| Tekijä: | Darbar, S. M. Dep, P. |
| Otsikko: | Co-movements in international equity markets |
| Lehti: | Journal of Financial Research
1997 : Vol. 20:3, p. 305-322 |
| Asiasana: | INTERNATIONAL CAPITAL MARKET STOCK MARKETS STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | We examine the co-movements of equity returns in four major international markets by characterizing the time-varying cross-country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S. stock markets have significant transitory covariance. We also find that , while conditional correlations between returns are generally small, they change considerably over time. An event analysis suggests that basing diversification strategies on these conditional correlations is potentially beneficial. |
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