Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
2013 (English)In: Economics Letters, ISSN 0165-1765, Vol. 121, no 3, 511-515 p.Article in journal (Refereed) Published
The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.
Place, publisher, year, edition, pages
Elsevier, 2013. Vol. 121, no 3, 511-515 p.
Time-varying correlation, Long-run trend, Transitory component, C-GARCH
Business Administration Economics
Research subject Business Studies; Economics
IdentifiersURN: urn:nbn:se:umu:diva-81736DOI: 10.1016/j.econlet.2013.10.001OAI: oai:DiVA.org:umu-81736DiVA: diva2:658224