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http://hdl.handle.net/2072/8950
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| Title: | Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations |
| Authors: | Aslanidis, Nektarios
Osborn, Denise R.
Sensier, Marianne |
| Other authors: | Universitat Rovira i Virgili. Departament d'Economia |
| Subjects: | Anàlisi de sèries temporals
Models economètrics
Finances internacionals |
| Creation Date: | 2008 |
| Series/Report no.: | Documents de treball del Departament d'Economia;2008-05 |
| Abstract: | This paper provides evidence on the sources of co-movement in monthly US and UK
stock price movements by investigating the role of macroeconomic and financial
variables in a bivariate system with time-varying conditional correlations. Crosscountry
communality in response is uncovered, with changes in the US Federal Funds
rate, UK bond yields and oil prices having similar negative effects in both markets.
Other variables also play a role, especially for the UK market. These effects do not,
however, explain the marked increase in cross-market correlations observed from
around 2000, which we attribute to time variation in the correlations of shocks to
these markets. A regime-switching smooth transition model captures this time
variation well and shows the correlations increase dramatically around 1999-2000.
JEL classifications: C32, C51, G15
Keywords: international stock returns, DCC-GARCH model, smooth transition
conditional correlation GARCH model, model evaluation. |
| CDU: | 339 - Trade. Commerce. International economic relations. World economy |
| Appears in Collections: | Documents de treball del Departament d'Economia
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| Dt.2008-5- elect.pdf | | 430Kb | Adobe PDF | View/Open |
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