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Convergence of Caribbean Stock Exchanges

This presentation by Stacia Howard and Roland Craigwell explores σ-convergence and β-convergence in Caribbean stock markets from 1999-2008. It analyzes market indices, cross-listed securities, and country-specific differences to draw conclusions on market and security-level convergence. Further research is suggested for refining results with weekly data.

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Convergence of Caribbean Stock Exchanges

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  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!

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