Are Correlations in International Stock Returns Justified by Subsequent Changes in National Outputs?

Détails

ID Serval
serval:BIB_CAC0238B77E6
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Are Correlations in International Stock Returns Justified by Subsequent Changes in National Outputs?
Périodique
The Journal of International Money and Finance
Auteur(s)
Dumas B., Harvey C. R., Ruiz P.
Statut éditorial
Publié
Date de publication
2003
Volume
22
Numéro
6
Pages
777-811
Résumé
In an integrated world capital market, the same pricing kernel is applicable to all securities. We apply this idea to the stock returns of different countries. We investigate the underlying determinants of cross-country stock return correlations. First, we determine, for a given, measured degree of commonality of country outputs, what should be the degree of correlation of national stock returns. We propose a framework that contains a statistical model for output and an intertemporal financial market model for stock returns. We then attempt to match the correlations generated by the model with measured correlations. Our results show that under the hypothesis of market segmentation, the model correlations are much smaller than observed correlations. However, assuming world markets are integrated, our model correlations can be matched with observed correlations.
Mots-clé
Z3, Business cycles, Stock markets, Correlation, Integration, Segmentation
Création de la notice
19/11/2007 10:48
Dernière modification de la notice
20/08/2019 15:45
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