کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054364 | 1476530 | 2014 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility and dynamic conditional correlations of worldwide emerging and frontier markets
ترجمه فارسی عنوان
نوسان و همبستگی مشروط پویا در بازار های نوظهور و مرزی در سراسر جهان
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study examines the relationship between time-varying correlations and conditional volatility among 32 worldwide emerging and frontier stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic conditional correlation model frameworks. The results can be summarized by three main findings: (1) asymmetry in volatility is not a common phenomenon in emerging and frontier markets; (2) asymmetry in correlations is found only with respect to the Hungarian stock market; and (3) the relationship between volatility and correlations is positive and significant in most countries. Thus, diversification benefits decrease during periods of higher volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 38, February 2014, Pages 175-183
Journal: Economic Modelling - Volume 38, February 2014, Pages 175-183
نویسندگان
Eduard Baumöhl, Å tefan Lyócsa,