Stock exchange mergers and return co-movement: A flexible dynamic component correlations model

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 121
Issue: 3
Pages: 511-515

Authors (3)

Hellström, Jörgen (not in RePEc) Liu, Yuna (not in RePEc) Sjögren, Tomas

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.

Technical Details

RePEc Handle
repec:eee:ecolet:v:121:y:2013:i:3:p:511-515
Journal Field
General
Author Count
3
Added to Database
2026-01-29