Stability of international stock market relationships across month of the year and different holding intervals

Gordon Y N TANG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

Potential benefits from international diversification depend upon the stability in stock market relationships. Using monthly data of 11 international stock markets, this paper examines the stability in stock market relationships across month of the year and across different holding intervals. Empirical results show that the correlation structure is more stable than the covariance structure. While empirical evidence supports the hypothesis that the correlation structure is very stable across different holding intervals, the empirical support for the stability in correlation structure across month of the year is much weaker.

Original languageEnglish
Pages (from-to)207-218
Number of pages12
JournalEuropean Journal of Finance
Volume1
Issue number3
DOIs
Publication statusPublished - Sep 1995

Scopus Subject Areas

  • Economics, Econometrics and Finance (miscellaneous)

User-Defined Keywords

  • holding intervals
  • International
  • month of the year
  • stability

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