No contagion, only interdependence: Measuring stock market comovements
No contagion, only interdependence: Measuring stock market comovements
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DOI：
10.1111/0022-1082.00494
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发表时间：
2002-10-01
影响因子：
8
通讯作者：
Rigobon, R
中科院分区：
文献类型：
--
作者：
Forbes, KJ;Rigobon, R
基于相关系数的传染异方差偏差检验。当传染被定义为一个国家的冲击后，在市场联动显着增加，以前的工作表明，传染发生在最近的危机。本文表明，相关系数是有条件的市场波动。在某些假设下，可以对这种偏差进行调整。使用这种调整，几乎没有增加无条件相关系数（即，在1997年亚洲金融危机、1994年墨西哥货币贬值和1987年美国市场崩溃期间，没有传染性）。然而，在所有时期都存在着高度的市场共动，我们称之为相互依赖。
Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a high level of market comovement in all periods, however, which we call interdependence.