High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations
High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations
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通向全球市场的大道：股市波动的国际传导
DOI：
10.1111/j.1540-6288.1990.tb00802.x
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发表时间：
1990
期刊：
影响因子：
--
通讯作者：
A. P. Palasvirta
中科院分区：
文献类型：
--
作者：
K. Fischer;A. P. Palasvirta
本文报告了23个国家股票市场指数价格行为的交叉谱分析结果。我们研究的主要目标是检验股票市场指数时间序列之间的相互依赖性，以支持或拒绝世界市场正变得更加一体化的假设。我们重新评估并扩展了20世纪70年代末的研究结果，测量全球股票市场之间的一致性和领先/滞后关系，采用每日国家指数回报的时间序列。与早期的结果相反，我们发现股票市场之间的相互依赖程度很高，具有统计学意义，我们还发现美国指数价格领先于样本中几乎所有国家的指数。版权所有1990年由麻省理工学院出版社。
The paper reports the results of a cross-spectral analysis of the price behavior of stock market indices in 23 countries. The primary goal of our study is to test for interdependence between the time series of stock market indices to support or reject the hypothesis that world markets are becoming more integrated. We reassess and extend findings of the late 1970s measuring the coherence and lead/lag relationship between stock markets world-wide, employing a time series of daily country index returns. In contrast to earlier results, we find a high and statistically significant level of interdependence between stock markets, and we also find that U.S. index prices lead almost every country index in the sample. Copyright 1990 by MIT Press.