Intertemporal stability in international stock market relationships: A revisit

Gordon Y N TANG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)


Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the shorter the time period considered, the more stable the patterns of stock market co-movement, especially in the period before the 1987 stock crash when domestic currency returns are used.

Original languageEnglish
Pages (from-to)579-593
Number of pages15
JournalQuarterly Review of Economics and Finance
Issue numberI1
Publication statusPublished - 1995

Scopus Subject Areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Intertemporal stability in international stock market relationships: A revisit'. Together they form a unique fingerprint.

Cite this