Does Correlation between Stock Returns Really Increase during Turbulent Period?

F. Chesnay and Eric Jondeau

Working papers from Banque de France

Abstract: Correlations between international equity markets are often claimed to increase during periods of high volatility, therefore the benefits of international diversification are reduced when they are most needed, i.e. during crises. In this paper, we investigate the relationship between internatioanl correlation and stock-market turbulence.

Keywords: Stock returns; International correlation; Markov-switching model. (search for similar items in EconPapers)
JEL-codes: C53 G15 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... ng-paper_73_2000.pdf (application/pdf)

Related works:
Journal Article: Does Correlation Between Stock Returns Really Increase During Turbulent Periods? (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:73

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().