1 / 17

Convergence of Caribbean Stock Exchanges

Convergence of Caribbean Stock Exchanges. Authors: Stacia Howard and Roland Craigwell. Outline of Presentation. Rationale σ-convergence Methodology Results β-convergence Methodology Results Conclusion. Rationale. Chart 1: Returns of Caribbean Stock Markets (1999-2008).

aira
Download Presentation

Convergence of Caribbean Stock Exchanges

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Convergence of Caribbean Stock Exchanges Authors: Stacia Howard and Roland Craigwell

  2. Outline of Presentation • Rationale • σ-convergence • Methodology • Results • β-convergence • Methodology • Results • Conclusion

  3. Rationale

  4. Chart 1: Returns of Caribbean Stock Markets (1999-2008)

  5. σ-convergence:Methodology yi,t = the yield on asset i at time t yt = the cross-section mean yield at time t.

  6. Chart 2: σ-Convergence Results for Market Indices

  7. Chart 3: σ-Convergence Results for Securities Cross-listed on the BSE & TTSE

  8. Chart 3: σ-Convergence Results for Securities Cross-listed on the BSE & TTSE

  9. Chart 4: σ-Convergence Results for Securities Cross-listed on the JSE & TTSE

  10. Chart 4: σ-Convergence Results for Securities Cross-listed on the JSE & TTSE

  11. Chart 5: σ-convergence Results for Securities Cross-listed on the BSE, JSE & TTSE

  12. β-convergence :Methodology return spread of cross listed securities or market indices between market i and the benchmark market at time t difference operator country-specific constant white-noise disturbance

  13. β-convergence: ResultsUsing JSE as Benchmark Market

  14. β-convergence: ResultsUsing BSE as Benchmark Market

  15. β-convergence: ResultsUsing TTSE as Benchmark Market

  16. Conclusion • Convergence at market level • Some convergence at security level, but findings not as conclusive • Information asymmetry probable • Further work needed with weekly values

  17. Thank You!

More Related