search query: @indexterm STATISTICAL METHODS / total: 745
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| Author: | Forbes, K. J. Rigobon, R. |
| Title: | No contagion, only interdependence: measuring stock market comovements |
| Journal: | Journal of Finance
2002 : OCT, VOL. 57:5, p. 2223-2261 |
| Index terms: | Stock markets Country comparisons Statistical methods |
| Language: | eng |
| Abstract: | The authors show that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a high level of market comovement in all periods, however, which the authors call interdependence. |
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