Linkages in international stock markets: Evidence from a classification procedure

Simon Sosvilla-Rivero (1) , Pedro N. Rodríguez (2)

1 FEDEA
2 UCM - Universidad Complutense de Madrid = Complutense University of Madrid [Madrid]

In this paper we propose a new approach to evaluate the predictable components in stock indices using a boosting-based classification technique, and we use this method to examine causality among the three main stock market indices in the world during periods of large positive and negative price changes. The empirical evidence seems to indicate that the Standard & Poors 500 index contains incremental information that is not present in either the FTSE 100 index or the Nikkei 225 index, and that could be used to enhance the predictability of the large positive and negative returns in the three main stock market indices in the world. This in turn would suggest a causality relationship running from the Standard & Poors 500 index to both the FTSE 100 and the Nikkei 225 indices.

Mots clés: Social Sciences & Humanities

Simon Sosvilla-Rivero, Pedro N. Rodríguez. Linkages in international stock markets: Evidence from a classification procedure. Applied Economics, 2010, 42 (16), pp.2081-2089. ⟨10.1080/00036840701765387⟩. ⟨hal-00605545⟩