全球化与七国集团股票市场的长期合作： VECM在构造断裂下的应用

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摘要翻译：
本文运用协整检验和向量误差修正(VEC)模型，分析了股票市场长期联动和全球化的过程。这里使用的协整测试允许显式建模结构中断，并在相对时间的基础上计算断点。本文所使用的数据来源于Datastream，包括1973年以来G7国家相关股票市场指数的自然对数。主要结果表明，在这一背景下会产生显著的因果协整效应，并且存在着一种长期均衡关系，支配着世界范围内的市场一体化进程。然而，全球化是一个复杂的调整过程，在许多情况下，只有市场一体化程度较低的证据，这意味着在市场上随着比例变化而发生非比例价格传导。正如预期的那样，全球市场似乎总体上是由美国股市推动的。
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英文标题：
《Globalization and long-run co-movements in the stock market for the G7:
  an application of VECM under structural breaks》
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作者：
Rui Menezes and Andreia Dioniso
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最新提交年份：
2011
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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 paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data used in our empirical analysis were drawn from Datastream and comprise the natural logarithms of relative stock market indexes since 1973 for the G7 countries. The main results point to the conclusion that significant causal cointegration effects occur in this context and that there is a long-run equilibrium relationship that governs the worldwide process of market integration. Globalization, however, is a complex adjustment process and in many cases there is only evidence of weak market integration which means that non-proportional price transmission occurs in the market along with proportional changes. The worldwide markets, as expected, appear to be driven in general by the US stock market.
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PDF链接：
https://arxiv.org/pdf/1101.4093

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关键词：七国集团 VECM 股票市场 股票市 VEC breaks market Globalization run 向量