The roles of news and volatility in stock market correlations during the global financial crisis

Melissa Mun and Robert Brooks

Emerging Markets Review, 2012, vol. 13, issue 1, 1-7

Abstract: The global financial crisis has again brought the interdependencies of international financial markets to the fore, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the changes in correlations between national stock markets during the global financial crisis. Our results show that the majority of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis evolves the relative role of news grows in importance.

Keywords: News; Volatility; Global financial crisis (search for similar items in EconPapers)
JEL-codes: C58 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:13:y:2012:i:1:p:1-7

DOI: 10.1016/j.ememar.2011.09.001

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