Transmission of returns between the U.S. stock market and four other major international stock market indexes
Bibliographic record
Abstract
This paper explored the transmission of returns between the U.S. stock market and four international (Canada, Japan, France, U.K.) stock market indexes from January 1996 to December 2006, using a nonlinear model which focused on threshold effects. The nonlinear, MARS (multivariate adaptive regression spline) model was applied to study this relationship at the general as well as industry specific levels. The nonlinear characteristic of the MARS model was able to provide valuable detailed information with its unique ability to capture and highlight the asymmetric nature of the international financial markets. The findings displayed evidence of asymmetric influence from the previous market from both extreme positive and negative price movements. This paper posits that there are advantages of applying the MARS model to international financial markets, as the results revealed significant information which may be beneficial for managing risk and hedging portfolios. Key words: Transmission of returns, multivariate adaptive regression spline (MARS), stock market.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.009 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".