Major Stock Market Indices Research Articles

Models for Predicting Prices and Volatility Patterns in Major International Stock Markets

This study presents various GARCH models for predicting movements (returns) and volatility patterns in major national stock market indices. These models depict that future returns in the national stock markets of Australia, Belgium, Canada, France, Italy and Switzerland are predictable from past realized returns; therefore, the stock indices for these markets violate the Martingale model. The stock market indices for Germany, Japan, the United Kingdom and the United States, however, behave as Martingale processes. Volatility patterns in these indices are predictable using past realized volatility measures.

Athens Stock Exchange: Organization, Management, and Behavior of Major Stock Market Indices

This paper explores some institutional aspects of the Athens Stock Exchange (ASE) and investigates the time‐series properties of three major ASE stock indices. The results depict that future returns on these indices are difficult to predict. However, volatility in these indices can be predictable using the GARCH models. Various models for predicting volatility patterns are presented.

The International Crash of October 1987: Causality Tests

The paper analyzes lead-lag relationships for six major stock market indexes: New York S&P 500, Tokyo Nikkei, London FT–30, Hong Kong Hang Seng, Singapore Straits Times, and Australia All Ordinaries, for time periods before, during, and after the October 1987 market crash. Unidirectional and bidirectional causality tests are conducted by means of the Granger methodology. Practically no lead-lag relationships are found for the pre-crash and post-crash periods. However, important feedback relationships and unidirectional causality are detected for the month of the crash. There is also an increase in contemporaneous causality during and after the month of the crash. In general, our findings suggest that the October 1987 market crash probably was an international crisis of the equity markets and that it might have begun simultaneously in all the national stock markets.