International market correlation and volatility

Financial Analysts Journal

Volumn 52, Issue 5, 1996, Pages 17-34

  Solnik, Bruno ^a   Boucrelle, Cyril ^a   Le Fur, Yann ^a  

^a HEC PARIS   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001875659     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n5.2021     Document Type: Article

References (9)

1. Dumas, B. 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables." In The Internationalization of Equity Markets, edited by J.A. Frankel. Chicago: University of Chicago Press.
2. Erb, Claude, Campbell Harvey, and Tadas Viskanta. 1994. "Forecasting International Correlation." Financial Analysts Journal, vol. 50, no. 6 (November/December):32-45.
3. Granito, B. Donnelly. 1994. "Global Diversification Has Its Downside and May Not Be the Strongest Safety Net." Wall Street Journal (April 14):C1.
4. Harlow, W.V. 1991. "Asset Allocation in a Downside-Risk Framework." Financial Analysts Journal, vol. 47, no.5 (September/ October):28-40.
5. King, M., E. Sentana, and S. Wadhwani. 1994. "Volatility and Links between National Stock Markets." Econometrica, vol. 62, no. 4 (July):901-33.
6. Lin, W.L., R.F. Engle, and T. Ito. 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility." Review of Financial Studies, vol. 7, no. 3 (Fall):507-39 and references therein.
7. Longin, F., and Bruno Solnik. 1995. "Is the Correlation in International Equity Returns Constant: 1960-1990?" Journal of International Money and Finance, vol. 14, no. 1 (February):3-26.
8. Newey, W.K., and K.D. West. 1987. "A Simple Positive Semi-Definite Heteroskedasticity-Consistent Covariance Matrix." Econometrica, vol. 55, no. 3 (May):703-8.
9. Solnik, Bruno. 1996. International Investinents, 3rd ed. Reading, PA: Addison-Wesley.