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Journal of Economic Integration 2013 September;28(3) :412-440.
DOI: https://doi.org/10.11130/jei.2013.28.3.412
Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations
Jun Nagayasu 
University of Tsukuba, Tsukuba, Japan
Corresponding Author: Jun Nagayasu ,Tel: +81 298535067, Fax: +81 298535067, Email: nagayasu@sk.tsukuba.ac.jp
Copyright ©2013 Journal of Economic Integration
ABSTRACT
This paper attempts to identify economic and financial factors contributing to the changing correlations of recent stock returns. Time-varying correlations have been documented in previous studies, but few attempts have been made to investigate their evolution. Focusing on the Asia-Pacific region, this paper shows that daily return correlations tend to be higher in advanced countries, are negatively correlated with the distance between markets, and increase at times of active trading and financial turmoil. Furthermore, while some explanatory variables tend to lose their statistical significance during financial crises, volume data have strengthened their relationship with return correlations, particularly around the Lehman Shock.

JEL Classification
F36: Financial Aspects of Economic Integration
G15: International Financial Markets
Keywords: Dynamic Conditional Correlations | Stock Returns | Lehman Shock | Greek Crisis | Distance
 
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