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Cyclical comovements of the world equity indexes

Haigang Zhou (Department of Finance, Cleveland State University, Cleveland, Ohio, United States.)

Managerial Finance

ISSN: 0307-4358

Article publication date: 9 May 2016

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Abstract

Purpose

The purpose of this paper is to study synchronization in stock index cycles across 82 countries and the linkage between macroeconomic and financial integration and stock market synchronization.

Design/methodology/approach

The author document the synchronization structure of the world equity index cycles and its evolution over time. The author examine the explanatory power of various economic and financial variables on cycle comovements.

Findings

Trade openness, capital openness, and an EU membership contribute to higher stock index cycle synchronization. Additionally, the macroeconomic and financial variables have asymmetric impacts on countries of different development levels.

Originality/value

The author is the first to thoroughly chronicle the turning points, i.e., bear and bull regimes, of world equity indexes and empirically examine determinants of their cyclical comovement across nations.

Keywords

Citation

Zhou, H. (2016), "Cyclical comovements of the world equity indexes", Managerial Finance, Vol. 42 No. 5, pp. 472-495. https://doi.org/10.1108/MF-11-2014-0287

Publisher

:

Emerald Group Publishing Limited

Copyright © 2016, Emerald Group Publishing Limited

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