Stock exchange mergers and return co-movement: A flexible dynamic component correlations model

Jörgen Hellström, Yuna Liu and Tomas Sjögren

Economics Letters, 2013, vol. 121, issue 3, 511-515

Abstract: The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.

Keywords: Time-varying correlation; Long-run trend; Transitory component; C-GARCH (search for similar items in EconPapers)
JEL-codes: C14 C22 G12 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:3:p:511-515

DOI: 10.1016/j.econlet.2013.10.001

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