Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/53847 
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dc.contributor.authorLi, Fuchunen
dc.date.accessioned2010-08-25-
dc.date.accessioned2011-12-15T12:56:45Z-
dc.date.available2011-12-15T12:56:45Z-
dc.date.issued2010-
dc.identifier.pidoi:10.34989/swp-2010-21en
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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2010-21en
dc.subject.jelG150en
dc.subject.jelG19en
dc.subject.jelF210en
dc.subject.jelC490en
dc.subject.ddc330en
dc.subject.keywordFinancial stabilityen
dc.subject.keywordfinancial system regulation and policiesen
dc.subject.keywordinternational topicsen
dc.subject.keywordeconometric and statistical methodsen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwAktienmarkten
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwKonjunkturzusammenhangen
dc.subject.stwIndustriestaatenen
dc.titleIdentifying asymmetric comovements of international stock market returns-
dc.typeWorking Paperen
dc.identifier.ppn633772097en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:10-21en

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