A Cross-Country Analysis on Stock Return Synchronicity

• Main Authors: TSAI,CHIA-CHING, 蔡佳靜
• Other Authors: CHEN,YU-FEN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/bs7p74

碩士 === 大葉大學 === 企業管理學系碩士班 === 105 === This paper explores stock market synchronicity of 40 countries from 2001 to 2016, especially in its efforts on comparing stock market synchronicity between the developed and emerging countries in pre-, post- and during the 2008 financial crisis periods. The empirical results indicate that in the emerging markets, China has the highest stock synchronicity and U.S. has the highest one in the developed countries. As comparing the stock return synchronicity, there’s no statistical difference between the emerging markets and the developed ones. However, as dividing our sample periods into three periods, we find higher stock return synchronicity in the emerging markets within the pre- financial crisis period. During the 2008 financial crisis period, the synchronicity increases simultaneously in both emerging markets and the developed countries.