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La modélisation des interactions entre les coefficients de corrélation et les volatilités sur les marchés financiers Marocain, Français, Américain et Japonais
[Modeling interactions between correlation coefficients and volatilities on the Moroccan, French, American and Japanese Financial markets]

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  • Chiny, Faycal

Abstract

The analysis of correlations forms the basis of portfolio diversification and the lower the correlation between two assets the greater the potential benefit to be obtained by diversification. In the national context this typically involves the analyses of the correlation between the returns on national stock market sectors. But internationally this task turns to be more difficult because we have to analyze the relationships between returns on different and distant international markets. Erb, Harvey and Viskant (1994) and Longin and Solnik (1995) have shown that these correlations vary over time according to phases in the economic cycles. We will analyze at the international level the relationship between correlation and volatility of returns of stock indexes of 4 stock markets: Morocco, France, U.S.A and Japan from January 01, 2002 to December 31, 2012. We then investigate possible factors that cause the time variation in these correlations.

Suggested Citation

  • Chiny, Faycal, 2013. "La modélisation des interactions entre les coefficients de corrélation et les volatilités sur les marchés financiers Marocain, Français, Américain et Japonais [Modeling interactions between correla," MPRA Paper 51561, University Library of Munich, Germany, revised 18 Nov 2013.
    • Handle: RePEc:pra:mprapa:51561
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    References listed on IDEAS

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    More about this item

    Keywords

    Time-Varying Correlations; diversification strategy; financial markets;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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