Output details
19 - Business and Management Studies
University of Northumbria at Newcastle
Inter-regional and region-specific transmission of international stock market returns: The role of foreign information
This paper introduced a new model in finance, termed the Foreign Information Transmission (FIT) model. This model relies on stochastic time-varying parameters regression methodology to analyze the role of foreign information on the return equivalent of the ‘heat wave’ and ‘meteor shower’ hypotheses of Engle et al. (1990). FIT is the first such model in the available literature to measure impact of foreign information on the level and intensity of signal transmission within and between international stock markets. The authors were invited to present it at a BlackRock (the world’s larger asset management company) research seminar in San Francisco in 2011.