Returns synchronization and daily correlation dynamics between international stock markets

The use of close-to-close returns underestimates returns correlation because international stock markets have different trading hours. With the availability of 16:00 (London time) stock market series, we find dynamics of daily correlation and covariance, estimated using two non-synchroneity adjustme...

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Veröffentlicht in:	Journal of banking & finance 2001-10, Vol.25 (10), p.1805-1827
Hauptverfasser:	Martens, Martin, Poon, Ser-Huang
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymmetry effect Banking Correlation Correlation analysis Dynamic correlation Finance GARCH International Rates of return Securities markets Stock exchange Stock exchanges Stock returns Studies Synchronic analysis Synchronous data Value-at-risk Volatility
Online-Zugang:	Volltext
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