Business-cycle fluctuations and international equity correlations

Renatas Kizys, C. Pierdzioch

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)252-270
Number of pages19
JournalGlobal Finance Journal
Volume17
Issue number2
DOIs
Publication statusPublished - Dec 2006

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