Yong,
title	Comovement of International Stock Market from the perspective of a nonparametric approach
title_short	Comovement of International Stock Market from the perspective of a nonparametric approach
title_full	Comovement of International Stock Market from the perspective of a nonparametric approach
title_fullStr	Comovement of International Stock Market from the perspective of a nonparametric approach
title_full_unstemmed	Comovement of International Stock Market from the perspective of a nonparametric approach
title_sort	comovement of international stock market from the perspective of a nonparametric approach
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	1992
url	http://journalarticle.ukm.my/7950/ http://journalarticle.ukm.my/7950/ http://journalarticle.ukm.my/7950/1/1614-3047-1-SM.pdf
first_indexed	2023-09-18T19:51:05Z
last_indexed	2023-09-18T19:51:05Z
_version_	1777406223430189056

Comovement of International Stock Market from the perspective of a nonparametric approach

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