Intertemporal Stability in International Stock Market Relationships: A Revisit

THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol. 35, Special Issue

Posted: 18 May 2000

Abstract

Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the shorter the time period considered, the more stable the patterns of stock market co-movement, especially in the period before the 1987 stock crash when domestic currency returns are used.

JEL Classification: G15

Suggested Citation

Tang, Gordon Y. N., Intertemporal Stability in International Stock Market Relationships: A Revisit. THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol. 35, Special Issue, Available at SSRN: https://ssrn.com/abstract=6923

Gordon Y. N. Tang (Contact Author)

Hong Kong Baptist University ( email )

Dept. of Finance and Decision Sciences
Kowloon
Hong Kong
852-3411-7563 (Phone)
852-3411-5585 (Fax)

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