| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2525 |
| DP2525 Moving Skills from Hands to Heads: Import of Technology and Export Performance | |
| Marzio Galeotti; Giorgio Barba Navaretti | |
| 发表日期 | 2000-08-29 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ?extreme value theory? to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets. |
| 主题 | Financial Economics |
| 关键词 | International equity markets Volatility Correlation Extreme value theory |
| URL | https://cepr.org/publications/dp2525 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531600 |
| 推荐引用方式 GB/T 7714 | Marzio Galeotti,Giorgio Barba Navaretti. DP2525 Moving Skills from Hands to Heads: Import of Technology and Export Performance. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
