Co-movements in International Equity Markets
Co-movements in International Equity Markets
复制标题
国际股票市场的联动
DOI：
10.1111/j.1475-6803.1997.tb00251.x
复制
发表时间：
1997
影响因子：
3.5
通讯作者：
P. Deb
中科院分区：
文献类型：
--
作者：
Salim M. Darbar;P. Deb
我们研究了四个主要国际市场的股票收益率的随时间变化的跨国协方差和相关性的特点的共同运动。利用广义正定多变量GARCH模型，我们发现日本和美国股票市场具有显著的暂时协方差，但永久协方差为零。研究的其他市场对显示出显著的永久性和暂时性协方差。我们还发现，虽然回报率之间的条件相关性通常很小，但它们会随着时间的推移而发生很大变化。事件分析表明，基于这些条件相关性的多元化战略是潜在的有益的。
We examine the co-movements of equity returns in four major international markets by characterizing the time-varying cross-country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S. stock markets have significant transitory covariance, but zero permanent covariance. The other pairs of markets examined display significant permanent and transitory covariance. We also find that, while conditional correlations between returns are generally small, they change considerably over time. An event analysis suggests that basing diversification strategies on these conditional correlations is potentially beneficial.