The Linkages Between National Stock Markets PDF Download
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Author: Gökçe Soydemir
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 318
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Book Description
Author: Gökçe Soydemir
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 318
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Book Description
Author: Liu Yuan Tang
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
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Book Description
Author: Gyorgy Konda
Publisher:
ISBN:
Category :
Languages : en
Pages : 74
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Book Description
Author: Mervyn King
Publisher:
ISBN:
Category :
Languages : es
Pages : 34
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Book Description
Author: Mervyn King
Publisher:
ISBN:
Category : Multivariate analysis
Languages : en
Pages :
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Book Description
Abstract: given primarily by movements in unobservable variables.
Author: Mervyn A. King
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Mervyn A. King
Publisher:
ISBN:
Category : Multivariate analysis
Languages : en
Pages : 0
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Book Description
The empirical objective of this study is to account for the time-variation in the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess returns are assumed to depend both on innovations in observable economic variables and on unobservable factors. The risk premium on an asset is a near combination of the risk premia associated with factors. The main empirical finding is that only a small proportion of the time variation in the covariances between national stock markets can be accounted for by observable economic variables. Changes in correlations markets are given primarily by movements in unobservable variables. We also estimate the risk premia for each country, and are able to identify substantial movements in the required return on equity. Our results also suggest that, although inter-correlations between markets have risen since the 1987 stock market crash this is not necessarily evidence of a trend increase.
Author: José L. Fernández-Serrano
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Stanley R. Stansell
Publisher: Wiley-Blackwell
ISBN: 9781557862662
Category : Business & Economics
Languages : en
Pages : 404
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Book Description
The rapid growth of international financial markets and their increasing integration has created a unique set of problems in the understanding of international finance. This important new book surveys the many aspects of financial market integration. The markets examined range from those of developed countries such as the US, Japan, and European countries to less developed countries. A section on the emerging markets in the CIS and Baltic States has also been included. Areas covered include capital market segmentation, an examination of the US, Hong Kong, and Singapore markets, the foreign and domestic balance sheet strategies of US banks, international financial market integration and commercial banks, the European monetary system, international integration of the CIS and Baltic States emanating from the USSR, an overview of Japanese finance, international transmission of stock market movements, and international capital markets. International Financial Market Integration is a comprehensive and valuable reference for academics, graduate students, and researchers in international finance.
Author: John Ammer
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We decompose domestic and foreign equity return innovations into components associated with news about dividend growth, interest rates, exchange rates, and future equity risk premiums. This decomposition enables us to determine the extent to which common real and financial shocks contribute to covariation between the returns on different national stock markets. An application to U.S. and U.K. data from 1957 to 1989 reveals substantial degrees of both real and financial integration between the two economies. Although common news about future risk premiums accounts for the bulk of the covariance between the two country's stock markets, the dividend growth components of the two returns are also highly correlated. Both real and financial linkages are found to be greater after the Bretton Woods currency arrangement was abandoned in the early 1970's. In a further application of our methodology to data from 15 countries from 1974 to 1990, we find that both real and financial integration typically contribute to the (consistently positive) correlations between the returns on national stock markets. In most cases, news about future dividend growth in two countries is more highly correlated than contemporaneous output measures. This suggests that there are lags in the international transmission of real economic shocks.
