کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5103087 | 1480103 | 2017 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Co-movement measure of information transmission on international equity markets
ترجمه فارسی عنوان
اندازه حرکت مشترک در انتقال اطلاعات در بازارهای سهام بین المللی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
Recently, Bhatti and Nguyen (2012) used EVT and various stochastic copulas to study the cross-country co-movements diversification and asset pricing allocation. Weiss (2013) observed that Dynamic Conditional Correlation (DCC) models outperform various copula models. This paper attempts to contribute to the literature on multivariate models for capturing forward and backward return co-movement, spillover effects and volatility linkages. It reflects cross-country forward and backward co-movements more clearly among various coupled international stock markets relating to information transmission and price discovery for making investment decisions. Given the reality of fat-tail or skewed distribution of financial data, this paper proposes the use of VECM-DCC and VAR-DCC models which capture dynamic dependences between the Australian and other selected international financial stock markets. We observe that the return co-movement effects between Australian and Asian countries are bidirectional ((AUS â Hong Kong), (AUS â Japan)) with the exception of Taiwan (AUS â Taiwan). We also observe that the volatility spillover between the Australian and both the UK and the US markets are bidirectional with a larger volatility spillover from both toward the AUS market. Further, the UK market has a higher volatility spillover on the Australian market compared to the US market and the US market has a higher volatility spillover on the UK than that of the Australian market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 470, 15 March 2017, Pages 119-131
Journal: Physica A: Statistical Mechanics and its Applications - Volume 470, 15 March 2017, Pages 119-131
نویسندگان
Naseem Al Rahahleh, M. Ishaq Bhatti,