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Departamento de Métodos Quantitativos do ISCTE-IUL

The Behavior of Developed and Emerging Market Returns:

A Factor Analysis Approach

Jorge Caiado
(CEMAPRE, ISEG)

Terça-Feira, Dia 26 de JANEIRO, 15,00h
Sala C505, Edifício II do ISCTE-IUL

Abstract:

The dynamic behavior of developed and emerging market returns in terms of standard univariate statistics, short-term dependence, memory, conditional heteroskedasticity and leverage effects is examined. To investigate the underlying structure among those features, a statistical factor analysis approach is employed separately to both groups of developed markets and emerging markets. To identify clusters of markets and multivariate outliers, factor analysis was used to generate factor scores. The findings suggest the existence of some meaningful factors that differ considerably between developed market returns and emerging market returns.

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