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...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-01-01
|
| Series: | Journal of Applied Economics |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/15140326.2021.1949257 |