Business-cycle fluctuations and international equity correlations

Renatas Kizys; C. Pierdzioch

doi:10.1016/j.gfj.2006.05.002

Business-cycle fluctuations and international equity correlations

Renatas Kizys, C. Pierdzioch

Research output: Contribution to journal › Article › peer-review

Abstract

We study the link between international monthly equity correlations and the comovement of business-cycle fluctuations in seven major countries over the period 1970–2004. In order to measure international equity correlations, we estimated bivariate GARCH models featuring time-varying conditional correlations. To assess the robustness of our results, we analyzed different GARCH models and used different measures of business-cycle fluctuations. Our results indicate that the link between international equity correlations and the comovement of business-cycle fluctuations is in general statistically not significant.

Original language	English
Pages (from-to)	252-270
Number of pages	19
Journal	Global Finance Journal
Volume	17
Issue number	2
DOIs	https://doi.org/10.1016/j.gfj.2006.05.002
Publication status	Published - Dec 2006

Access to Document

10.1016/j.gfj.2006.05.002

Cite this

@article{924491e600b54dcfa13ad357c78c3ab1,

title = "Business-cycle fluctuations and international equity correlations",

abstract = "We study the link between international monthly equity correlations and the comovement of business-cycle fluctuations in seven major countries over the period 1970–2004. In order to measure international equity correlations, we estimated bivariate GARCH models featuring time-varying conditional correlations. To assess the robustness of our results, we analyzed different GARCH models and used different measures of business-cycle fluctuations. Our results indicate that the link between international equity correlations and the comovement of business-cycle fluctuations is in general statistically not significant.",

author = "Renatas Kizys and C. Pierdzioch",

year = "2006",

month = dec,

doi = "10.1016/j.gfj.2006.05.002",

language = "English",

volume = "17",

pages = "252--270",

journal = "Global Finance Journal",

issn = "1044-0283",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Business-cycle fluctuations and international equity correlations

AU - Kizys, Renatas

AU - Pierdzioch, C.

PY - 2006/12

Y1 - 2006/12

N2 - We study the link between international monthly equity correlations and the comovement of business-cycle fluctuations in seven major countries over the period 1970–2004. In order to measure international equity correlations, we estimated bivariate GARCH models featuring time-varying conditional correlations. To assess the robustness of our results, we analyzed different GARCH models and used different measures of business-cycle fluctuations. Our results indicate that the link between international equity correlations and the comovement of business-cycle fluctuations is in general statistically not significant.

AB - We study the link between international monthly equity correlations and the comovement of business-cycle fluctuations in seven major countries over the period 1970–2004. In order to measure international equity correlations, we estimated bivariate GARCH models featuring time-varying conditional correlations. To assess the robustness of our results, we analyzed different GARCH models and used different measures of business-cycle fluctuations. Our results indicate that the link between international equity correlations and the comovement of business-cycle fluctuations is in general statistically not significant.

U2 - 10.1016/j.gfj.2006.05.002

DO - 10.1016/j.gfj.2006.05.002

M3 - Article

SN - 1044-0283

VL - 17

SP - 252

EP - 270

JO - Global Finance Journal

JF - Global Finance Journal

IS - 2

ER -

Business-cycle fluctuations and international equity correlations

Abstract

Access to Document

Fingerprint

Cite this