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International links in stock markets: the return and the variance in Portuguese, Spanish, UK and US stock markets
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Orientador(es)
Resumo(s)
The inter-dependence of financial markets has increased in last decades, and became
crucial for portfolio diversification. Thus, this paper studies the links in international
stock markets. The connection between the markets is addressed on the first two
moments of asset returns distribution, i.e. both the return and the variance. As proxies
for the markets, the main indexes of four countries stock markets were chosen: PSI20
(Portugal), IBEX35 (Spain), FTSE100 (United Kingdom) and Dow Jones Industrial
Average (United States). Multivariate GARCH models are used. A discussion of the
principal multivariate GARCH models is done first. Practical issues on identification,
specification and estimation are covered. A comparison of the results obtained by the
different models is done at the end. Evidence for time-varying correlation is found.
Modelling and programming multivariate GARCH models will be significant issues in
future investigation.
Descrição
A Work Project, presented as part as the requirements for the Award of a Masters Degree in Finance from the Nova School in Business and Economics
Palavras-chave
Multivariate GARCH Volatility Return International Stock Market Links JEL Classification: C32- G15