摘要翻译:
本文在一个非线性框架下研究了拉美六个主要市场与美国市场之间的金融一体化。利用Hansen和Seo(2002)的阈值协整技术,我们发现墨西哥、智利和美国股市之间存在显著的阈值关联。因此,这些市场的动态同时取决于本地和全球风险因素。更重要的是,我们的结果表明,只有当股票价格调整超过一定水平时,才会激活一个开关阈值的财务整合过程。
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英文标题:
《Stock market integration in the Latin American markets: further evidence
from nonlinear modeling》
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作者:
Fredj Jawadi (LEO), Nicolas Million, Mohamed El Hedi Arouri (LEO)
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market linkages between Mexico, Chile and the US. Thus, the dynamics of these markets depends simultaneously on local and global risk factors. More importantly, our results show an on-off threshold financial integration process that is activated only when the stock price adjustment exceeds some level.
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PDF链接:
https://arxiv.org/pdf/0905.3874