Extreme Correlation Of International Equity Markets
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Extreme Correlation Of International Equity Markets
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Author : Francois M. Longin
language : en
Publisher:
Release Date : 2017
Extreme Correlation Of International Equity Markets written by Francois M. Longin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ldquo;extreme value theoryrdquo; to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.
Extreme Correlation Of International Equity Markets
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Author : François M. Longin
language : en
Publisher:
Release Date : 2000
Extreme Correlation Of International Equity Markets written by François M. Longin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with International finance categories.
Extreme Contagion In Equity Markets
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Author : Jorge A. Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2002-05
Extreme Contagion In Equity Markets written by Jorge A. Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-05 with Business & Economics categories.
This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Increased Correlation In Bear Markets
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Author : Rachel Campbell
language : en
Publisher:
Release Date : 2002
Increased Correlation In Bear Markets written by Rachel Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Risk categories.
The Internationalization Of Equity Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2008-04-15
The Internationalization Of Equity Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-15 with Business & Economics categories.
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
International Integration Of Equity Markets And Contagion Effects
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Author : Mr.Paul Cashin
language : en
Publisher: International Monetary Fund
Release Date : 1995-11-01
International Integration Of Equity Markets And Contagion Effects written by Mr.Paul Cashin and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-11-01 with Business & Economics categories.
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Correlation In International Equity And Currency Markets
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Author : Elizabeth A. Sheedy
language : en
Publisher:
Release Date : 1997
Correlation In International Equity And Currency Markets written by Elizabeth A. Sheedy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Stocks categories.
International Equity Markets
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Author : Robert Lilja
language : en
Publisher: Euromoney Publications
Release Date : 1997
International Equity Markets written by Robert Lilja and has been published by Euromoney Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business enterprises categories.
International Capital Flows
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Author : Martin Feldstein
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
International Capital Flows written by Martin Feldstein and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
International Equity Markets
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Author :
language : en
Publisher:
Release Date : 1997
International Equity Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.