کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
968480 | 931584 | 2006 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Common and country-specific components in national stock prices
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Previous studies on cointegration among national stock markets show conflicting results. This paper designs a general state space model to investigate the importance of a common world-wide component and the existence of country-specific components in national stock market indices. For G7 countries, there exist country-specific permanent and transitory components. Based on a variance decomposition analysis, Germany, Italy, and Japan's country-specific permanent shocks account for about half of their total permanent shocks. Most of France, Germany, and the United Kingdom's transitory shocks are country-specific. G7 countries do not seem to cointegrate around one common stochastic trend, and potential long-run international diversification benefits still exist.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 16, Issue 5, December 2006, Pages 509-519
Journal: Journal of Multinational Financial Management - Volume 16, Issue 5, December 2006, Pages 509-519
نویسندگان
Ou Hu,