The roles of news and volatility in stock market correlations during the global financial crisis |
| |
Authors: | Melissa MunRobert Brooks |
| |
Institution: | Department of Econometrics and Business Statistics, Monash University, Australia |
| |
Abstract: | The global financial crisis has again brought the interdependencies of international financial markets to the fore, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the changes in correlations between national stock markets during the global financial crisis. Our results show that the majority of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis evolves the relative role of news grows in importance. |
| |
Keywords: | C58 G15 |
本文献已被 ScienceDirect 等数据库收录! |