An Analysis of the Interrelationships Among the Major World Stock Exchanges

SPYROS G. MAKRIDAKIS, STEVEN C. WHEELWRIGHT

Research output: Contribution to journalArticle

72 Citations (Scopus)

Abstract

The method of principal component is used in this paper to analyse the interrelationship among the world's major stock exchanges. The major finding is that the interrelationship is unstable over time. This finding proves that any ex ante prediction of price indices is impossible, and it suggests that the indices of world equity markets can move in a random walk fashion. The consequences to international portfolio diversification should be obvious.

Original languageEnglish
Pages (from-to)195-215
Number of pages21
JournalJournal of Business Finance & Accounting
Volume1
Issue number2
DOIs
Publication statusPublished - 1 Jan 1974

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Stock exchange
Interrelationship
Random walk
Prediction
Equity markets
Price index
Principal components
International portfolio diversification

Cite this

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An Analysis of the Interrelationships Among the Major World Stock Exchanges. / MAKRIDAKIS, SPYROS G.; WHEELWRIGHT, STEVEN C.

In: Journal of Business Finance & Accounting, Vol. 1, No. 2, 01.01.1974, p. 195-215.

Research output: Contribution to journalArticle

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