کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
980348 1480440 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Realized correlation analysis of contagion
ترجمه فارسی عنوان
تجزیه و تحلیل همبستگی تحقق یافته سرایت
کلمات کلیدی
سرایت؛ هزینه حمل؛ عدم تقارن؛ ناهمگنی؛ جهش؛ نقدینگی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• Magnitude and significant correlations.
• Existence of textbook asymmetries.
• Volatility of the cost-of-carry model assumptions.
• Lead-lag asymmetries for the cost-of-carry model.
• Usefulness of heterogeneity and jumps by introducing two cost-of-carry HAR (COC) models.

This paper investigates the cross-market contagion between spot and futures US stock markets by examining the significance and properties (textbook and lead-lag asymmetries) of realized correlation, testing the assumptions of the cost-of-carry model, as well as testing the in-sample predictive significance of heterogeneity and jumps to realized correlation. Evidence from the US stock market suggests realized correlation can be very helpful analyzing contagion. There is strong evidence of statistically significant cross-market contagion in the US stock markets, when realized correlation is used as conditional correlation, across all methods employed. To the best of my knowledge, this paper is the first to nonparametrically analyze contagion based on realized correlation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 60, May 2016, Pages 138–148
نویسندگان
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