Determinants of equity return correlations: a case study of the Amman Stock Exchange

Alomari, M., Power, D.M. and Tantisantiwong, N. ORCID: 0000-0001-5243-2970, 2018. Determinants of equity return correlations: a case study of the Amman Stock Exchange. Review of Quantitative Finance and Accounting, 50 (1), pp. 33-66. ISSN 0924-865X

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Abstract

This paper seeks to explain time-varying correlations among equity returns. The literature has shown that fundamental and economic factors can explain stock returns or the volatility of markets. Here, panel data analysis is employed to examine whether these factors can also explain the comovement of stock returns. Time-varying correlations among sectoral indexes are estimated using a restricted multivariate threshold GARCH model with dynamic conditional correlation controlling for the asymmetric effects of news and the influence of financial crises. The empirical results from this panel data analysis show that equity return correlations can be explained not only by macroeconomic variables but also by fundamentals within an industry.

Item Type: Journal article
Publication Title: Review of Quantitative Finance and Accounting
Creators: Alomari, M., Power, D.M. and Tantisantiwong, N.
Publisher: Springer New York
Date: January 2018
Volume: 50
Number: 1
ISSN: 0924-865X
Identifiers:
NumberType
10.1007/s11156-017-0622-4DOI
622Publisher Item Identifier
Divisions: Schools > Nottingham Business School
Depositing User: Jonathan Gallacher
Date Added: 13 Jun 2019 08:23
Last Modified: 13 Jun 2019 08:23
URI: http://irep.ntu.ac.uk/id/eprint/36748

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