Stock market co-movement in the Caribbean

Harrison, B ORCID: 0000-0003-2567-9446 and Moore, W, 2010. Stock market co-movement in the Caribbean. Economic Issues, 15 (1), pp. 1-15.

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Abstract

This paper investigates co-movement in five Caribbean stock markets (Barbados, Jamaica and Trinidad and Tobago, The Bahamas and Guyana) using common factor analysis. The common factors are obtained using principal component analysis and therefore account for the maximum portion of the variance present in the stock exchanges investigated. We break our analysis down and test for co-movement in different periods so as to ascertain any changes that have taken place from one period to the next. In particular we examine 10-year, 5-year and 3-year periods. We also specify a vector autoregression model and test for co-movement between the five markets during the sample period through impulse response functions. Both of our tests fail to find any evidence of co-movement between the exchanges over the entire sample period. However, we find evidence of periodic co-movement, particularly between exchanges in Barbados, Jamaica and Trinidad and Tobago.

Item Type: Journal article
Publication Title: Economic Issues
Creators: Harrison, B. and Moore, W.
Publisher: Economic Issues Education Fund
Date: 2010
Volume: 15
Number: 1
Divisions: Schools > Nottingham Business School
Depositing User: EPrints Services
Date Added: 09 Oct 2015 11:01
Last Modified: 09 Jun 2017 13:47
URI: http://irep.ntu.ac.uk/id/eprint/21699

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