Purpose - The purpose of the paper is to study the relationship between stock return correlation and volatility. Design/methodology/approach -Utilizing a logit-type regression model, the paper analyzes the incremental effect of volatility on the level of correlation. The focus of the paper is...

Purpose – The purpose of the paper is to study the relationship between stock return correlation and volatility. Design/methodology/approach – Utilizing a logit‐type regression model, the paper analyzes the incremental effect of volatility on the level of correlation. The focus of the...