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Using chaos measures to examine international capital market integration.
- Source :
- Applied Financial Economics; Apr96, Vol. 6 Issue 2, p91-101, 11p, 5 Charts
- Publication Year :
- 1996
-
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 [ABSTRACT FROM AUTHOR]
- Subjects :
- STOCK exchanges
FOREIGN exchange rates
Subjects
Details
- Language :
- English
- ISSN :
- 09603107
- Volume :
- 6
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Applied Financial Economics
- Publication Type :
- Academic Journal
- Accession number :
- 9605172566
- Full Text :
- https://doi.org/10.1080/096031096334330