Time-varying inter-market linkage of international stock markets

被引：6

作者：

Hu, Y. -P. ^{[2
]}

Lin, L. ^{[1
]}

Kao, J. -W. ^{[2
]}

机构：

[1] Natl Chi Nan Univ, Dept Banking & Finance, Puli 545, Taiwan

[2] Natl Chi Nan Univ, Dept Int Business Studies, Puli 545, Taiwan

来源：

APPLIED ECONOMICS | 2008年 / 40卷 / 19期

关键词：

D O I：

10.1080/00036840600970146

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

As a response to the growing concern on the interconnection of international stock markets, this study uses the Pena-Box model to capture time-varying relationship of the returns of 13 stock indices during 1993-2002. The results indicate a dynamic relationship of world major stock markets over time, which provide new but supplemental evidence on the conclusion derived from the conventional confirmatory factor analyses in literature.

引用

页码：2501 / 2507

页数：7

共 50 条

[1] The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach
Wang, Kehluh
Chen, Yi-Hsuan
Huang, Szu-Wei
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2011, 20 (04) : 654 - 664
[2] Time-varying return-volatility relation in international stock markets
Jin, Xiaoye
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2017, 51 : 157 - 173
[3] Time-varying market integration and stock and bond return concordance in emerging markets
Panchenko, Valentyn
Wu, Eliza
[J]. JOURNAL OF BANKING & FINANCE, 2009, 33 (06) : 1014 - 1021
[4] Time-varying international stock market interaction and the identification of volatility signals
Strohsal, Till
Weber, Enzo
[J]. JOURNAL OF BANKING & FINANCE, 2015, 56 : 28 - 36
[5] Time-varying international market power for the Chinese iron ore markets
Zhu, Xuehong
Zheng, Weihang
Zhang, Hongwei
Guo, Yaoqi
[J]. RESOURCES POLICY, 2019, 64
[6] Time-varying synchronization of European stock markets
Balázs Égert
Evžen Kočenda
[J]. Empirical Economics, 2011, 40 : 393 - 407
[7] Time-varying synchronization of European stock markets
Egert, Balazs
Kocenda, Evzen
[J]. EMPIRICAL ECONOMICS, 2011, 40 (02) : 393 - 407
[8] The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets
Tuna, Vedat Ender
Tuna, Gulfen
Kostak, Nurcan
[J]. ENERGY REPORTS, 2021, 7 : 2759 - 2774
[9] Energy market reforms in China and the time-varying connectedness of domestic and international markets
Wang, Tiantian
Wu, Fei
Zhang, Dayong
Ji, Qiang
[J]. ENERGY ECONOMICS, 2023, 117
[10] Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar
Bekiros, Stelios
McColl, John
Lee, Duncan
[J]. EMPIRICAL ECONOMICS, 2021, 61 (02) : 947 - 972

← 1 2 3 4 5 →