کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958340 | 1478830 | 2016 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A test of asymmetric comovement for state-dependent stock returns
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
I propose a test of asymmetric stock return comovement across states. The test can be viewed as a variation of Kendall's Ï conditional on the state and has an asymptotic Ï2-distribution. A refined version of the test is derived based on the Markov chain theory of regenerative cycles which substantially improves finite sample size and power properties. I show that the test has power against local alternatives, which is nonetheless compromised due to a finite sample convergence bound put on the implied local alternative data generating process. I evaluate the new test against traditional correlation-based measures and demonstrate power attrition of a state-free tail dependence test as parameter values are varied. Broad market-based ETFs and international indices are studied and in most cases there is no compelling evidence for asymmetric comovement across states. A list of related tests is given as an extension at the end.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 36, March 2016, Pages 68-85
Journal: Journal of Empirical Finance - Volume 36, March 2016, Pages 68-85
نویسندگان
Kaihua Deng,