Download pdf
An Empirical Analysis of Global Stock Markets Evidence from USA, Malaysia and Switzerland
- 1 Ningbo University of Finance and Economics
* Author to whom correspondence should be addressed.
Abstract
This article investigates a unique dataset that includes detailed trading information of three countries’ stock indices from 2000 to 2022. First, to find that the stock markets of all three countries declined in 2008, due to the financial crisis at that time. Second, calculating the monthly rate of return of three countries and produce the annual portfolio performance outcomes that include returns, volatilities and Sharpe ratios. Third, calculating the maximum drawdowns, and further analyze the market risks of each country. Finally, combining multiple countries’ stock markets into one portfolio and showcase the portfolio optimization benefits.
Keywords
stock indices, monthly rate of return, volatilities, Sharpe ratios, maximum drawdowns portfolio optimization
[1]. Review of Finance, Volume 27, Issue 1, February 2023, Pages 1-32, https://doi.org/10.1093/rof/rfac052.
[2]. Francesco Clavorà Braulin(2023). The effects of personal information on competition: Consumer privacy and partial price discrimination. International Journal of Managerial Finance,87, 102923.
[3]. Yongfang Ai, Guanglin Sun, Tao Kong (2023). Digital finance and stock price crash risk. International Review of Economics & Finance,88, 607-619.
[4]. Jauling Tseng (2023). Effect of information disclosure on firms’ direct financing in emerging securities markets. International Review of Economics & Finance.
[5]. Tong Li, Hui Chen, Wei Liu, Yongtian Yu (2023). Understanding the role of social media sentiment in identifying irrational herding behavior in the stock market. International Review of Economics & Finance,87, 163-179.
[6]. Loretta J. Mester (2017). The nexus of macroprudential supervision, monetary policy, and financial stability. International Journal of Managerial Finance,30, 177-180.
[7]. Chai Liang Huang (2020). International stock market co-movements following US financial globalization. International Review of Economics & Finance,69, 788-814.
[8]. Marcel Fratzscher, Jean Imbs (2009). Risk sharing, finance, and institutions in international portfolios. International Journal of Managerial Finance,94(3), 428-447.
[9]. Ang, Andrew, Joseph Chen and Yuhang Xing. "Downside Risk," Review of Financial Studies, 2006, v19(4,Winter), 1191-1239.
[10]. Michael L. McIntyre (2009). Market moves and the information content of option prices. International Review of Economics & Finance,18(2),327-340.
Cite this article
Ding,R. (2024). An Empirical Analysis of Global Stock Markets Evidence from USA, Malaysia and Switzerland. Journal of Applied Economics and Policy Studies,3,20-28.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
Disclaimer/Publisher's Note
The statements, opinions and data contained in all publications are solely those of the individual author(s) and contributor(s) and not of EWA Publishing and/or the editor(s). EWA Publishing and/or the editor(s) disclaim responsibility for any injury to people or property resulting from any ideas, methods, instructions or products referred to in the content.
About volume
Journal：Journal of Applied Economics and Policy Studies
© 2024 by the author(s). Licensee EWA Publishing, Oxford, UK. This article is an open access article distributed under the terms and
conditions of the Creative Commons Attribution (CC BY) license. Authors who
publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons
Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this
series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published
version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial
publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and
during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See
Open access policy for details).