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

Name: Dynamics of global stock market correlations: the VIX and attention allocation
Author: Ceylan, Özcan

İsim	Dynamics of global stock market correlations: the VIX and attention allocation
Yazar	Ceylan, Özcan
Basım Tarihi:	2021-01-01
Basım Yeri	- Taylor & Francis
Konu	Dynamic conditional correlations, Investor attention, Return comovements, VIX index
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1514-0326
Kayıt Numarası	680b601e-ea77-4316-b745-96c03c35c0fd
Lokasyon	Hotel Management
Tarih	2021-01-01
Örnek Metin	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

Kaynağa git Özyeğin Üniversitesi

Aramaya Dön

Özyeğin Üniversitesi

Kaynağa git

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

Yazar Ceylan, Özcan

Basım Tarihi 2021-01-01

Basım Yeri - Taylor & Francis

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

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1514-0326

Kayıt Numarası 680b601e-ea77-4316-b745-96c03c35c0fd

Lokasyon Hotel Management

Tarih 2021-01-01

Örnek Metin 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