La modélisation des interactions entre les coefficients de corrélation et les volatilités sur les marchés financiers Marocain, Français, Américain et Japonais

Modeling interactions between correlation coefficients and volatilities on the Moroccan, French, American and Japanese Financial markets

Faycal Chiny

MPRA Paper from University Library of Munich, Germany

Abstract: The analysis of correlations forms the basis of portfolio diversification and the lower the correlation between two assets the greater the potential benefit to be obtained by diversification. In the national context this typically involves the analyses of the correlation between the returns on national stock market sectors. But internationally this task turns to be more difficult because we have to analyze the relationships between returns on different and distant international markets. Erb, Harvey and Viskant (1994) and Longin and Solnik (1995) have shown that these correlations vary over time according to phases in the economic cycles. We will analyze at the international level the relationship between correlation and volatility of returns of stock indexes of 4 stock markets: Morocco, France, U.S.A and Japan from January 01, 2002 to December 31, 2012. We then investigate possible factors that cause the time variation in these correlations.

Keywords: Time-Varying Correlations; diversification strategy; financial markets (search for similar items in EconPapers)
JEL-codes: C22 E44 G15 (search for similar items in EconPapers)
Date: 2013-11-18, Revised 2013-11-18
New Economics Papers: this item is included in nep-ara and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/51561/1/MPRA_paper_51561.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:51561

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().