کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960845 | 1478939 | 2015 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach
ترجمه فارسی عنوان
تست و مدل سازی پرش در بازارهای سهام بین المللی: یک رویکرد روزانه غیر پارامتری
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We investigate the contagion hypothesis between the United States and three European markets (Germany, the United Kingdom, and France). We focus on realized volatility, which we break down into continuous and jump parts, and we test the contagion hypothesis between jumps during overlapping and non-overlapping hours. We find a significant relation between jumps and realized volatility and spillover effects between jumps. The U.S. market plays the leading role during overlapping hours, but regional contagion is more obvious during non-overlapping hours. Interestingly, jump contagion effects exhibit asymmetry and nonlinearity, and vary according to regimes. Accordingly, we improve jump modeling and spillover.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 26, November 2015, Pages 64-84
Journal: Journal of Financial Markets - Volume 26, November 2015, Pages 64-84
نویسندگان
Fredj Jawadi, Waël Louhichi, Abdoulkarim Idi Cheffou,