標題: Explaining international stock correlations with CPI fluctuations and market volatility
作者: Cai, Yijie
Chou, Ray Yeutien
Li, Dan
交大名義發表
National Chiao Tung University
關鍵字: International stock markets;CPI rates;Global volatility;Smooth transition;CARR
公開日期: 1-十一月-2009
摘要: This paper investigates the dynamic correlations among six international stock market indices and their relationship to inflation fluctuation and market volatility. The current research uses a newly developed time series model, the Double Smooth Transition Conditional Correlation with Conditional Auto Regressive Range (DSTCC-CARR) model. Findings reveal that international stock correlations are significantly time-varying and the evolution among them is related to cyclical fluctuations of inflation rates and stock volatility. The higher/lower correlations emerge between countries when both countries experience a contractionary/expansionary phase or higher/lower volatilities. (C) 2009 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.jbankfin.2009.05.013
http://hdl.handle.net/11536/14160
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2009.05.013
期刊: JOURNAL OF BANKING & FINANCE
Volume: 33
Issue: 11
起始頁: 2026
結束頁: 2035
顯示於類別:期刊論文


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  1. 000271343700008.pdf