What Causes Correlations of Equity Returns to Change Over Time? A Study of the US and the Russian Equity Markets

This paper addresses the changing nature of the correlations between the equity returns of the U.S. and Russian markets and the factors that cause these correlations to change. Correlations were estimated using the “Dynamic Conditional Correlation Model.” The sovereign credit risk of Russia, changes in exchange rates and changes in world energy prices were significant factors that affected the correlations of equity returns

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Year of publication:	2010
Authors:	Jithendranathan, Thadavillil
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Russland \| Russia \| USA \| United States \| Kapitaleinkommen \| Capital income \| Aktienmarkt \| Stock market \| Korrelation \| Correlation \| Großbritannien \| United Kingdom
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Investment Management and Financial Innovations, Vol. 4, pp. 69-79, 2005 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2, 2005 erstellt Volltext nicht verfügbar
Classification:	F37 - International Finance Forecasting and Simulation ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013138532