Abstract
This paper provides empirical evidence on the factor structure of stock market return and volatility from a representative set of international stock exchanges. As to stock market return linkages, the results show a mild segmentation of international stock exchanges into four international areas: Europe, Asia, North and South America. Empirical findings concerning stock market volatility, estimated using GARCH methodology, also lead to a four factors solution. However, the loadings are not similar, revealing that risk is spread more globally around the world.
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Illueca, M., Lafuente, J. International stock market linkages: A factor analysis approach. J Asset Manag 3, 253–265 (2002). https://doi.org/10.1057/palgrave.jam.2240079
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DOI: https://doi.org/10.1057/palgrave.jam.2240079