金砖新兴股票市场国际定位及其溢出效应检验
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财经研究 2010 年 第 36 卷第 04 期, 页码：92 - 103
摘要
参考文献
摘要
金砖四国新兴股票市场已不同程度地融入了全球一体化进程之中。从水平溢出效应看,四国股票市场受发展中国家指数收益率的影响都不够发达,只有中国在考虑汇率后对发达国家或全球指数收益率有显著作用;巴西和中国(考虑汇率后)对本地区有显著影响。从波动溢出效应看,除中国外,其他三国均影响发达国家或全球、发展中国家和本地区指数收益。
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[2]Bekaert G,Harvey C R,Lumsdaine R.Dating the integration of world capital markets[J].Journal of Financial Economics,2002,65(2):203-248.
[3]Bhar R,Nikolova B.Return,volatility spillovers and dynamic correlationinthe BRICeq-uity markets:An analysis using a bivariate EGARCH framework[J].Global FinanceJournal,2009,19:203-218.
[4]Booth G G,Martikainen T,Tse Y.Price and volatility spillovers in Scandinavian stockmarkets[J].Journal of Banking and Finance,1997,21:811-823.
[5]Gupta R,Donleavy G D.Benefits of diversifyinginvest ments into emerging markets withti me-varying correlations:An Australian perspective[J].Journal of Multi.Fin.Manag,2009,19:160-177.
[6]Maldonado R,Saunders A.Foreign exchange restrictions and the law of one price[J].Financial Management,1983,12:19-23.
[7]Masih A M,R Masih.Are Asian stock markets fluctuation due mainly tointra-regionalcontagion effects?Evidence based on Asian emerging stock markets[J].Pacific-BasinFinance Journal,1999,7:251-282.
[8]Ng A.Volatility spillover effects fromJapan and the US to the Pacific Basin[J].Journalof International Money and Finance,2000,19:207-333.
[9]Nelson D B.Conditional heteroscedasticityin asset returns:Anewapproach[J].Econo-metrica,1991,59:347-370.
引用本文
何光辉, 杨咸月. 金砖新兴股票市场国际定位及其溢出效应检验[J]. 财经研究, 2010, 36(4): 92–103.
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