کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090223 | 1375622 | 2009 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Explaining international stock correlations with CPI fluctuations and market volatility
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper investigates the dynamic correlations among six international stock market indices and their relationship to inflation fluctuation and market volatility. The current research uses a newly developed time series model, the Double Smooth Transition Conditional Correlation with Conditional Auto Regressive Range (DSTCC-CARR) model. Findings reveal that international stock correlations are significantly time-varying and the evolution among them is related to cyclical fluctuations of inflation rates and stock volatility. The higher/lower correlations emerge between countries when both countries experience a contractionary/expansionary phase or higher/lower volatilities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 11, November 2009, Pages 2026-2035
Journal: Journal of Banking & Finance - Volume 33, Issue 11, November 2009, Pages 2026-2035
نویسندگان
Yijie Cai, Ray Yeutien Chou, Dan Li,