Business-cycle fluctuations and international equity correlations
Business-cycle fluctuations and international equity correlations
We study the link between international monthly equity correlations and the comovement of business-cycle fluctuations in seven major countries over the period 1970–2004. In order to measure international equity correlations, we estimated bivariate GARCH models featuring time-varying conditional correlations. To assess the robustness of our results, we analyzed different GARCH models and used different measures of business-cycle fluctuations. Our results indicate that the link between international equity correlations and the comovement of business-cycle fluctuations is in general statistically not significant.
252-270
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
December 2006
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas and Pierdzioch, Christian
(2006)
Business-cycle fluctuations and international equity correlations.
Global Finance Journal, 17 (2), .
(doi:10.1016/j.gfj.2006.05.002).
Abstract
We study the link between international monthly equity correlations and the comovement of business-cycle fluctuations in seven major countries over the period 1970–2004. In order to measure international equity correlations, we estimated bivariate GARCH models featuring time-varying conditional correlations. To assess the robustness of our results, we analyzed different GARCH models and used different measures of business-cycle fluctuations. Our results indicate that the link between international equity correlations and the comovement of business-cycle fluctuations is in general statistically not significant.
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Accepted/In Press date: 1 May 2006
e-pub ahead of print date: 16 October 2006
Published date: December 2006
Identifiers
Local EPrints ID: 434458
URI: http://eprints.soton.ac.uk/id/eprint/434458
ISSN: 1044-0283
PURE UUID: c255c859-0501-4db9-9ef4-ea8c226a9152
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Date deposited: 24 Sep 2019 16:30
Last modified: 16 Mar 2024 04:41
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Author:
Christian Pierdzioch
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