English, Article, Journal or magazine article edition: Does Correlation between Stock Returns Really Increase during Turbulent Period?. Chesnay, F.; Jondeau, E.

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Bookmark: http://trove.nla.gov.au/version/147972
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Does Correlation between Stock Returns Really Increase during Turbulent Period?.
Author
  • Chesnay, F.
  • Jondeau, E.
Physical Description
  • preprint
Notes
  • 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.
  • Stock returns, International correlation, Markov-switching model.
  • RePEc:bfr:banfra:73
Language
  • English
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