Recession And International Market Correlations
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.
|Date of creation:||Jul 2009|
|Date of revision:||Jul 2009|
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- Angelos Kanas, 1998.
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Applied Financial Economics,
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- 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.
- 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.
- Gerald P. Dwyer & R. W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14. Full references (including those not matched with items on IDEAS)
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