دانلود مقاله ISI انگلیسی شماره 42258
ترجمه فارسی عنوان مقاله

وابستگی بازار مالی: تجزیه و تحلیل رگرسیون چندک از گسترش بی ثباتی

عنوان انگلیسی
Financial market interdependencies: A quantile regression analysis of volatility spillover
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
42258 2016 18 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Research in International Business and Finance, Volume 36, January 2016, Pages 140–157

ترجمه کلمات کلیدی
وابستگی متقابل بازار - سرریز نوسانات - وابستگی متقابل نامتقارن - سرایت - رگرسیون چندک
کلمات کلیدی انگلیسی
F15; F36; G01; G15Market interdependence; Volatility spillovers; Asymmetric interdependence; Contagion; Quantile regression
پیش نمایش مقاله
پیش نمایش مقاله  وابستگی بازار مالی: تجزیه و تحلیل رگرسیون چندک از گسترش بی ثباتی

چکیده انگلیسی

This paper investigates the degree and structure of interdependence between emerging (Asian and Latin American) and developed (USA and Japan) stock markets through the study of volatility spillovers for the period spanning from January 1, 1993 to October 13, 2010. Using both standard GARCH model and quantile regression approach, we find the evidence of significant interdependence between financial markets which may give evidence of volatility transmission. The volatility transmission is closely associated with geographical proximity as well as with crisis periods which confirm the presence of contagion. The analysis of upper and lower quantiles allows observing that the interdependence increases during bullish markets while decreases during bearish markets. Accordingly, the structure of interdependence is asymmetric for both Asian and Latin American emerging markets. These findings open up new insights for government policy makers as well as for managerial purposes.