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Business-cycle fluctuations and international equity correlations [An article from: Global Finance Journal]
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Book Details
Author(s)
R. Kizys, C. Pierdzioch
Publisher
Elsevier
ISBN / ASIN
B000PC081Y
ISBN-13
978B000PC0811
Marketplace
France 🇫🇷
Description
This digital document is a journal article from Global Finance Journal, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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.
Description:
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.
