STOCK PRICE DYNAMICS IN OVERLAPPED MARKET SEGMENTS: INTRA AND INTER‐INDUSTRY CONTAGION EFFECTS
使用指数ARCH模型，分析美国石油及相关行业间的股价传染效应，发现价格创新超出预期时会影响波动，且传染源来自油服行业及大型和小型石油公司。
This study examines stock price dynamics of contagion effects in overlapping markets using an exponential ARCH (Autoregressive Conditional Hetero‐scedastic) model. Specifically, the stock price dynamics among the oil and oil‐related industries of the US are examined to see how stock price movements in one industry affect those of the related industries. The results suggest that when the amount of price innovations is larger than the expected amount, volatility of stock returns will be affected. The results further show that this influence comes from the oil‐service industry and spreads to the oil industry and the gas industry. That is, inter‐industry contagion effects do exist. In addition, when the firms of the oil industry are grouped into three size categories ‐ large, medium and small ‐ the results indicate that the source of contagion is from the large and the small oil firms. The influence of their price innovations spread to medium‐sized oil firms, the oil‐service industry and the gas industry. That is, the inter‐industry and intra‐industry contagion effects exist simultaneously.