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Explaining co-movements between stock markets: The case of US and Germany

✍ Scribed by Alessandra Bonfiglioli; Carlo A. Favero

Book ID
116658710
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
262 KB
Volume
24
Category
Article
ISSN
0261-5606

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## Abstract We provide evidence on the nature of co‐movement in monthly US and UK stock returns by investigating time‐varying correlations in returns since 1980. There is a marked increase in correlations between these markets around 2000, which we attribute to globalization and model with a time‐v