Stock exchange mergers and return co-movement: A flexible dynamic component correlations model |
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| Authors: | Jö rgen Hellströ m,Yuna LiuTomas Sjö gren |
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| Affiliation: | Umeå School of Business and Economics, Umeå University, SE-90187 Umeå, Sweden |
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| Abstract: | The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns. |
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| Keywords: | C14 C22 G12 G15 |
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