Weber, Enzo (2013) Decomposing US Stock Market Comovement into spillovers and common factors. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 26. pp. 106-118. ISSN 1062-9408, 1879-0860
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This paper disentangles direct spillovers and common factors, the sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be distinguished by specifying the variances of the latent idiosyncratic and common shocks as ARCH-type processes. By applying an adapted Kalman filter estimation method to Dow and Nasdaq stock returns, predominant spillovers from the Dow are found, as well as substantial rising factor exposure. While the latter is shown to prevail in the recent global financial crisis, volatility in the dot-corn bubble period was driven by Nasdaq shocks. (C) 2013 Elsevier Inc. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | VOLATILITY; MODELS; IDENTIFICATION; Simultaneous system; Latent factor; Identification; Spillover; EGARCH |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 24 Mar 2020 13:22 |
| Last Modified: | 24 Mar 2020 13:22 |
| URI: | https://pred.uni-regensburg.de/id/eprint/15577 |
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