Asia-Pacific Stock Returns around the Lehman Shock and Beyond: Time-varying conditional correlations

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3 Citations (Scopus)

Abstract

This paper attempts to identify economic and financial factors contributing to the changing correlations of recent stock returns. Time-varying correlations have been documented in previous studies, but few attempts have been made to investigate their evolution. Focusing on the Asia-Pacific region, this paper shows that daily return correlations tend to be higher in advanced countries, are negatively correlated with the distance between markets, and increase at times of active trading and financial turmoil. Furthermore, while some explanatory variables tend to lose their statistical significance during financial crises, volume data have strengthened their relationship with return correlations, particularly around the Lehman Shock.

Original languageEnglish
Pages (from-to)412-440
Number of pages29
JournalJournal of Economic Integration
Volume28
Issue number3
DOIs
Publication statusPublished - 2013 Sep 1
Externally publishedYes

Keywords

  • Distance
  • Dynamic conditional correlations
  • Greek crisis
  • Lehman shock
  • Stock returns

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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