Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers Ltd
Journal of business finance & accounting
26 (1999), S. 0
ISSN:
1468-5957
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Several studies have focused on the pre- post-October 1987 crash. Results indicate that major market equity correlations rose during the crash period. Cross spectral analysis is applied to six of the G-7 markets to determine whether frequency domain correlations have increased post-crash relative to the pre-crash period. The results indicate that correlations have increased for most of the markets studied. Most striking are the increased post-crash correlations among the three European markets, in light of the European Union. Additional evidence shows mixed results regarding frequency domain phase leads among the markets.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1468-5957.00260
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