Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets

Using data from 50 equity markets we examine conditional and unconditional correlations around two major banking events during the financial crisis of 2008–09. To measure the value of covariance information on the augmented DCC model used in the study, a portfolio in-sample estimation is performed....

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Veröffentlicht in:	International review of financial analysis 2013-06, Vol.28, p.70-78
Hauptverfasser:	Kotkatvuori-Örnberg, Juha, Nikkinen, Jussi, Äijö, Janne
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset allocation Correlation analysis Dynamic conditional correlation Economic crisis Economic models Financial crisis Interdependence Portfolio diversification Securities markets Stock exchanges Studies
Online-Zugang:	Volltext
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