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Business-cycle fluctuations and international equity correlations

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.
1044-0283
252-270
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
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), 252-270. (doi:10.1016/j.gfj.2006.05.002).

Record type: Article

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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More information

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
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 24 Sep 2019 16:30
Last modified: 09 Jan 2022 04:07

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Contributors

Author: Renatas Kizys ORCID iD
Author: Christian Pierdzioch

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