TY - JOUR
T1 - The roles of news and volatility in stock market correlations during the global financial crisis
AU - Mun, Melissa
AU - Brooks, Robert Darren
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
U2 - 10.1016/j.ememar.2011.09.001
DO - 10.1016/j.ememar.2011.09.001
M3 - Article
SN - 1566-0141
VL - 13
SP - 1
EP - 7
JO - Emerging Markets Review
JF - Emerging Markets Review
IS - 1
ER -