Browsing by Author "Li, Dan"

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Explaining international stock correlations with CPI fluctuations and market volatility
(2009-11-01)
Cai, Yijie
;
Chou, Ray Yeutien
;
Li, Dan
;
交大名義發表
;
National Chiao Tung University
This paper investigates the dynamic correlations among six international stock market indices and their relationship to inflation fluctuation and market volatility. The current research uses a newly developed time series model, the Double Smooth Transition Conditional Correlation with Conditional Auto Regressive Range (DSTCC-CARR) model. Findings reveal that international stock correlations are significantly time-varying and the evolution among them is related to cyclical fluctuations of inflation rates and stock volatility. The higher/lower correlations emerge between countries when both countries experience a contractionary/expansionary phase or higher/lower volatilities. (C) 2009 Elsevier B.V. All rights reserved.