USF St. Petersburg campus Faculty Publications
Document Type
Article
Publication Date
2017
ISSN
1913-9012
Abstract
This paper employs cointegration tests to identify the impacts of sequential opens of global equity market among the equity indices. We use the daily data of 31 major equity markets and explore the comovement relationship according to the sequence of the market open. This study also examines the impact of the 2008 global financial crisis to such comovement relationship. Our results indicate that the markets in Europe-Middle East, Asia-Pacific and Latin America, are less affected by the levels of earlier opens of other markets. After the end of 2007, the global equity market comovement pattern changed significantly, yet the interdependence of markets was not unanimously strengthened. The size of an equity market does not dictate its range and power of impact, as we find that a large size market can still be cointegrated with small size markets, while a small size market is almost always cointegrated with large size markets.
Publisher
Canadian Center of Science and Education
Recommended Citation
Dong, H. (2017). Asynchronous signaling in global equity markets: Based on opening times. International Business Research, 10 (8), 173-191, doi: 10.5539/ibr.v10n8p173.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
