{"title":"股票价格对经济事件的敏感性:来自斯里兰卡股市和美国股市的计量经济学证据","authors":"D.A.I. Dayarathne, R. Lakshman","doi":"10.4038/SUSLJ.V11I1.5886","DOIUrl":null,"url":null,"abstract":"This paper attempts to examine the sensitivity of stock prices to economic events in an emerging market and in a developed market. Historically several studies have been undertaken on the stock market sensitivity on important economic events in several markets. The sensitivity of stock prices to major economic events is measured by using the volatility test of Inclan and Tiao which objectively differentiates the volatile period from the weekly data series of both markets. The All Share Price Index (ASPI) and New York Stock Exchange (NYSE) Composite Index are used for the volatility test of Inclan and Tiao (1994). Then, the major economic events are matched with the volatility periods of the prices. It is found that the stock prices in both markets are highly sensitive to the major economic events. The findings of this study consistent with Bailey and Chung (1995) who find that important political events tend to be associated with sudden change in volatility. Thus this suggests that portfolio managers should be cautious in advising their clients in dynamic situations in the markets in this nature. DOI: http://dx.doi.org/10.4038/suslj.v11i1.5886 Sabaragamuwa University Journal 2012; V. 11 No. 1 pp 21-32","PeriodicalId":363402,"journal":{"name":"Sabaragamuwa University Journal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Sensitivity of stock prices to economic events: econometric evidence from Sri Lankan stock market and US stock market\",\"authors\":\"D.A.I. Dayarathne, R. Lakshman\",\"doi\":\"10.4038/SUSLJ.V11I1.5886\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper attempts to examine the sensitivity of stock prices to economic events in an emerging market and in a developed market. Historically several studies have been undertaken on the stock market sensitivity on important economic events in several markets. The sensitivity of stock prices to major economic events is measured by using the volatility test of Inclan and Tiao which objectively differentiates the volatile period from the weekly data series of both markets. The All Share Price Index (ASPI) and New York Stock Exchange (NYSE) Composite Index are used for the volatility test of Inclan and Tiao (1994). Then, the major economic events are matched with the volatility periods of the prices. It is found that the stock prices in both markets are highly sensitive to the major economic events. The findings of this study consistent with Bailey and Chung (1995) who find that important political events tend to be associated with sudden change in volatility. Thus this suggests that portfolio managers should be cautious in advising their clients in dynamic situations in the markets in this nature. DOI: http://dx.doi.org/10.4038/suslj.v11i1.5886 Sabaragamuwa University Journal 2012; V. 11 No. 1 pp 21-32\",\"PeriodicalId\":363402,\"journal\":{\"name\":\"Sabaragamuwa University Journal\",\"volume\":\"6 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-07-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Sabaragamuwa University Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.4038/SUSLJ.V11I1.5886\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Sabaragamuwa University Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4038/SUSLJ.V11I1.5886","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
摘要
本文试图考察新兴市场和发达市场股票价格对经济事件的敏感性。历史上,人们对股票市场对几个市场的重要经济事件的敏感性进行了一些研究。股票价格对主要经济事件的敏感性是通过使用波动率测试的Inclan和Tiao来衡量的,该测试客观地区分了波动期与两个市场的每周数据系列。波动性检验采用全股价指数(ASPI)和纽约证券交易所(NYSE)综合指数(1994)。然后,主要经济事件与价格的波动期相匹配。研究发现,两个市场的股票价格对重大经济事件高度敏感。本研究的发现与Bailey和Chung(1995)的发现一致,他们发现重要的政治事件往往与波动率的突然变化有关。因此,这表明,在这种性质的市场动态情况下,投资组合经理在向客户提供建议时应谨慎。DOI: http://dx.doi.org/10.4038/suslj.v11i1.5886 Sabaragamuwa University Journal 2012;第11节第1页21-32
Sensitivity of stock prices to economic events: econometric evidence from Sri Lankan stock market and US stock market
This paper attempts to examine the sensitivity of stock prices to economic events in an emerging market and in a developed market. Historically several studies have been undertaken on the stock market sensitivity on important economic events in several markets. The sensitivity of stock prices to major economic events is measured by using the volatility test of Inclan and Tiao which objectively differentiates the volatile period from the weekly data series of both markets. The All Share Price Index (ASPI) and New York Stock Exchange (NYSE) Composite Index are used for the volatility test of Inclan and Tiao (1994). Then, the major economic events are matched with the volatility periods of the prices. It is found that the stock prices in both markets are highly sensitive to the major economic events. The findings of this study consistent with Bailey and Chung (1995) who find that important political events tend to be associated with sudden change in volatility. Thus this suggests that portfolio managers should be cautious in advising their clients in dynamic situations in the markets in this nature. DOI: http://dx.doi.org/10.4038/suslj.v11i1.5886 Sabaragamuwa University Journal 2012; V. 11 No. 1 pp 21-32