Does Correlation between Stock Returns Really Increase during Turbulent Period?.

Correlations between international equity markets are often claimed to increase during periods of high volatility, therefore the benefits of international diversification are reduced when they are most needed, i.e. during crises. In this paper, we investigate the relationship between internatioanl correlation and stock-market turbulence.

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Year of publication:	2000
Authors:	Chesnay, F. ; Jondeau, E.
Institutions:	Banque de France
Subject:	Stock returns \| International correlation \| Markov-switching model

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Extent:	application/pdf
Series:	Working papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	21 pages
Classification:	C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005036220