Detail Threshold Effect in International Linkage of Stock Prices   Oleh:  Hirayama, Kenjiro ; Tsutsui, Yoshiro Jenis: Article from Bulletin/Magazine Dalam koleksi: JAPAN AND THE WORLD ECONOMY vol. 10 no. 4 (1998), page 441-454. Topik: STOCK PRICES; threshold effect; international linkagte; stock prices Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ47.8 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel This paper examines whether the international linkage of the stock price indexes found in previous studies is confirmed for the case where the stock index changes only slightly, utilizing the daily stock price index data from 1975 to 1995 for the US, UK, Germany, and Japan. Using dummy variables in the regressions, it is shown that small changes in the stock price index of any country do not affect the other country's index. In contrast, large changes have a significant effect in most cases. Thus, there is a threshold effect in international linkage of stock prices. It is also shown that negative large changes have a clearer effect than positive ones. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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