Tham khảo tài liệu 'applications in finance by ramaprasad bhar_3', tài chính - ngân hàng, ngân hàng - tín dụng phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Equity Market 55 result is reported by comparing the correlation matrices computed using a sliding sample size of 5 years of data. Thus our dataset allows US to examine six non-overlapping samples. These correlation matrices will not necessarily be equal over this sample period if local factors substantially influence the price of risk. If these markets are integrated however equality among these correlation matrices is quite likely. Here we find inequality of the correlation matrices in five of the six subsamples. In the sixth the sub-sample which includes the market crash of October 1987 we observe a relatively stable correlation matrix. This stability only lasts for a single five-year sub-sample and then deviates again. A closer look at the same episode with sliding sample sizes over different timeframes may reveal different patterns. In the context of portfolio diversification this type of analysis of the stability of correlation matrices plays an important role when examining the return correlations . Adjaoute and Danthine 2004 and Silvapulle and Granger 2001 . In this paper however we confine our examination to a much more fundamental issue . the influence of the price of equity market risk on the overall return generation process. Table presents the concordance statistic a measure of how closely the different phases of the price-of-risk series relate to each other among the G7 countries. The use of concordance as a measure of co-movement has advantages over a correlation analysis. The series must be rendered stationary by differencing with the correlation measure and the results are easily influenced by the presence of single large-magnitude observations of the type likely to represent single events. The concordance statistic in contrast captures the notion that the prices of risk in two markets move together. We see from the table that the Japanese market moves in phase with the markets of France and Germany but not with that of the USA. We would
