教師資料查詢 | 類別: 期刊論文 | 教師: 柯大衛 Kleykamp David Lee (瀏覽個人網頁)

標題:Assessing Co-Movements in World Equity Markets
學年100
學期2
出版(發表)日期2012/07/01
作品名稱Assessing Co-Movements in World Equity Markets
作品名稱(其他語言)
著者David Kleykamp; Liu, Wen-Chieh
單位淡江大學經濟學系
出版者新北市淡江大學國際研究學院
著錄名稱、卷期、頁數Tamkang Journal of International Affairs=淡江國際研究 16(1) pp.1-46
摘要The issue of co-movements in world equity markets has proven to be a topic worthy of serious consideration. Rising globalization, openness, and economic integration, as well as major financial crises, have created the potential for much stronger transmission of shocks between countries and regions. Policymakers are anxious to fully quantify how such global shocks can threaten domestic financial and economic stability. This paper proposes a definition for global equity events where all stock markets rise or fall in unison. Similar definitions for regional equity events are then entertained in which all countries within a region unanimously rise or fall, but where other countries in other regions do not follow suit. The definitions are seen to be intuitively clear and immediately operational on daily data. Using daily data on 10 major world stock market indexes over the period 2000-2012, it is found that the estimated average probability for global equity events on any given day has more than doubled since the end of 2006. Prior to 2007 the probability of a global event was roughly 0.15 and this has now risen to above 0.30. Moreover, this greater integration has occurred without a substantial rise in the probability of regional equity events. Instead, local events have become less important in determining movements in stock prices. A dynamic, triangular model linking the daily percentage changes in the US, UK, and Hong Kong markets is then estimated and the impact of these markets on each other are seen to have strengthened between the periods 2000-2006 and 2007-2012, confirming the extent of the rise in integration among global equity markets.
關鍵字
語言英文
ISSN1027-4979
期刊性質國內
收錄於
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!