G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w3357
来源IDWorking 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.
URLhttps://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
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Mervyn King]的文章
[Enrique Sentana]的文章
[Sushil Wadhwani]的文章
百度学术
百度学术中相似的文章
[Mervyn King]的文章
[Enrique Sentana]的文章
[Sushil Wadhwani]的文章
必应学术
必应学术中相似的文章
[Mervyn King]的文章
[Enrique Sentana]的文章
[Sushil Wadhwani]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w3357.pdf
格式: Adobe PDF
此文件暂不支持浏览

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。