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Spillovers and correlations between US and major European stock markets: the role of the euro

✍ Scribed by Savva, Christos S.; Osborn, Denise R.; Gill, Len


Book ID
120217627
Publisher
Taylor and Francis Group
Year
2009
Tongue
English
Weight
304 KB
Volume
19
Category
Article
ISSN
0960-3107

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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