Correlation dynamics in European equity markets

Research in International Business and Finance

Volumn 20, Issue 3, 2006, Pages 305-321

  Kearney, Colm ^a   Potì, Valerio ^b  

^a TRINITY COLLEGE DUBLIN   (Ireland)

^b DUBLIN CITY UNIVERSITY   (Ireland)

Author keywords

Correlation dynamics; GARCH

Indexed keywords

EID: 33748181888     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2005.05.006     Document Type: Article

References (27)

1. Adjaouté, K., Danthine J.P., 2001. EMU and Portfolio Diversification Opportunities. CEPR Discussion Paper No. 2962.
2. Adjaouté, K., Danthine J.P., 2004. Equity Returns and Integration: Is Europe Changing? FAME Research Paper No. 117.
3. Ang, A., Bekaert, G., 1999. International Asset Allocation with Time-Varying Correlations. NBER Working Paper No. 7056.
4. Baks K.P., Metrick A., and Wachter J. Should investors avoid all actively managed mutual funds? A Study in Bayesian Performance Evaluation. J. Finan. 56 (2001) 45-85
5. Baele, L., 2002. Volatility Spillover Effects in European Equity Markets: Evidence from a Regime-Switching Model. Working Paper.
6. Blake D., and Timmerman A. Mutual fund performance: evidence from the UK. Eur. Finan. Rev. 2 (1998) 57-77
7. Campbell J.Y., Lettau M., Malkiel B.G., and Xu Y. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. J. Finan. 56 (2001) 1-43
8. Cappiello, L., Engle, R.F., Sheppard, K., 2003. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. ECB Working Paper No. 204.
9. Coval J.D., and Moskowitz T.J. The geography of investment: informed trading and asset prices. J. Polit. Econ. 109 (2001) 811-841
10. De Santis G., and Gerard B. International asset pricing and portfolio diversification with time-varying risk. J. Finan. 52 (1997) 1881-1912
11. De Santis, G., Gerard B. Hillion P. International Portfolio Management, Currency Risk and the Euro, Mimeographed, University of California, Los Angeles.
12. Durbin J. Testing for serial correlation in least squares regression when some of the regressors are lagged dependent variables. Econometrica 38 (1970) 410-421
13. Eiling, E., Gerard, B., de Roon F., 2004. Asset Allocation in the Euro-Zone: Industry or Country Based? Mimeographed.
14. Engle, R.F., 2001. Dynamic Conditional Correlation-A Simple Class of Multivariate Garch Models. Working Paper, University of California, San Diego.
15. Engle R.F. Dynamic conditional correlation: a simple class of multivariate generalised autoregressive conditional heteroskedasticity models. J. Bus. Econ. Stat. 20 (2002) 339-350
16. Engle R.F., and Ng V.K. Measuring and testing the impact of news on volatility. J. Finan. 48 (1993) 1749-1777
17. Engle, R.F., Sheppard, K., 2001. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. Working Paper, University of California, San Diego.
18. Erb C.B., Harvey C.R., and Viskanta T.E. Forecasting international equity correlations. Finan. Anal. J. 50 (1994) 32-45
19. Fratzschler M. Financial market integration in europe: on the effects of Euro area on stock markets. Int. J. Finan. Econ. 7 (2002) 165-193
20. Hamilton J.D. Time Series Analysis (1994), Princeton University Press, Princeton
21. Hardouvelis, G., Malliaropulos, D., Priestley, R., 2000. Euro area and European Stock Market Integration. CEPR Discussion Paper.
22. Longin F., and Solnik B. Is correlation in international equity returns constant: 1960-1990?. J. Int. Money Finan. 14 (1995) 3-26
23. Longin F., and Solnik B. Extreme correlation of international equity markets. J. Finan. 56 (2001) 649-676
24. Merton R.C. On estimating the expected return on the market: an exploratory investigation. J. Finan. Econ. 8 (1980) 323-361
25. Patton, A. J., 2002. Skewness, Asymmetric Dependence and Portfolios. Working Paper, University of California, San Diego.
26. Pesaran M.H., and Pesaran B. Working with Microfit 4.0 (1997), Oxford University Press, Oxford
27. Wermers R. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transaction costs, and expenses. J. Finan. 55 (2000) 1655-1695