DAILY RETURN RELATIONSHIPS AMONG ASIAN STOCK MARKETS
DAILY RETURN RELATIONSHIPS AMONG ASIAN STOCK MARKETS
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亚洲股市每日回报关系
DOI：
10.1111/j.1468-5957.1990.tb00560.x
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发表时间：
1990
影响因子：
2.9
通讯作者：
Mark V. Swankoski
中科院分区：
文献类型：
--
作者：
Insup Lee;R. Pettit;Mark V. Swankoski
大多数关于投机市场价格变化的研究所提供的结果都与信息流动水平随时间变化的过程相一致。这一过程的最终结果是，在一个恒定的时间间隔内测量的回报率混合了任何数量的近似正态分布。此外，收益的计算均值和方差将因测量时信息生成过程的强度和性质而异。然而，很少有关于金融信息的文献表明，信息的流动以及市场对信息的反应应该与信息到达的星期几密切相关。和外汇市场发现了重要的“季节性”变化的参数的回报分布，特别是平均回报（Board和Sutcliffe，1988; Condoyanni、O 'Hanlon和Ward，1987; Cross，1973; French，1980; Gibbons和Hess，1981; Keim和Stambaugh，1984; Jaffe和Westerfield，1985 a和1985 b;以及麦克法兰、Pettit和Sung，1982）。这些研究发现，周一和周五的回报率在统计上彼此不同，有时与一周中其他日子的回报率不同。对这些趋势的阐述集中在这些市场的结算实践和股息支付模式上，但这些理论提供的见解相当薄弱。特别是，尽管结算惯例和股息支付模式存在很大差异，但各市场的周内效应相当一致。这项研究致力于确定是否存在一周中的一天模式的样本中最重要的世界上的“二线”股票市场，如在香港和韩国。具体来说，我们将研究有助于表征给定市场中收益分布的单变量统计数据，以及衡量市场之间存在关系的多变量统计数据。基于一周内的数据对多变量关系的估计并不常见，但对于描述世界金融体系中的潜在回报生成过程非常重要。调查的理由来自两个来源。一是
Most studies of price changes on speculative markets offer results that are consistent with a process where the level of flow of information changes over time. The end result of this process is that returns, measured over a constant time interval, mix any number of approximately normal distributions.’Moreover, computed means and variances of returns would differ depending on the intensity and nature of the information generating process occurring at the time of measurement. Little in the literature dealing with financial information, however, suggests that the flow of information, and the market’s response to that information, should be closely tied to the day of the week on which it arrives.Nevertheless, recent studies of some of the world’s major stock, bond, and foreign exchange markets have discovered important ‘seasonal’variations in the parameters of return distributions-especially mean returns (Board and Sutcliffe, 1988; Condoyanni, O’Hanlon and Ward, 1987; Cross, 1973; French, 1980; Gibbons and Hess, 1981; Keim and Stambaugh, 1984; Jaffe and Westerfield, 1985a and 1985b; and McFarland, Pettit, and Sung, 1982). These studies found that returns on Mondays and Fridays have been statistically different from each other, and sometimes different from the returns on other days of the week. Explanations of these tendencies have concentrated on settlement practices and dividend payment patterns in these markets, but the insights provided by these theories have been rather weak. In particular, dayof-the-week effects were rather uniform across the markets, in spite of wide variations in settlement practices and dividend payment patterns. This study is devoted to determining if day-of-the-week patterns exist in a sample of the most important of the world’s ‘second tier’stock markets-such as those in Hong Kong and Korea. Specifically, we look at univariate statistics that help characterize return distributions in a given market, as well as multivariate statistics that measure relationships existing between markets. Estimates of multivariate relationships, based on day-of-the-week data, are not common, but are important to describing the underlying return generating process in the world’s financial system. The rationale for the investigation comes from two sources. First, there is
影响因子：
8
作者：
Narasimhan Jegadeesh
通讯作者：
Narasimhan Jegadeesh
影响因子：
8.2
作者：
Lakonishok, Josef;Smidt, Seymour
通讯作者：
Smidt, Seymour