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.

引用

页码：590 / 605

页数：16

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