Transmission of Volatility Between Stock Markets

This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a "mistake" in one market can be transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility.

Volatiltiy and Links Between National Stock Markets

The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess returns are assumed to depend both on innovations in observable economic variables and on unobservable factors. The risk premium on an asset is a near combination of the risk premia associated with factors. The main empirical finding is that only a small proportion of the time variation in the covariances between national stock markets can be accounted for by observable economic variables. Changes in correlations markets are given primarily by movements in unobservable variables. We also estimate the risk premia for each country, and are able to identify substantial movements in the required return on equity. Our results also suggest that, although inter-correlations between markets have risen since the 1987 stock market crash this is not necessarily evidence of a trend decrease.

Homeostatic regulation of the endoneurial microenvironment during development, aging and in response to trauma, disease and toxic insult

The endoneurial microenvironment, delimited by the endothelium of endoneurial vessels and a multi-layered ensheathing perineurium, is a specialized milieu intérieur within which axons, associated Schwann cells and other resident cells of peripheral nerves function. The endothelium and perineurium restricts as well as regulates exchange of material between the endoneurial microenvironment and the surrounding extracellular space and thus is more appropriately described as a blood–nerve interface (BNI) rather than a blood–nerve barrier (BNB). Input to and output from the endoneurial microenvironment occurs via blood–nerve exchange and convective endoneurial fluid flow driven by a proximo-distal hydrostatic pressure gradient. The independent regulation of the endothelial and perineurial components of the BNI during development, aging and in response to trauma is consistent with homeostatic regulation of the endoneurial microenvironment. Pathophysiological alterations of the endoneurium in experimental allergic neuritis (EAN), and diabetic and lead neuropathy are considered to be perturbations of endoneurial homeostasis. The interactions of Schwann cells, axons, macrophages, and mast cells via cell–cell and cell–matrix signaling regulate the permeability of this interface. A greater knowledge of the dynamic nature of tight junctions and the factors that induce and/or modulate these key elements of the BNI will increase our understanding of peripheral nerve disorders as well as stimulate the development of therapeutic strategies to treat these disorders

Volatility and Links between National Stock Markets.

The authors attempt to account for the covariances between stock markets and to assess their integration. They estimate a factor model for sixteen national stock market returns whose volatility is induced by changing volatility in the factors. Unanticipated returns depend on innovations in economic variables and 'unobservable' factors. Assets risk premia are linear combinations of the factors risk premia. The authors find that idiosyncratic risk is priced and the 'price of risk' is different across stock markets. Besides, only a small proportion of their covariances can be accounted for by 'observable' economic variables. Correlation changes are driven primarily by movements in 'unobservables.' Copyright 1994 by The Econometric Society.