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Determinants of equity return correlations: a case study of the Amman Stock Exchange

Determinants of equity return correlations: a case study of the Amman Stock Exchange
Determinants of equity return correlations: a case study of the Amman Stock Exchange
This paper seeks to explain time-varying correlations among equity returns. The literature has shown that fundamental and economic factors can explain stock returns or the volatility of markets. Here, panel data analysis is employed to examine whether these factors can also explain the comovement of stock returns. Time-varying correlations among sectoral indexes are estimated using a restricted multivariate threshold GARCH model with dynamic conditional correlation controlling for the asymmetric effects of news and the influence of financial crises. The empirical results from this panel data analysis show that equity return correlations can be explained not only by macroeconomic variables but also by fundamentals within an industry.
0924-865X
AlOmari, Mohammed
72a15209-ffeb-41f6-90d2-aeb20a1d745d
Power, David M
9b3bdb5a-2dfc-4f5f-a0fb-5783f88f79cb
Tantisantiwong, Nongnuch
73b57288-a4dc-4456-8d1b-12b8d07dc3b4
AlOmari, Mohammed
72a15209-ffeb-41f6-90d2-aeb20a1d745d
Power, David M
9b3bdb5a-2dfc-4f5f-a0fb-5783f88f79cb
Tantisantiwong, Nongnuch
73b57288-a4dc-4456-8d1b-12b8d07dc3b4

AlOmari, Mohammed, Power, David M and Tantisantiwong, Nongnuch (2017) Determinants of equity return correlations: a case study of the Amman Stock Exchange Review of Quantitative Finance and Accounting

Record type: Article

Abstract

This paper seeks to explain time-varying correlations among equity returns. The literature has shown that fundamental and economic factors can explain stock returns or the volatility of markets. Here, panel data analysis is employed to examine whether these factors can also explain the comovement of stock returns. Time-varying correlations among sectoral indexes are estimated using a restricted multivariate threshold GARCH model with dynamic conditional correlation controlling for the asymmetric effects of news and the influence of financial crises. The empirical results from this panel data analysis show that equity return correlations can be explained not only by macroeconomic variables but also by fundamentals within an industry.

Text Determinants of equity return correlations.pdf - Accepted Manuscript
Restricted to Repository staff only until 18 February 2018.

More information

Accepted/In Press date: 2 February 2017
e-pub ahead of print date: 18 February 2017
Organisations: Southampton Business School

Identifiers

Local EPrints ID: 405707
URI: http://eprints.soton.ac.uk/id/eprint/405707
ISSN: 0924-865X
PURE UUID: c85ff7f4-8dfa-4cc9-b526-fcf9065b31f1

Catalogue record

Date deposited: 18 Feb 2017 00:22
Last modified: 07 Nov 2017 21:15

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Contributors

Author: Mohammed AlOmari
Author: David M Power

University divisions

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