Asymmetric correlations in equity returns: a fundamental-based explanation

References

• Ang , A and Bekaert , G . 2002 . International asset allocation with regime shifts . Review of Financial Studies , 15 : 1137 – 87 .
   Web of Science ®Google Scholar
• Ang , A and Chen , J . 2002 . Asymmetric correlations of equity portfolios . Journal of Financial Economics , 63 : 443 – 94 .
   Web of Science ®Google Scholar
• Barber , B and Odean , T . 2009 . All that glitters: the effect of attention and news on the buying behaviour of individual and institutional investors . Review of Financial Studies , 21 : 785 – 818 .
   Web of Science ®Google Scholar
• Barberis , N , Shleifer , A and Vishny , R . 1998 . A model of investor sentiment . Journal of Financial Economics , 49 : 307 – 43 .
   Web of Science ®Google Scholar
• Bollerslev , T , Engle , R and Wooldrige , J . 1988 . A capital asset pricing model with time-varying covariances . Journal of Political Economy , 96 : 116 – 31 .
   Web of Science ®Google Scholar
• Braun , PA , Nelson , DB and Sunier , AM . 1995 . Good news, bad news, volatility and betas . Journal of Finance , 50 : 1575 – 1603 .
   Web of Science ®Google Scholar
• Campbell , S and Diebold , F . 2009 . Stock returns and expected business conditions: half a century of direct evidence . Journal of Business and Economic Statistics , 27 : 266 – 78 .
   Web of Science ®Google Scholar
• Campbell , J and Hentschel , L . 1992 . No news is good news: an asymmetric model of changing volatility in stock returns . Journal of Financial Economics , 31 : 281 – 331 .
   Web of Science ®Google Scholar
• Chaudhuri , K and Smiles , S . 2004 . Stock market and aggregate economic activity: evidence from Australia . Applied Financial Economics , 14 : 121 – 9 .
   Google Scholar
• Cho , YH and Engle , RF . 1999 . Time-varying betas and asymmetric effect of news: empirical analysis of blue chip stocks , NBER Working Papers No. 7330
   Google Scholar
• Conrad , J , Cornell , B and Landsman , WR . 2002 . When is bad news really bad news? . Journal of Finance , 57 : 2507 – 32 .
   Web of Science ®Google Scholar
• Demirer , R and Lien , D . 2004 . Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification . Applied Financial Economics , 14 : 447 – 56 .
   Google Scholar
• Engle , RF . 2002 . Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models . Journal of Business and Economic Statistics , 20 : 339 – 50 .
   Web of Science ®Google Scholar
• Engle , RF and Sheppard , K . 2001 . Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH , Economics Working Paper Series No. 15 University of California at San Diego .
   Google Scholar
• Hong , Y , Tu , J and Zhou , G . 2007 . Asymmetries in stock returns: statistical tests and economic evaluation . Review of Financial Studies , 20 : 1547 – 81 .
   Web of Science ®Google Scholar
• Karolyi , GA and Stulz , RM . 1996 . Why do markets move together? An investigation of US–Japan stock return comovements . Journal of Finance , 51 : 951 – 86 .
   Web of Science ®Google Scholar
• Kim, C. J., Kim, Y. and Nelson, C. (2008) Pricing stock market volatility: does it matter whether the volatility is related to the business cycle?, Unpublished manuscript.
   Google Scholar
• Kroner , KF and Ng , VK . 1998 . Modeling asymmetric comovements of asset returns . Review of Financial Studies , 11 : 817 – 44 .
   Web of Science ®Google Scholar
• Liau , YS and Yang , JW . 2007 . The mean/volatility asymmetry in Asian stock markets . Applied Financial Economics , 18 : 411 – 19 .
   Google Scholar
• Longin , F and Solnik , B . 1995 . Is the correlation in international equity returns constant: 1960–1990? . Journal of International Money and Finance , 14 : 3 – 26 .
   Web of Science ®Google Scholar
• Longin , F and Solnik , B . 2001 . Extreme correlation of international equity markets . Journal of Finance , 56 : 649 – 76 .
   Web of Science ®Google Scholar
• Patra , T and Poshakwale , S . 2006 . Economic variables and stock market returns: evidence from the Athens stock exchange . Applied Financial Economics , 16 : 993 – 1005 .
   Google Scholar
• Shin , HS . 2009 . Reflections on northern rock: the rank run that heralded the global financial crisis . Journal of Economic Perspectives , 23 : 101 – 19 .
   Web of Science ®Google Scholar
• Silvennoinen , A and Terasvirta , T . 2008 . Multivariate GARCH models , CREATES Research Paper No. 2008-6
   Google Scholar
• Taamouti, A. and Tsafack, G. (2009) Asymmetric effects of return and volatility on correlation between international equity markets. Available at SSRN: http://ssrn.com/abstract=1344416 (accessed 18 March 2009).
   Google Scholar
• Tse , YK . 2000 . A test for constant correlations in a multivariate GARCH model . Journal of Econometrics , 98 : 107 – 27 .
   Web of Science ®Google Scholar
• Veronesi , P . 1999 . Stock market overreaction to bad news in good times: a rational expectations equilibrium model . Review of Financial Studies , 12 : 975 – 1007 .
   Web of Science ®Google Scholar
• Wong , ASK and Vlaar , PJG . 2003 . Modelling time-varying correlations of financial markets De Nederlandsche Bank Econometric Research and Special Studies Department Research Memorandum, WO&E 739.0319
   Google Scholar