On the Sources of U.S. Stock Market Comovement
AbstractThis paper disentangles direct spillovers and common factors as 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 pinned down by specifying the variances of the latent idiosyncratic and common shocks as ARCH-type processes. Applying an adapted Kalman filter estimation method to Dow and Nasdaq stock returns, predominant spillovers from the Dow and substantial rising factor exposure are found. While the latter is shown to prevail in the recent global financial crisis, volatility in the dot-com bubble period was driven by Nasdaq shocks.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Regensburg, Department of Economics in its series University of Regensburg Working Papers in Business, Economics and Management Information Systems with number 439.
Date of creation: 16 Mar 2010
Date of revision:
Contact details of provider:
Postal: Universitäts-Str. 31, D-93040 Regensburg
Phone: +49 941 943-2392
Fax: +49 941 943-4752
Web page: http://www-wiwi.uni-regensburg.de/
More information through EDIRC
Simultaneous System; Latent Factor; Identification; Spillover; EGARCH;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-24 (All new papers)
- NEP-ECM-2010-07-24 (Econometrics)
- NEP-ETS-2010-07-24 (Econometric Time Series)
- NEP-FMK-2010-07-24 (Financial Markets)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gernot Deinzer).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.