Recession And International Market Correlations

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Recession And International Market Correlations

Author Info

Elaine Jones () (University of Central Missouri)

Abstract

This paper investigates the relationships between various world stock indices from June 2007 to May 2009. The primary concern is whether the recession and the higher variance in daily market returns impact correlations between market indices. The results suggest that the correlations between daily returns on market indices are higher during the recession period of September 2008 to May 2009.

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Paper provided by University of Central Missouri, Department of Economics & Finance in its series Working Papers with number 0901.

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Length: 12 pages
Date of creation: Jul 2009
Date of revision: Jul 2009
Handle: RePEc:umn:wpaper:0901

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NEP-ALL-2009-07-11 (All new papers)

References listed on IDEAS
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Blackman, S C & Holden, K & Thomas, W A, 1994. "Long-Term Relationships between International Share Prices," Applied Financial Economics, Taylor and Francis Journals, vol. 4(4), pages 297-304, August. [Downloadable!] (restricted)
Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October. [Downloadable!] (restricted)
Kanas, Angelos, 1998. "Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests," Applied Financial Economics, Taylor and Francis Journals, vol. 8(6), pages 607-14, December. [Downloadable!] (restricted)
Other versions:
- Angelos Kanas, . "Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests," Working Papers 9804, University of Crete, Department of Economics.
Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April. [Downloadable!] (restricted)
Fischer, K P & Palasvirta, A P, 1990. "High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations," The Financial Review, Eastern Finance Association, vol. 25(3), pages 371-94, August.
Gerald P. Dwyer, Jr. & R.W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14. [Downloadable!]

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