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The roles of news and volatility in stock market correlations during the global financial crisis

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  • Mun, Melissa
  • Brooks, Robert

Abstract

The global financial crisis has again brought the interdependencies of international financial markets to the fore, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the changes in correlations between national stock markets during the global financial crisis. Our results show that the majority of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis evolves the relative role of news grows in importance.

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  • Mun, Melissa & Brooks, Robert, 2012. "The roles of news and volatility in stock market correlations during the global financial crisis," Emerging Markets Review, Elsevier, vol. 13(1), pages 1-7.
    • Handle: RePEc:eee:ememar:v:13:y:2012:i:1:p:1-7
    DOI: 10.1016/j.ememar.2011.09.001
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    More about this item

    Keywords

    News; Volatility; Global financial crisis;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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