حرکات مشترک در بازارهای بین المللی سهام
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|19273||2008||15 صفحه PDF||سفارش دهید||6594 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Financial Markets, Institutions and Money, Volume 18, Issue 1, February 2008, Pages 31–45
In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973–2004. In the light of the theoretical framework proposed in the paper, the results point to a progressive integration of the four stock markets, leading to increasing comovements in prices, returns, volatilities and correlations. Evidence of a positive and non spurious linkage between volatility and correlation, and a trend increase in correlation coefficients over time, is also found. All the above mentioned linkages seem to be particularly strong for the US and Europe, while the persistent stagnation of the economy and the weak fundamentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market.
نتیجه گیری انگلیسی
In the paper the existence of linkages across stock markets has been assessed considering several dimensions. Evidence of strong linkages across markets, as measured by comovements in prices and returns and in volatility processes, has been found. A single dominant factor can be found for the stock market prices and returns for Germany, Japan, the US and the UK over the period 1973–2004, while two global factors can be found for the volatility processes. Evidence of a trend increase in the correlation coefficients over time, explained by two dominant factors, and that the positive dependence of correlation on volatility is not spurious and robust, holding for both bear and bull markets, has been also found. All the above mentioned findings are coherent with the theoretical framework, enlightening the effects of market integration on international stock markets. Moreover, the linkages across stock markets seem to have in general grown stronger over time, particularly for the US and Europe, while the heterogeneity detected for Japan over the 1990s suggests that, over specific periods of time, local factors, i.e. weak fundamentals, may still dominate the dynamics generated by globalization and integration. While the results are still coherent with the evidence of three separate geographic areas for international stock markets, i.e. Europe, the US and the Pacific Basin, it should be noted that the heterogeneity between Europe and the US has steadily reduced over time and that the two markets are now strongly integrated. In fact, the evidence points to a dominant factor accounting between 76 and 85% of returns variance and between 82 and 90% of volatility variance for the two areas. It may also be expected that, as the Japanese economy will fully accomplish its recovery, comovement with the Western markets will also recover to the previous high levels. Among the implications of the results there is the open question on whether the linkages detected across moments can be exploited for improved forecasting of the variance-covariance matrix and of Value at Risk and whether a structural interpretation of the common factors detected for the various moments can be provided. These issues are left for further research.