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Structure and Dynamics of the Brazilian Stock Market : A Correlation Analysis

Leahy, Shawn - 2014

the period 2003 -- 2013, to determine possible determinants of this behavior.Using a Pearson and partial correlation …

Persistent link: https://www.econbiz.de/10013048764

What Do Stock Markets Tell Us About Exchange Rates?

Cenedese, Gino - 2015

The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory …

Persistent link: https://www.econbiz.de/10013018802

Liquidity Risk and Time-Varying Correlation between Equity and Currency Returns

Jung, Kuk Mo - 2016

real home currency depreciation at a monthly frequency, but this negative correlation breaks down or even reverses during … for this time-varying correlation structure. The suggested model is based on a long-run risks type model, combined with …

Persistent link: https://www.econbiz.de/10012991484

The Decline of EMU Core Countries' Portfolio Equity Investments in the Euro Area : The Role of Stock Return Correlations

Giofré, Maela - 2021

While the enlargement of the Euro area to new countries has reduced the average return correlation among member … countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old …' correlation with domestic assets. This evidence sheds light on the determinants of the sharp decline in bilateral equity …

Persistent link: https://www.econbiz.de/10013235331

What Do Stock Markets Tell Us About Exchange Rates?

Cenedese, Gino - 2015

The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory …

Persistent link: https://www.econbiz.de/10013033180

Co-Movements and Correlations Across Asian Securitized Real Estate and Stock Markets

Liow, Kim Hiang - 2010

This research examines time-varying real estate-stock conditional correlation dynamics at the local, regional, and … significance of some common factors influencing the real estate-stock correlation structures along the three integration paths. Our … analysis is also extended to the current global financial crisis to assess the relative contribution of the correlation and …

Persistent link: https://www.econbiz.de/10013145071

Emergence of Non-Speculative Demand for Bitcoin : Learning about Stochastic Correlations with Stock Markets

Yae, James; Tian, George Zhe - 2021

When a new asset keeps changing its narrative, investors find difficulty in classifying and understanding the new asset. Rational investors therefore face unprecedented uncertainty and learn about the joint dynamics to optimize their portfolio accordingly. Bitcoin's "digital gold" narrative, as...

Persistent link: https://www.econbiz.de/10013243835

The Co-Movement of Stock Markets in East Asia : Did the 1997-1998 Asian Financial Crisis Really Strengthen Stock Market Integration?

Huyghebaert, Nancy - 2013

This paper examines the integration and causality of interdependencies among seven major East Asian stock exchanges before, during, and after the 1997-1998 Asian financial crisis. For this purpose, we use daily stock market data from July 1, 1992 to June 30, 2003 in local currency as well as US...

Persistent link: https://www.econbiz.de/10013077149

Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study

Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

Persistent link: https://www.econbiz.de/10012695346

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245