The Interdependence of International Equity Markets
The Interdependence of International Equity Markets
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国际股票市场的相互依存
DOI：
10.1111/j.1540-6261.1971.tb00591.x
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发表时间：
1971
期刊：
影响因子：
--
通讯作者：
Kenneth Fadner
中科院分区：
文献类型：
--
作者：
H. Grubel;Kenneth Fadner
其中 t 是价格和汇率观察值 0 到 1（即 7 天）之间的天数除以 365，r 是持有外国资产一周所经历的连续复利年收益率。美国资产的回报率以相同的方式计算，除了 X. 和 X, 始终为 1。每周利率的时间序列行业的选择取决于统计数据的可用性。前面的列表包含了正在计算指数的所有行业，但未包括在内的一些行业的更细目分类除外。纽约指数取自不同期的标准普尔每周股价指数。伦敦指数取自《金融时报》过刊。德国指数是通过与德国统计局的通信获得的。
where t is the number of days between the price and exchange rate observations zero and one (ie, seven days) divided by 365, and r is the annual rate of return with continuous compounding, experienced from the one-week holding of the foreign asset. The return on US assets was computed in the same manner except that X. and X, are always one. The time series of weekly ratesThe selection of industries was dictated by the availability of statistics. The preceding list contains all industries for which indices are being computed, with the exception of finer breakdowns of some of the industries, which were not included. The New York indices were taken from Standard and Poor's Weekly Stock Price Index, various issues. The London indices were taken from back issues of the Financial Times. The German indices were obtained through correspondence with the German Statistical Office.