search query: @author Doukas, J. / total: 6
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Author: | Arshanapalli, B. Doukas, J. Lang, L. |
Title: | Common volatility in the industrial structure of global capital markets |
Journal: | Journal of International Money and Finance
1997 : APR, VOL. 16:2, p. 189-210 |
Index terms: | FINANCE MONEY CAPITAL MARKETS |
Language: | eng |
Abstract: | This paper investigates the nature of the volatility process among security prices for US, Europe and the Pacific Rim capital markets using a new data set that removes the problem of disparate index composition associated with aggregate stock market index series. The authors use the common ARCH-feature testing methodology, recently developed by Engle and Kozicki (Journal of Business Economics 11, pp.369-380,1993), to examine the issue of a common volatility process among asset prices of nine industry groups from three economic regions of the world economy. |
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