Yiu, Matthew; Ho, Wai-Yip Alex; Choi, Daniel - In: Applied Financial Economics 20 (2010) 4, pp. 345-354
This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to...