Explaining international stock correlations with CPI fluctuations and market volatility

被引：69

作者：

Cai, Yijie ^{[3
]}

Chou, Ray Yeutien ^{[1
,2
]}

Li, Dan ^{[3
]}

机构：

[1] Acad Sinica, Inst Econ, Taipei, Taiwan

[2] Natl Chiao Tung Univ, Hsinchu, Taiwan

[3] Xi An Jiao Tong Univ, Jinhe Ctr Econ Res, Xian, Peoples R China

来源：

JOURNAL OF BANKING & FINANCE | 2009年 / 33卷 / 11期

关键词：

International stock markets; CPI rates; Global volatility; Smooth transition; CARR; BOND; TIME; INTEGRATION; LINKAGES; MODELS;

D O I：

10.1016/j.jbankfin.2009.05.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the dynamic correlations among six international stock market indices and their relationship to inflation fluctuation and market volatility. The current research uses a newly developed time series model, the Double Smooth Transition Conditional Correlation with Conditional Auto Regressive Range (DSTCC-CARR) model. Findings reveal that international stock correlations are significantly time-varying and the evolution among them is related to cyclical fluctuations of inflation rates and stock volatility. The higher/lower correlations emerge between countries when both countries experience a contractionary/expansionary phase or higher/lower volatilities. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：2026 / 2035

页数：10

共 24 条

[1] Measuring international economic linkages with stock market data [J].