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风险管理系列谈之十二 市场波动性分析——衍生产品的风险分析(二)
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作者 王卫东 《中国外汇管理》 2003年第1期61-61,共1页
关键词 金融衍生品 市场波动性分析 金融市场 置信度水平 风险变量 风险暴露程度 交易寸头风险
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Is There an Impact of Stock Exchange Consolidation on Volatility of Market Returns?
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作者 Ekaterina Dorodnykh Abdelmoneim Youssef 《Journal of Modern Accounting and Auditing》 2012年第8期1158-1172,共15页
The aim of the paper is to provide some evidences on relationships among the degree of financial integration, stock exchange markets, and volatility of national market returns. In this paper, the authors employ correl... The aim of the paper is to provide some evidences on relationships among the degree of financial integration, stock exchange markets, and volatility of national market returns. In this paper, the authors employ correlation and cluster analyses in order to investigate the impact of stock exchange consolidation on volatility of market returns, in terms of a financial integration between involved stock exchanges before and after the merger. By using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1.1) model, the authors test the change in volatilities of national stock exchange markets involved in the following stock exchange integration case studies: Euronext, Bolsasy Mercados Espanoles (BME), and Swedish-Finnish financial services company (OMX). These three case studies are considered as completed cases of market consolidation, where the data are available enough to conduct the current research. By using daily data of national returns of engaged European stock markets from 1995 to 2007, the paper investigates the influence of stock exchange consolidation on volatility of national stock market returns. The obtained results confirm the gradual decrease of volatility in each of the integrated stock markets. However, the level of decrease in terms of volatility depends on economic characteristics of each engaged market and its degree of integration with other financial services. The results of correlation and cluster analyses confirm that stock operators have created significantly non-official integration links through cross-memberships and cross-listings even before the consolidations. Thus, the mergers among stock exchanges can be considered as the rational consequences of the high internal co-movements between involved markets. Furthermore, stock exchange markets with strong non-official integration links show an immediate decrease of volatility after the merger, meanwhile for others, it takes several years before the volatility can decrease as markets should reach the full integration. 展开更多
关键词 stock exchange integration VOLATILITY generalized autoregressive conditional heteroskedasticity (GARCH)
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