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Volume 56, Issue 7 -8


World Equity Markets: A New Approach for Segmentation (in English)

Curto, José Diaz; Fernandes, Joao Eduardo; Pinto, José Castro

Year: 2006   Volume: 56   Issue: 7 -8   Pages: 344-360

Abstract: This paper is an assessment of international equity-market integration and uses an innovative approach to segment equity markets into related geographic areas. The authors´ focus is on the relationships among the returns of the dominant national equity indexes by continent. To understand how these indexes have evolved, the authors will concentrate on a reduced number of dimensions extracted from principal components analysis. They will demonstrate that each one of these components is particularly associated with certain groups of nations and less associated with others.

JEL classification: C10, E44, G15, O57

Keywords: interaction; principal components analysis; returns


RePEc: http://ideas.repec.org/a/fau/fauart/v56y2006i7-8p344-360.html

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