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Linkages in international stock markets: evidence from a classification procedure

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Sosvilla-Rivero, Simon; Rodríguez, Pedro N.

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Abstract In this paper we propose a new approach to evaluate the predictable components in stock indices using a boosting-based classification technique, and we use this method to examine causality among the three main stock market indices in the world during periods of large positive and negative price changes. The empirical evidence seems to indicate that the Standard & Poors 500 index contains incremental information that is not present in either the FTSE 100 index or the Nikkei 225 index, and that could be used to enhance the predictability of the large positive and negative returns in the three main stock market indices in the world. This in turn would suggest a causality relationship running from the Standard & Poors 500 index to both the FTSE 100 and the Nikkei 225 indices.
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
Free Keywords international stock markets; causality; G15; C32
Document language English
Publication Year 2010
Page/Pages p. 2081-2089
Journal Applied Economics, 42 (2010) 16
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)