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Recession And International Market Correlations

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  • Elaine Jones

    () (University of Central Missouri)

Abstract

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.

Suggested Citation

  • Elaine Jones, 2009. "Recession And International Market Correlations," Working Papers 0901, University of Central Missouri, Department of Economics & Finance, revised Jul 2009.
  • Handle: RePEc:umn:wpaper:0901
    as

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    File URL: http://faculty.ucmo.edu/econfinpapers/wpaper/wp0901.pdf
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    References listed on IDEAS

    as
    1. Fischer, K P & Palasvirta, A P, 1990. "High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations," The Financial Review, Eastern Finance Association, vol. 25(3), pages 371-394, August.
    2. 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.
    3. Angelos Kanas, 1998. "Linkages between the US and European equity markets: further evidence from cointegration tests," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 607-614.
    4. 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.
    5. Gerald P. Dwyer & R. W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14.
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    More about this item

    Keywords

    Stock Returns; Recession; Volatility;

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