Why do markets move together? An investigation of US-Japan stock return comovements

• 成果类型: Article; Proceedings Paper
• 署名作者: Karolyi, GA; Stulz, RM
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329228
• 发表日期: 1996
• 页码: 951-986
• 关键词: UNITED-STATES; equity; RISK; heteroskedasticity; volatility; price

摘要

This article presents a model for valuing claims subject to default by both contracting parties, such as swaps and forwards. With counterparties of different default risk, the promised cash flows of a swap are discounted by a switching discount rate that, at any given state and time, is equal to the discount rate of the counterparty for whom the swap is currently out of the money (that is, a liability). The impact of credit-risk asymmetry and of netting is presented through both theory and numerical examples, which include interest rate and currency swaps.