THE STATIONARITY OF INTER-COUNTRY CORRELATION COEFFICIENTS: A NOTE
THE STATIONARITY OF INTER-COUNTRY CORRELATION COEFFICIENTS: A NOTE
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国家间相关系数的平稳性：注释
DOI：
10.1111/j.1468-5957.1980.tb00744.x
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发表时间：
1980
期刊：
影响因子：
--
通讯作者：
J. Watson
中科院分区：
文献类型：
--
作者：
J. Watson
本文讨论了1970年1月至1977年12月，经汇兑损益调整后，所选国家股票市场指数月收益率之间相关系数的平稳性。计算了一年、两年和四年的国家间相关系数，以检验平稳性。在8年的研究期间，国家间的相关系数在5%的水平上都很重要。澳大利亚和日本之间的四年子周期，丹麦和南非之间，日本和新西兰之间，以及新西兰和美国之间的最后两年子周期的相互关联系数的平稳性在5%的水平上有所不同。澳大利亚与德国、澳大利亚与美国、丹麦与美国之间的相关性表明，在5%的水平上，国家间的相关系数都不依赖于时间。
The article discusses the stationarity of the correlation coefficients between the monthly returns of the share market indices from selected countries from January 1970 to December 1977 after adjusting for exchange gains and losses. The inter-country correlation coefficients were calculated over one-year, two-year and four-year to test for stationarity. The inter-country correlation coefficients were all important at the five percent level over the eight-year period of study. The results on the stationarity of the inter-correlation coefficients between Australia and Japan for four year sub-periods and between Denmark and South Africa, Japan and New Zealand, and New Zealand and the US for the final two year sub-periods were different at the five per cent level. Correlations between Australia and Germany, Australia and the US, and Denmark and the US indicate that none of the inter-country correlation coefficients was time dependent at the five per cent level.