Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314136 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 24 [Issue:] 1 [Year:] 2021 [Pages:] 392-400
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This paper investigates the dynamics of international stock return correlations between the U.S., the U.K., Germany and France. Estimated correlations are modeled in an ARDL framework to evaluate how the market-wide uncertainty in the U.S. affects international stock market comovements. Results show that a shock to the VIX leads to increases in cross-county correlations in the following week and that the correlations tend to decline in the second week that follows the shock. The revealed time pattern of the effect of the VIX may be explained in a behavioral framework through investors' attention reallocation mechanism.
Subjects: 
Dynamic conditional correlations
investor attention
return comovements
VIX index
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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