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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2908

Title: The Structure of International Stock Market Returns
Authors: Bastos, João A.
Caiado, Jorge
Keywords: Developed and emerging stock markets
Empirical properties of returns
Factor analysis
Serial depedence
Long-memory
Issue Date: 2010
Publisher: ISEG - CEMAPRE
Citation: Bastos, João A. e Jorge Caiado. 2010. "The Structure of International Stock Market Returns". Instituto Superior de Economia e Gestão – CEMAPRE Working paper nº 1002
Series/Report no.: CEMAPRE Working paper;nº 1002
Abstract: The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed historical returns but from their empirical properties, without imposing any restriction about the time dependence of the observations. To identify clusters of markets and multivariate outliers, factor analysis is then used to generate factor scores. The findings suggest the existence of meaningful factors which determine the differences in terms of the dependence structure between developed and emerging market returns.
URI: http://hdl.handle.net/10400.5/2908
Appears in Collections:DM - Documentos de trabalho / Working Papers
CEMAPRE - Documentos de Trabalho / CEMAPRE - Working Papers

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