کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963533 1479125 2010 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time-shift asymmetric correlation analysis of global stock markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Time-shift asymmetric correlation analysis of global stock markets
چکیده انگلیسی
The time-shift asymmetric correlation analysis method is introduced for stock exchanges with different but non-overlapping trading hours to analyze the degree of global integration between stock markets of different countries and their influence on each other. Next-day correlation (NDC) and same-day correlation (SDC) coefficients are introduced. Correlations between major U.S. and Asia-Pacific stock market indices are analyzed. Most NDCs are statistically significant while most SDCs are insignificant. NDCs grow over time and the U.S. stock market plays a pacemaking role for the Asia-Pacific region. The correlation coefficients can be used as a measure of the degree of globalization for the corresponding countries.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 5, December 2010, Pages 590-605
نویسندگان
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