Aoun, Jessica Raymond
(Notre Dame University-Louaize, 2013)
Purpose — The objective is to empirically test the level of stock market interdependence in terms of return volatility spillover among selected developed and emerging markets, namely US, UK, Euro area, Japan, Turkey and Hong Kong, to determine whether international portfolio diversification can still result in risk reduction in the light of globalization and liberalization.
Design/methodology/approach — This thesis uses the modified iterative cumulative sum of squares (ICSS) algorithm to detect break points in the return variance of six selected stock markets. Then a GARCH (1, l) process with ...