کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964833 930626 2009 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Inter-regional and region-specific transmission of international stock market returns: The role of foreign information
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Inter-regional and region-specific transmission of international stock market returns: The role of foreign information
چکیده انگلیسی
This paper uses stochastic-parameter regressions to analyze the role of foreign information on the return equivalent of the heat wave and meteor shower hypotheses of Engle et al. [Engle, R.F., Ito, T., Lin, W., 1990 Meteor showers or heat waves? Heteroscedastic intra-daily volatility in the foreign exchange market. Econometrica 59, 525-542]. The impact of foreign information on the level and intensity of signal transmission within and between international stock markets is assessed. It is found that signals are transmitted directly from some markets to others and indirectly through other markets. Transmission across regions is stronger than within regions, but most relationships vary over time. Foreign information plays an important role, and can be used profitably in out-of-sample trading, but some stock markets are immune to the effect of information from others.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 28, Issue 2, March 2009, Pages 322-343
نویسندگان
, ,