Changes in the Strength of Connections and the Volatility of Indices of the World Stock Exchanges
DOI:
https://doi.org/10.15678/ZNUEK.2015.0938.0209Keywords:
stock market indices, correlation, volatility, world stock exchangesAbstract
The aim of the study is to identify and assess the changes in the evolution of stock market indices, paying particular attention to changes in the strength of connections of indices representing the shares of companies from different geographic regions and countries, as well as changes in the volatility of these indices. The analysis involves a comparison of how the indices have shaped up over time, isolating sub-periods and determining changes in the strength of connections between different indices. A depth analysis of changes in the volatility of indices was based on the estimated GARCH models. The analysis included a total of 15 stock market indices in the period 2.01.2000-31.10.2013. On the basis of the empirical results it may be concluded that, in spite of periodic fluctuations in the level of correlation coefficients, the vast majority of them grew in the long term. In over the 70% of cases volatility grew on the analysed markets.Downloads
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