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Tekijä: | Engsted, T. Tanggaard, C. |
Otsikko: | The comovement of US and UK stock markets |
Lehti: | European Financial Management
2004 : DEC, VOL. 10:4, p. 593-607 |
Asiasana: | Bias Stock markets Stock returns Value-at-risk United Kingdom USA |
Kieli: | eng |
Tiivistelmä: | US and UK stock returns correlate highly positively over the period 1918-99. VAR-based variance decompositions are used to investigate the nature of this comovement. Excess return innovations are decomposed into news about future dividends, real interest rates and excess returns. It is found that the latter news component is the most important in explaining stock return volatility in both USA and UK and that stock return news is highly correlated across countries. |
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