Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations

Jun Nagayasu

Journal of Economic Integration, 2013, vol. 28, 412-440

Abstract: This paper attempts to identify economic and financial factors contributing to the changing correlations of recent stock returns. Time-varying correlations have been documented in previous studies, but few attempts have been made to investigate their evolution. Focusing on the Asia-Pacific region, this paper shows that daily return correlations tend to be higher in advanced countries, are negatively correlated with the distance between markets, and increase at times of active trading and financial turmoil. Furthermore, while some explanatory variables tend to lose their statistical significance during financial crises, volume data have strengthened their relationship with return correlations, particularly around the Lehman Shock.

Keywords: Dynamic Conditional Correlations; Stock Returns; Lehman Shock; Greek Crisis; Distance (search for similar items in EconPapers)
JEL-codes: F36 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0607

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