کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5056693 1371656 2007 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Co-movement in the price of risk of aggregate equity markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Co-movement in the price of risk of aggregate equity markets
چکیده انگلیسی

This paper examines the issue of co-movement in G7 equity markets. Earlier research in this area has focussed on the first or the second moment of the return process from different markets. The approach in this paper takes the analysis to a finer level to examine the co-movement between these markets. The price of risk from the equity market is inferred in an unobserved component modelling framework to study the co-movement using a non-parametric measure of association, concordance. The findings of this paper also indicate that the price of risk is more important than volatility in explaining movements in excess return.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Systems - Volume 31, Issue 3, September 2007, Pages 256-271
نویسندگان
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