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

Author

Listed:
  • 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.

Suggested Citation

  • Thadavillil Jithendranathan, 2004. "Time-varying Correlations of Russian and U.S. Equity Returns," International Finance 0403006, EconWPA.
  • 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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    File URL: http://econwpa.repec.org/eps/if/papers/0403/0403006.pdf
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    References listed on IDEAS

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    1. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
    2. Turner, Christopher M. & Startz, Richard & Nelson, Charles R., 1989. "A Markov model of heteroskedasticity, risk, and learning in the stock market," Journal of Financial Economics, Elsevier, vol. 25(1), pages 3-22, November.
    3. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    4. 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.
    5. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    6. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    7. 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.
    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 1019-1057.
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    Cited by:

    1. Samitas, Aristeidis & Tsakalos, Ioannis, 2013. "How can a small country affect the European economy? The Greek contagion phenomenon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 18-32.

    More about this item

    Keywords

    GARCH; Time-varying correlations; Russia;

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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