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:	ECONOMIC MODELS \| INTERNATIONAL FINANCIAL MARKET

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Series:	Banque de France - Direction Generale des Etudes.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005646668