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Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations

Author

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  • Nagayasu, Jun

    (University of Tsukuba)

Abstract

This paper attempts to identify economic and financial factors contributing to the changing correlations of recent stock returns. Time-varying correlations have been documented in previous studies, but few attempts have been made to investigate their evolution. Focusing on the Asia-Pacific region, this paper shows that daily return correlations tend to be higher in advanced countries, are negatively correlated with the distance between markets, and increase at times of active trading and financial turmoil. Furthermore, while some explanatory variables tend to lose their statistical significance during financial crises, volume data have strengthened their relationship with return correlations, particularly around the Lehman Shock.

Suggested Citation

  • Nagayasu, Jun, 2013. "Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 28, pages 412-440.
    • Handle: RePEc:ris:integr:0607
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    Cited by:

    1. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
    2. Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2014. "The global financial crisis: An analysis of the spillover effects on African stock markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 201-233.

    More about this item

    Keywords

    Dynamic Conditional Correlations; Stock Returns; Lehman Shock; Greek Crisis; Distance;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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