English, Article, Journal or magazine article edition: Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001 Dennis Quinn; Joachim Voth

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/112012
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001
Author
  • Dennis Quinn
  • Joachim Voth
Physical Description
  • preprint
Notes
  • Using a new dataset on capital account openness, we investigate why equity return correlations changed over the last century. Based on a new, long-run dataset on capital account regulations in a group of 16 countries over the period 1890-2001, we show that correlations increase as financial markets are liberalized. These findings are robust to controlling for both the Forbes-Rigobon bias and global averages in equity return correlations. We test the robustness of our conclusions, and show that greater synchronization of fundamentals is not the main cause of increasing correlations. These results imply that the home bias puzzle may be smaller than traditionally claimed.
  • Diversification, capital flows, capital account openness, liberalization
  • RePEc:upf:upfgen:1119
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment