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

Title	Dynamics of global stock market correlations: the VIX and attention allocation
Author	Ceylan, Özcan
Publication Date:	2021-01-01
Publication Place	- Taylor & Francis
Subject	Dynamic conditional correlations, Investor attention, Return comovements, VIX index
Type	Periodical
Language	English
Digital	Yes
Manuscript	No
Library:	Özyeğin University
Library Asset ID	1514-0326
Record ID	680b601e-ea77-4316-b745-96c03c35c0fd
Library Location	Hotel Management
Date	2021-01-01
Sample Text	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 that a shock to the VIX leads to increases in cross-county correlations in the following week and that the correlations tend to decline in the second week that follows the shock. The revealed time pattern of the effect of the VIX may be explained in a behavioral framework through investors’ attention reallocation mechanism.
DOI	10.1080/15140326.2021.1949257
Cilt	24

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Özyeğin University

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

Author Ceylan, Özcan

Publication Date 2021-01-01

Publication Place - Taylor & Francis

Subject Dynamic conditional correlations, Investor attention, Return comovements, VIX index

Type Periodical

Language English

Digital Yes

Manuscript No

Library Özyeğin University

Library Asset ID 1514-0326

Record ID 680b601e-ea77-4316-b745-96c03c35c0fd

Library Location Hotel Management

Date 2021-01-01

Sample Text 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 that a shock to the VIX leads to increases in cross-county correlations in the following week and that the correlations tend to decline in the second week that follows the shock. The revealed time pattern of the effect of the VIX may be explained in a behavioral framework through investors’ attention reallocation mechanism.

DOI 10.1080/15140326.2021.1949257

Cilt 24