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 journalJournal articlepeer-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 - Sept 1995

    Scopus Subject Areas

    • Economics, Econometrics and Finance (miscellaneous)

    User-Defined Keywords

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

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