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Explaining movements in UK stock prices

✍ Scribed by Keith Cuthbertson; Simon Hayes; Dirk Nitzsche


Book ID
117717742
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
810 KB
Volume
39
Category
Article
ISSN
1062-9769

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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