Convergence of Caribbean Stock Exchanges

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Convergence of Caribbean Stock Exchanges

• Authors Stacia Howard and Roland Craigwell

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Outline of Presentation

• Rationale
• s-convergence
• Methodology
• Results
• ß-convergence
• Methodology
• Results
• Conclusion

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Rationale
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Chart 1 Returns of Caribbean Stock Markets
(1999-2008)
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s-convergenceMethodology
yi,t the yield on asset i at time t yt the
cross-section mean yield at time t.
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Chart 2 s-Convergence Results for Market Indices
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Chart 3 s-Convergence Results for Securities
Cross-listed on the BSE TTSE
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Chart 3 s-Convergence Results for Securities
Cross-listed on the BSE TTSE
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Chart 4 s-Convergence Results for Securities
Cross-listed on the JSE TTSE
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Chart 4 s-Convergence Results for Securities
Cross-listed on the JSE TTSE
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Chart 5 s-convergence Results for Securities
Cross-listed on the BSE, JSE TTSE
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ß-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
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ß-convergence ResultsUsing JSE as Benchmark
Market
SECURITY TTSE BSE
Markets -0.956433 -1.023610
FCIB -1.163495 -1.447331
JMMB -1.329895 -0.869715
GKC -1.137638 -0.905985
TCL -0.996746 -1.037490
CCMB -0.997338
DBG -2.056688
GHL -1.326226
NCBJ -0.482185
RBTT -2.073634
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ß-convergence ResultsUsing BSE as Benchmark
Market
SECURITY TTSE JSE
Markets -1.097069 -1.023610
FCIB -1.027376 -1.447331
JMMB -1.063046 -0.869715
GKC -0.822799 -0.905985
TCL -1.255710 -1.037490
NML -0.940669
SFC -2.514112
OCM -0.939452
BST -1.409618
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ß-convergence ResultsUsing TTSE as Benchmark
Market
SECURITY BSE SECURITY JSE
Markets -1.097069 Markets -0.956433
FCIB -1.027376 FCIB -1.163495
JMMB -1.063046 JMMB -1.329895
GKC -0.822799 GKC -1.137638
TCL -1.255710 TCL -0.996746
NML -0.940669 CCMB -0.997638
SFC -2.514112 DBG -2.056688
OCM -0.939452 GHL -1.326226
BST -1.409618 NCBJ -0.482185
RBTT -2.051857
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Conclusion

• Convergence at market level
• Some convergence at security level, but findings
  not as conclusive
• Information asymmetry probable
• Further work needed with weekly values

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Thank You!