On the Dynamic Interdependence of International Stock Markets: A Swiss Perspective

33 Pages Posted: 26 May 2006

See all articles by Christophe Pérignon

Christophe Pérignon

HEC Paris - Finance Department

Dušan Isakov

University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences

Date Written: April 2000

Abstract

This paper studies the links existing between the Swiss stock market and the five largest stock markets in the world (USA, Japan, United Kingdom, Germany and France) in terms of return and volatility. We find that conditional heteroskedasticity is present in every market and also that conditional volatility responds asymmetrically to past shocks. In order to properly take account of these phenomena we estimate a series of bivariate asymmetric AR(1)-GARCH(1,1) models to measure the links existing between the Swiss stock market and the five other stock markets. The results indicate that the US market has the strongest influence on the Swiss market in terms of returns and volatility. Links with other markets in terms of returns are relatively weak. The German and British markets strongly influence the volatility of the Swiss market. On the other hand, we find that the Swiss market has a statistically significant but economically weak influence on the foreign markets.

Suggested Citation

Pérignon, Christophe and Isakov, Dušan, On the Dynamic Interdependence of International Stock Markets: A Swiss Perspective (April 2000). Available at SSRN: https://ssrn.com/abstract=904545 or http://dx.doi.org/10.2139/ssrn.904545

Christophe Pérignon

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

Dušan Isakov (Contact Author)

University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences ( email )

Fribourg, CH 1700
Switzerland

HOME PAGE: http://www3.unifr.ch/cgf/en/

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