Stability of international stock market relationships across month of the year and different holding intervals

G. Y. N. Tang

The European Journal of Finance, 1995, vol. 1, issue 3, 207-218

Abstract: Potential benefits from international diversification depend upon the stability in stock market relationships. Using monthly data of 11 international stock markets, this paper examines the stability in stock market relationships across month of the year and across different holding intervals. Empirical results show that the correlation structure is more stable than the covariance structure. While empirical evidence supports the hypothesis that the correlation structure is very stable across different holding intervals, the empirical support for the stability in correlation structure across month of the year is much weaker.

Keywords: stability; month of the year; holding intervals; International (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/13518479500000017

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