Market Integration and Contagion

Geert Bekaert; Campbell R. Harvey; Angela Ng

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Market Integration and Contagion

机译：市场整合与传染

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Contagion is usually defined as correlation between markets in excess of that implied by economic fundamentals; however, there is considerable disagreement regarding the definition of the fundamentals, how they might differ across countries, and the mechanisms that link them to asset returns. Our research starts with a two-factor model with time-varying betas that . accommodates various degrees of market integration. We apply this model to stock returns in three different regions: Europe, Southeast Asia, and Latin America. In addition to examining contagion during crisis periods, we document time variation in world and regional market integration and measure the proportion of volatility driven by global, regional, and local factors.

机译：传染病通常被定义为市场之间的相互关系超过经济基本面所隐含的联系。但是，关于基本面的定义，各国之间的差异以及将其与资产收益联系起来的机制存在很大分歧。我们的研究从带时变beta的两因素模型开始。适应不同程度的市场整合。我们将此模型应用于三个不同地区的股票收益：欧洲，东南亚和拉丁美洲。除了检查危机期间的传染病，我们还记录了世界和区域市场整合中的时间变化，并测量了由全球，区域和本地因素驱动的波动率。

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来源
《The Journal of Business》 |2005年第1期|p.39-69|共31页
作者
Geert Bekaert; Campbell R. Harvey; Angela Ng;
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Columbia University and National Bureau of Economic Research;

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Market Integration and Contagion

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