English, Article, Journal or magazine article edition: RECESSION AND INTERNATIONAL MARKET CORRELATIONS Elaine Jones

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Bookmark: http://trove.nla.gov.au/version/67262
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • RECESSION AND INTERNATIONAL MARKET CORRELATIONS
Author
  • Elaine Jones
Physical Description
  • preprint
Notes
  • This paper investigates the relationships between various world stock indices from June 2007 to May 2009. The primary concern is whether the recession and the higher variance in daily market returns impact correlations between market indices. The results suggest that the correlations between daily returns on market indices are higher during the recession period of September 2008 to May 2009.
  • Stock Returns, Recession, Volatility
  • RePEc:umn:wpaper:0901
Language
  • English
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