G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2525
DP2525 Moving Skills from Hands to Heads: Import of Technology and Export Performance
Marzio Galeotti; Giorgio Barba Navaretti
发表日期2000-08-29
出版年2000
语种英语
摘要Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ?extreme value theory? to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.
主题Financial Economics
关键词International equity markets Volatility Correlation Extreme value theory
URLhttps://cepr.org/publications/dp2525
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/531600
推荐引用方式
GB/T 7714
Marzio Galeotti,Giorgio Barba Navaretti. DP2525 Moving Skills from Hands to Heads: Import of Technology and Export Performance. 2000.
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