Extreme Correlation of International Equity Markets

@article{Longin2000ExtremeCO,
  title={Extreme Correlation of International Equity Markets},
  author={F. Longin and Bruno H. Solnik},
  journal={Capital Markets: Asset Pricing & Valuation},
  year={2000}
}
  • F. Longin, Bruno H. Solnik
  • Published 2000
  • Economics
  • Capital Markets: Asset Pricing & Valuation
  • 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… CONTINUE READING
    Asymmetric Correlations of Equity Portfolios
    • 1,329
    • Highly Influenced
    • PDF
    Increased Correlation in Bear Markets
    • 223
    • Highly Influenced
    Asset Market Linkages in Crisis Periods
    • 628
    • PDF
    The Copula-GARCH model of conditional dependencies: An international stock market application
    • 640
    • Highly Influenced
    • PDF
    International Asset Allocation With Regime Shifts
    • 993
    • PDF
    A New Approach to Measuring Financial Contagion
    • 623
    • Highly Influenced
    • PDF

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 60 REFERENCES
    Is the Correlation in International Equity Returns Constant: 1960-90?
    • 1,434
    • PDF
    Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements
    • 862
    On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
    • 523
    • PDF