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ARTÍCULO
TITULO

International Financial Markets: An Application of the Principal Component Analysis on Dependent Data

Edson Zambon Monte    

Resumen

This study analyzed the analyze the integration pattern (co-movements) of the international financial markets of 25 countries, in the period from 1997 to 2015, by means of the principal component analysis, applied to the residuals of the VAR-GARCH model. The results showed that, in the subprime crisis period, there was a substantial increase of the integration between the countries, in terms of co-movements of the financial indexes (?contagion effect?), especially for the developed countries. During the review period, Asian countries reached the second position with regard to the percentage of explanation of the variability of returns indices and it the growth of China's participation was observed. Even over time, the economic, political and geographical features seem to be crucial in terms of financial integration by countries.

PÁGINAS
pp. 359 - 402
MATERIAS
ECONOMÍA
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