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Time-varying Correlations of Russian and U.S. Equity Returns

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  • Thadavillil Jithendranathan

    (University of St. Thomas)

Abstract

In this paper we looked at the changes in correlations between the Russian an U.S. equity market returns from September 1995 to October 2003. The correlations were estimated using the “Dynamic Conditional Correlation Model.” We further investigated the economic factors that cause the changes in the correlations between the returns and found that at the interest rate spread between the Russian and U.S. government bonds, changes in exchange rates and changes in world energy prices had statistically significant effect on the correlations at the overall market level.

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File URL: http://128.118.178.162/eps/if/papers/0403/0403006.pdf
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Bibliographic Info

Paper provided by EconWPA in its series International Finance with number 0403006.

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Length: 27 pages
Date of creation: 05 Mar 2004
Date of revision:
Handle: RePEc:wpa:wuwpif:0403006

Note: Type of Document - pdf; prepared on WinXP; to print on HP deskjet 940C; pages: 27; figures: Figures are within the text
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Web page: http://128.118.178.162

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Keywords: GARCH; Time-varying correlations; Russia;

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  1. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  2. John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
  3. Christopher M. Turner & Richard Startz & Charles R. Nelson, 1989. "A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market," NBER Working Papers 2818, National Bureau of Economic Research, Inc.
  4. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
  5. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
  6. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  7. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  8. Stulz, Rene M & Wasserfallen, Walter, 1995. "Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1019-57.
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