The roles of news and volatility in stock market correlations during the global financial crisis
AbstractThe 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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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 13 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620356
News; Volatility; Global financial crisis;
Find related papers by JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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