| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3357 |
| 来源ID | Working Paper 3357 |
| Volatiltiy and Links Between National Stock Markets | |
| Mervyn King; Enrique Sentana; Sushil Wadhwani | |
| 发表日期 | 1990-05-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess returns are assumed to depend both on innovations in observable economic variables and on unobservable factors. The risk premium on an asset is a near combination of the risk premia associated with factors. The main empirical finding is that only a small proportion of the time variation in the covariances between national stock markets can be accounted for by observable economic variables. Changes in correlations markets are given primarily by movements in unobservable variables. We also estimate the risk premia for each country, and are able to identify substantial movements in the required return on equity. Our results also suggest that, although inter-correlations between markets have risen since the 1987 stock market crash this is not necessarily evidence of a trend decrease. |
| URL | https://www.nber.org/papers/w3357 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560646 |
| 推荐引用方式 GB/T 7714 | Mervyn King,Enrique Sentana,Sushil Wadhwani. Volatiltiy and Links Between National Stock Markets. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3357.pdf（414KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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