The analysis of financial market co-movement is an important issue for both policy makers and portfolio managers, for example, in terms of policy coordination and portfolio diversification. This paper presents evidence based on a data set of 33 daily international stock market indices....

The analysis of financial market co-movement is an important issue for both policy makers and portfolio managers, for example, in terms of policy coordination and portfolio diversification. This paper presents evidence based on a data set of 33 daily international stock market indices....

Recent evidence has suggested an asymmetric effect in the return dynamics of the US on the basis of the number of positive and negative consecutive return or holding days. This note extends that analysis by considering 33 international stock indices and longer consecutive day and holding...