Time-shift asymmetric correlation analysis of global stock markets

被引：28
作者：
Aityan, Sergey K. [1 ]
Ivanov-Schitz, Alexey K. [2 ]
Izotov, Sergey S. [2 ]
机构：
[1] Lincoln Univ, Dept Business & Econ, 401 15th St, Oakland, CA 94612 USA
[2] MGIMO Univ, Sch Int Econ Relat, Moscow 119454, Russia
来源：
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2010年 / 20卷 / 05期
关键词：
Stock market; Correlation; Asymmetric; Time-shift; Globalization;
D O I：
10.1016/j.intfin.2010.07.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The time-shift asymmetric correlation analysis method is introduced for stock exchanges with different but non-overlapping trading hours to analyze the degree of global integration between stock markets of different countries and their influence on each other. Next-day correlation (NDC) and same-day correlation (SDC) coefficients are introduced. Correlations between major U.S. and Asia-Pacific stock market indices are analyzed. Most NDCs are statistically significant while most SDCs are insignificant. NDCs grow over time and the U.S. stock market plays a pacemaking role for the Asia-Pacific region. The correlation coefficients can be used as a measure of the degree of globalization for the corresponding countries. (C) 2010 Elsevier B.V. All rights reserved.
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页码：590 / 605
页数：16
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