Recession And International Market Correlations
AbstractThis 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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Bibliographic InfoPaper provided by University of Central Missouri, Department of Economics & Finance in its series Working Papers with number 0901.
Length: 12 pages
Date of creation: Jul 2009
Date of revision: Jul 2009
Stock Returns; Recession; Volatility;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-11 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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