A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers
This article examines the international stock market correlations between Japan vis-à-vis the Asian Four Tigers (Taiwan, Singapore, Hong Kong, and South Korea) using Engle's (2002) dynamic conditional correlation (DCC) analysis. Daily data from 1990 to 2003 are used in this study. The results show that stock market correlations fluctuate widely over time and volatilities appear to be contagious across markets. In addition, correlations increase during periods of high market volatilities when risk diversification is needed most, and that is bad news for international diversification.
Volume (Year): 1 (2005)
Issue (Month): 2 (March)
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- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Grubel, Herbert G & Fadner, Kenneth, 1971. "The Interdependence of International Equity Markets," Journal of Finance, American Finance Association, vol. 26(1), pages 89-94, March.
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