Extreme Correlation of International Equity Market  

Oleh:

Longin, Francois ; Solnik, Bruno

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 2 (2001), page 649-676.
Topik: MARKETS; correlation analysis; securities markets; international finance; hypotheses; studies; mathematical models; rates of return
Fulltext: p 649.pdf (330.88KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. Using "extreme value theory" to model the multivariate distribution tails, the distribution of extreme correlation for a wide class of return distributions is derived. Empirically, the null hypothesis of multivariate normality is rejected for the negative tail, but not for the positive tail. It is also found that correlation is not related to market volatility per se, but to the market trend. Correlation increases in bear markets, but not in bull markets.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali