Asymmetric Threshold Linkages of inter-Sector Activity in International Equity Markets

  •  Eun Ahn    
  •  Jin Man Lee    


The inter-sector study shows index performance on a sector-by-sector basis was heavily impacted by the country which closed just prior to its own market’s open as we expect from the broad index. This study also found the influence of a country’s lagged price movements on its own market varied from one country to another and from sector-to-sector. The investigation into industry specific indexes by applying the Multivariate Adaptive Regression Spline (MARS) model allowed us to untangle the data and capture the asymmetric dynamics in international financial markets. The sector specific study results revealed the strong linkages when markets were excessively volatile and also identified the difference between the impact of positive and negative extreme price movements.

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