RECESSION AND INTERNATIONAL MARKET CORRELATIONS

Elaine Jones ()
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Elaine Jones: University of Central Missouri

Working Papers from University of Central Missouri, Department of Economics & Finance

Abstract: This paper investigates the relationships between various world stock indices from June 2007 to May 2009. The primary concern is whether the recession and the higher variance in daily market returns impact correlations between market indices. The results suggest that the correlations between daily returns on market indices are higher during the recession period of September 2008 to May 2009.

Keywords: Stock Returns; Recession; Volatility (search for similar items in EconPapers)
Pages: 12 pages
Date: 2009-07, Revised 2009-07
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:umn:wpaper:0901

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