| Tekijä: | Alli, K. Thapa, S. Yung, K. |
| Otsikko: | Stock price dynamics in overlapped market segments: intra- and inter-industry contagion effects |
| Lehti: | Journal of Business Finance and Accounting
1994 : OCT, VOL. 21:7, p. 1059-1070 |
| Asiasana: | SHARE PRICES FINANCE METHODOLOGY |
| Kieli: | eng |
| Tiivistelmä: | This study examines stock price dynamics of contagion effects in overlapping markets using an exponential ARCH model. Specifically the stock price dynamics among the oil and oil-related industries of the US are examined to see how stock price movements in one industry affect those of the related industries. The results suggest that when the amount of price innovations is larger than the expected amount, volatility of stock returns will be affected. |
SCIMA