TY - JOUR
T1 - Intertemporal stability in international stock market relationships
T2 - A revisit
AU - Tang, Gordon Y. N.
N1 - Copyright:
Copyright 2014 Elsevier B.V., All rights reserved.
PY - 1995
Y1 - 1995
N2 - 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$-based returns, the shorter the time period considered, the more stable the patterns of stock market co-movement, especially in the period before the 1987 stock crash when domestic currency returns are used.
AB - Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-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.
UR - http://www.scopus.com/inward/record.url?scp=0010077203&partnerID=8YFLogxK
U2 - 10.1016/1062-9769(95)90055-1
DO - 10.1016/1062-9769(95)90055-1
M3 - Journal article
AN - SCOPUS:0010077203
SN - 1062-9769
VL - 35
SP - 579
EP - 593
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
IS - I1
ER -