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Abstract: The use of close-to-close daily returns result in downwardly biased correlation measures because international stock markets have different trading hours. With the availability of 16:00 (London time) stock market series, we find correlations and covariances dynamics, estimated using non-synchroneity adjustment procedures proposed in the literature, to be substantially different from the synchronous counterparts. Using daily synchronous returns, we find evidence of volatility spillovers from US... (Update)
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BibTeX entry: (Update)
@misc{ martens-correlation,
author = "Martin Martens and Ser-Huang Poon",
title = "Correlation Dynamics Between International Stock Markets Using Synchronous
Data",
url = "citeseer.ist.psu.edu/martens99correlation.html" }
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