RISS 학술연구정보서비스

검색
다국어 입력

http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.

변환된 중국어를 복사하여 사용하시면 됩니다.

예시)
  • 中文 을 입력하시려면 zhongwen을 입력하시고 space를누르시면됩니다.
  • 北京 을 입력하시려면 beijing을 입력하시고 space를 누르시면 됩니다.
닫기
    인기검색어 순위 펼치기

    RISS 인기검색어

      KCI등재

      Modelling the Dependence of the UK Stock Market on the US Stock Market: A Need for Multiple Regimes = Modelling the Dependence of the UK Stock Market on the US Stock Market: A Need for Multiple Regimes

      한글로보기

      https://www.riss.kr/link?id=A100053932

      • 0

        상세조회
      • 0

        다운로드
      서지정보 열기
      • 내보내기
      • 내책장담기
      • 공유하기
      • 오류접수

      부가정보

      다국어 초록 (Multilingual Abstract)

      Through the use of regime-switching models, recent empirical research has essentially shown that the dynamics of stock returns depend on the state of one stock market. The present paper extends this analytical framework by allowing the dynamics of ret...

      Through the use of regime-switching models, recent empirical research has essentially shown that the dynamics of stock returns depend on the state of one stock market. The present paper extends this analytical framework by allowing the dynamics of returns to depend on the joint-states of two different stock markets. Such an extension is natural given the globalisation of financial markets and the rapid transmission of news from one international stock market to another. In an application involving the S&P500, the FTSE100 and the NIKKEI225 over the period January 1984 - October 2003, UK stock returns are found to depend on the joint-states of the US and UK stock markets three months back. Moreover the contemporaneous dependence of UK stock returns on US stock returns increases with a rising US market and a falling UK market but decreases with a falling US market and a rising UK market. This is consistent with a `rapport de force` effect whereby the relative strengths of the US and UK stock markets matter in determining the degree of contemporaneous dependence of the UK stock market on the US stock market.

      더보기

      참고문헌 (Reference)

      1 Peel, D., "Threshold nonlinearities in output: some international evidence" 30 : 323-334, 1998

      2 Luukknonen, R., "Testing linearity against smooth transition autoregression" 75 : 491-499, 1988

      3 Johansen, S., "Statistical analysis of cointegration vectors" 12 : 231-254, 1988

      4 Terasvirta, T., "Specification, estimation and evaluation of smooth transition autoregressive models" 89 : 208-218, 1994

      5 van Dijk, D., "Smooth transition autoregressive models: A survey of recent developments" 21 : 1-47, 2002

      6 Sarantis, N., "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence" 17 : 459-482, 2001

      7 McMillan, D. G., "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models" 10 : 353-368, 2001

      8 McMillan, D. G., "Nonlinear predictability of UK stock market returns" 65 (65): 557-573, 2003

      9 Granger, C. W. J., "Modelling nonlinear economic relationships" Oxford University Press 1993

      10 van Dijk, D., "Modelling multiple regimes in the business cycle" 3 : 311-340, 1999

      1 Peel, D., "Threshold nonlinearities in output: some international evidence" 30 : 323-334, 1998

      2 Luukknonen, R., "Testing linearity against smooth transition autoregression" 75 : 491-499, 1988

      3 Johansen, S., "Statistical analysis of cointegration vectors" 12 : 231-254, 1988

      4 Terasvirta, T., "Specification, estimation and evaluation of smooth transition autoregressive models" 89 : 208-218, 1994

      5 van Dijk, D., "Smooth transition autoregressive models: A survey of recent developments" 21 : 1-47, 2002

      6 Sarantis, N., "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence" 17 : 459-482, 2001

      7 McMillan, D. G., "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models" 10 : 353-368, 2001

      8 McMillan, D. G., "Nonlinear predictability of UK stock market returns" 65 (65): 557-573, 2003

      9 Granger, C. W. J., "Modelling nonlinear economic relationships" Oxford University Press 1993

      10 van Dijk, D., "Modelling multiple regimes in the business cycle" 3 : 311-340, 1999

      11 Skalin, J, "Modelling asymmetries and moving equilibria in unemployment rates" 6 (6): 202-241, 2002

      12 Longin, F., "Extreme correlation of international equity markets" 56 : 649-676, 2001

      13 Aslanidis, N., "Explaining movements in UK stock prices: How important is the US market?" Centre for Growth and Business Cycle Research, School of Economic Studies: University of Manchester 2003

      14 Beaudry, P., "Do recessions permanently change output?" 31 : 149-163, 1993

      15 Terasvirta, T., "Characterising nonlinearities in business cycles using smooth transition autoregressive models" 7 : 119-136, 1992

      더보기

      동일학술지(권/호) 다른 논문

      동일학술지 더보기

      더보기

      분석정보

      View

      상세정보조회

      0

      Usage

      원문다운로드

      0

      대출신청

      0

      복사신청

      0

      EDDS신청

      0

      동일 주제 내 활용도 TOP

      더보기

      주제

      연도별 연구동향

      연도별 활용동향

      연관논문

      연구자 네트워크맵

      공동연구자 (7)

      유사연구자 (20) 활용도상위20명

      인용정보 인용지수 설명보기

      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2027 평가예정 재인증평가 신청대상 (재인증)
      2021-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2018-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2015-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2014-12-30 학술지명변경 외국어명 : 미등록 -> Journal of Economic Research (JER) KCI등재
      2011-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2009-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2008-05-22 학술지명변경 한글명 : Jornal of Economic Research -> Journal of Economic Research (JER) KCI등재
      2007-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2004-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2003-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2002-01-01 평가 등재후보학술지 유지 (등재후보1차) KCI등재후보
      2001-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
      더보기

      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.08 0.08 0.08
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.1 0.09 0.32 0
      더보기

      이 자료와 함께 이용한 RISS 자료

      나만을 위한 추천자료

      해외이동버튼