Structural breaks in the correlations between Asian and US stock markets

Chia-Hao Lee () and Pei-I Chou

The North American Journal of Economics and Finance, 2020, vol. 51, issue C

Abstract: The study explores the structural breaks in the correlations between nine Asian stock markets and the US stock market. This study employs the EGARCH-DCC model to obtain the daily correlations between Asian and the US stock markets, and use the method of Carrion-i-Silvestre (2005) to detect the structural breaks. The empirical results indicate there are multiple breaks in the correlations and imply that both 2001 Dot-com bubble and 2008 financial crisis have impacts on the correlations between Asian and the US markets. These results bring the crucial insights for the portfolio strategy of international investors.

Keywords: Correlations; Stock market; Financial crisis; Structural breaks (search for similar items in EconPapers)
JEL-codes: C32 G1 G15 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830250x

DOI: 10.1016/j.najef.2019.101087

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