The roles of news and volatility in stock market correlations during the global financial crisis

Research output: Contribution to journalArticleResearchpeer-review

Abstract

The global financial crisis has again brought the interdependencies of international financial markets to the fore, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the changes in correlations between national stock markets during the global financial crisis. Our results show that the majority of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis evolves the relative role of news grows in importance.
Original languageEnglish
Pages (from-to)1 - 7
Number of pages7
JournalEmerging Markets Review
Volume13
Issue number1
DOIs
Publication statusPublished - 2012

Cite this

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title = "The roles of news and volatility in stock market correlations during the global financial crisis",
abstract = "The global financial crisis has again brought the interdependencies of international financial markets to the fore, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the changes in correlations between national stock markets during the global financial crisis. Our results show that the majority of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis evolves the relative role of news grows in importance.",
author = "Melissa Mun and Brooks, {Robert Darren}",
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The roles of news and volatility in stock market correlations during the global financial crisis. / Mun, Melissa; Brooks, Robert Darren.

In: Emerging Markets Review, Vol. 13, No. 1, 2012, p. 1 - 7.

Research output: Contribution to journalArticleResearchpeer-review

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