B-6-1 Fuzzy Cluster Analysis on International Stock Prices : Frequency Domain Approach(General Session in English(2))

抄録

This paper investigates comovement of international stock prices from the viewpoint of both region and industry. Specifically, we apply the cluster analysis to recent daily stock price data of Asian and U.S. firms. This paper extends the author's past papers by introducing the frequency domain approach. More precisely, the measure of comovement in this paper is the coherence, a well-known similarity measure that can distinguish short-run and long-run comovement. The empirical results indicate that the country effect surpasses the industry effect in both short run and long run, i.e., shares from the same country tend to move together but shares within the same industry do not. This finding suggests that choosing a country and then many kinds of industry therein is a riskier investment strategy than choosing an industry and then many countries. The dominant country effect also highlights a slow process of globalization.