Comovement of International Stock Market from the Perspective of a Nonparametric Approach

Othman Yong

Abstract


Most of the past studies regarding the comovement of the international stock markets deal with the potential gains to investors from international portfolio diversification. In general, these studies suggested that considerable gains were available to investors who diversify internationally due to the usually low positive or negative correlations between national stock markets. This study, on the other hand, looks at this issue from the perspective of a nonparametric approach as apposed to the commonly used parametric approach in the past studies, due to the problem of nonnormality with data under study. This study uses weekly indices of the markets of the Malaysia, Hong Kong, Australia, Japan, the United Kingdom, and the United States for a period from January 1984 to December 1988. The results of this study indicate that the comovements among these markets are not stable with time, which means that it is difficult to construct an optimal investment strategy based on comovements of these markets.

ABSTRAK

Kebanyakan kajian lepas tentang pergerakan bersama pasaran-pasaran saham antarabangsa adalah berkenaan dengan potensi laba kepada para pelabur daripada pempelbagaian portfolio antarabangsa. Secara amnya, kajian-kajiart ini mencadangkan bahawa laba yang agak besar boleh didapati oleh pelabur yang mempelbagaikan pelaburan secara antarabangsa disebabkan oleh korelasi positif atau negatif yang rendah antara pasaran-pasaran saham dunia. Sebaliknya, kajian ini melihat kepada isu ini daripada perspektif kaedah bukan parametrik, iaitu berlawanan dengan kaedah parametrik yang selalu digunakan oleh kajian-kajian masa lepas, kerana adanya masalah ketidak-normalan pada data yang dikaji . Kajian ini menggunakan indeks mingguan pasaran-pasaran saharn Malaysia, Hong Kong , Australia , Jepun, United Kingdom dan Amerika Syarikat bagi satu tempoh di antara bulan Januari 1984 hingga bulan Disember 1988. Keputusan kajian ini mendapati bahawa pergerakan bersama antara pasaran-pasaran ini adalah tidak stabil mengikut masa, yang bermakna bahawa adalah sukar untuk membentuk strategi pelaburan optimum berdasarkan pergerakan bersama pasaran-pasaran mi. 


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