Resumen de Are Stock Market Returns Globalized?

M. Pilar Muñoz Gracía , María Dolores Márquez Cebrián

• The aim of this paper is double. First of all we propose to analyze the relationships between the daily stock indices in the G-7 financial markets from 1990 to 2004, in order to investigate the structural changes due to the shift into the New Economy after January 1997 and the Asian crisis; as well as the multivariate volatility effects in the evolution of those seven important stock indices. Chen, So and Gerlach (2005) analyze the G-7 financial indices, for a period of time included in our data. They obtain the same pattern in all time series by means of unvaried threshold models (threshold non linearity in conditional mean and in conditional variance and asymmetric response). Next we compare those results with the ones gotten earlier using daily stock indices in the USA, Japan and Spain. The empirical results obtained in this previous work showed that the global breakpoint coincides with the fall of the NASDAQ. The main conclusion now is that after this breakpoint, most of the financial markets indices have similar behavior, corroborating the idea of globalization in those stock markets. The dynamic structure of those indices has been estimated using cointegrated vectors and VAR-GARCH-M models which allow us to estimate the volatility of the whole indices.