Comovement of International Equity Markets: A Taxonomic Approach
Comovement of International Equity Markets: A Taxonomic Approach
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国际股票市场的联动：分类学方法
DOI：
10.2307/2330417
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发表时间：
1976
影响因子：
3.9
通讯作者：
O. Joy
中科院分区：
文献类型：
--
作者：
D. Panton;V. Lessig;O. Joy
我们一直在研究主要国际股票市场之间的回报率同步变动结构。与12个这样的市场，我们分析了结构特征的配置在不同的时间段（一，三，五，十年期）和跨期的稳定性的配置。在跨期稳定性的问题上，我们发现相当大的一年和三年的稳定性，但在五年的情况下，稳定性稍弱。作为衡量稳定性的一个指标，我们使用了连续（在时间上）树状图之间的同表相关系数。在方法学章节中描述了该技术。我们发现了一些有趣的结构特征。似乎有一个核心的国际市场，具有较高程度的相似性比其他市场。此外，这些市场（美国、加拿大、荷兰、瑞士、西德德国，以及在较小程度上比利时）一般可说是比较发达的，对国际资本流动开放。美国和加拿大市场之间也有明显的紧密联系。法国和比利时、德国和荷兰、英国和澳大利亚之间的联系不那么牢固，但可以识别。这些结果中有许多与Ripley的发现相似。我们还注意到一些国家往往与其他大多数国家最不相似：奥地利和意大利。十年的结果证实了这些发现。本研究仅为描述性研究。我们只是试图确定国际股票市场的结构和结构变化。一个合乎逻辑的后续研究领域是解释观察到的结构特性和结构变化的原因。我们希望我们的研究将有助于为这种进一步的分析提供一些基础。
We have been concerned with investigating the structure of rate-of-return comovements among major international equity markets. Working with 12 such markets we have analyzed the structural features of the configurations over alternative time periods (one-, three-, five- and ten-year periods) and the intertemporal stability of the configurations. On the issue of intertemporal stability we found considerable one-year and three-year stability, but somewhat weaker stability in the five-year case. As a measure of stability we used cophenetic correlation coefficients between successive (in time) dendrograms. This technique was described in the methodology section. We uncovered several interesting structural features. There seems to be a core of international markets that have higher degrees of similarity than the other markets. Furthermore, these markets (the United States, Canada, the Netherlands, Switzerland, West Germany and to a lesser extent, Belgium) may be generally described as relatively well developed and open to international capital flows. There is also an obviously strong tie between the United States and Canadian markets. There are less strong, but identifiable ties between France and Belgium, Germany and the Netherlands, and England and Australia. Many of these results parallel Ripley's [14] findings. We also noticed some countries that tend to be least similar to most other countries: Austria and Italy. Ten-year results corroborated these findings. This study is only descriptive. We have only attempted to identify international equity market structure and structural change. A logical subsequent research area is to explain observed structural properties and the causes of structural change. We hope that our research will help provide some basis for this further analysis.