ID: 16887
Authors:
Paulo Sergio Macuchen Nogas, Wesley Vieira da Silva, Luiz Carlos Duclós.
Source:
Revista Brasileira de Estratégia, v. 1, n. 2, p. 227-241, May-August, 2008. 15 page(s).
Keyword:
Diversification strategies , Factor analysis , Stock markets integration
Document type: Article (Portuguese)
Show Abstract
The aim of the present work is to evaluate the integration level between the yield rates of the main stock marketindexes in the following countries: India, Brazil, Egypt, France, Germany, Hong Kong, Indonesia, Israel, Japan, Malaysia, Argentina, Mexico, Holland, Singapore, the United Kingdom and the United States. The collected data comprehend the period from January, 1998 till December, 2006, and the method of analysis was the Factor Analysis using Varimax Rotation. The obtained results revealed significative integration among the indexes of some countries, and identified three different groups: (1) Indonesia, Mexico, Argentina, India, Brazil, Japan and Egypt; (2) Hong Kong, the United States, the United Kingdom, Germany, Holland and France; (3) Malaysia and Singapore. In this analysis, only Israel did not have any relationship with the other countries stock markets.