| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5365 |
| DP5365 How Strong Buyers Spur Upstream Innovation | |
| Christian Wey; Roman Inderst | |
| 发表日期 | 2005-11-22 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We also show that using weekly frequency does not sidestep the consequences of the time-match problem but leads to significant loss of information. We show that the nature of integration of stock exchanges operating in the Czech Republic, Hungary, and Poland with the stock markets of Germany, UK and US in the period 1994-2004 is very dynamic. Finally, the study shows that the autocorrelation of returns on the main market indexes of the emerging markets have declined over time. |
| 主题 | Financial Economics |
| 关键词 | market integration Non-synchronous trading Emerging markets Market efficiency Kalman filter |
| URL | https://cepr.org/publications/dp5365 |
| 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/534229 |
| 推荐引用方式 GB/T 7714 | Christian Wey,Roman Inderst. DP5365 How Strong Buyers Spur Upstream Innovation. 2005. |
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