Sökning: "Vincent Vennberg"

Hittade 1 uppsats innehållade orden Vincent Vennberg.

  1. 1. Equity Transmission Effects and Autocorrelations across the U.S., the Eurozone and Japan

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Eric Mercado Olofsson; Vincent Vennberg; [2010]
    Nyckelord :transmission effects; causality; autocorrelation; mean reversion; international portfolio diversification;

    Sammanfattning : This paper presents statistically significant and causal trends of increasing transmission effects across equity markets of the world’s three largest economies during the period of 1988 till 2010. When studying daily returns of the S&P 500, EURO STOXX and Nikkei 225 in a round-the-clock setting, increasing transmission effects were detected by our Autoregressive (AR) models and Granger causality tests. LÄS MER