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dc.contributor.authorLi, Fuchunen_US
dc.date.accessioned2010-08-25en_US
dc.date.accessioned2011-12-15T12:56:45Z-
dc.date.available2011-12-15T12:56:45Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/53847-
dc.description.abstractBased on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. The test is used to detect whether asymmetric comovements exist in international stock markets. We find the following empirical facts. First, asymmetric comovements exist between the United States (U.S.) stock market and the stock markets for Canada, France, Germany, and the United Kingdom (U.K.), but the data are unable to reject the null hypothesis of the symmetric comovements between the U.S. and Japanese stock markets. Second, either a larger negative drop or a positive increase in stock prices leads to stronger comovements of stock market returns, indicating that comovements in the data are different from comovements implied by a bivariate symmetric distribution, which implies that comovements tend to zero as the market returns become more positive or more negative.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2010,21en_US
dc.subject.jelG150en_US
dc.subject.jelG19en_US
dc.subject.jelF210en_US
dc.subject.jelC490en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial stabilityen_US
dc.subject.keywordfinancial system regulation and policiesen_US
dc.subject.keywordinternational topicsen_US
dc.subject.keywordeconometric and statistical methodsen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwAktienmarkten_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwKonjunkturzusammenhangen_US
dc.subject.stwIndustriestaatenen_US
dc.titleIdentifying asymmetric comovements of international stock market returnsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn633772097en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Bank of Canada Working Papers

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