Dynamics of global stock market correlations: the VIX and attention allocation

Dynamics of global stock market correlations: the VIX and attention allocation

This paper investigates the dynamics of international stock return correlations between the U.S., the U.K., Germany and France. Estimated correlations are modeled in an ARDL framework to evaluate how the market-wide uncertainty in the U.S. affects international stock market comovements. Results show...

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Bibliographic Details
Main Author: Özcan Ceylan
Format: Article
Language:English
Published: Taylor & Francis Group 2021-01-01
Series:Journal of Applied Economics
Subjects:
dynamic conditional correlations
return comovements
investor attention
vix index
Online Access:http://dx.doi.org/10.1080/15140326.2021.1949257

Internet

http://dx.doi.org/10.1080/15140326.2021.1949257

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