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

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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",

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

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AU - Kizys, Renatas

AU - Pierdzioch, C.

PY - 2006/12

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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.

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DO - 10.1016/j.gfj.2006.05.002

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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

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