TY - JOUR
T1 - Determinants of equity return correlations
T2 - A case study of the Amman Stock Exchange
AU - Alomari, Mohammad
AU - Power, David
AU - Tantisantiwong, Nongnuch
N1 - We would like to express our sincere thanks for helpful comments from those who attended the British Accounting and Finance Association Scottish area group conference held at the University of St Andrews, United Kingdom and the Southampton Business School Seminar series. The first author would also like to thank the German Jordanian University for funding which allowed him to undertake this research.
PY - 2018/1
Y1 - 2018/1
N2 - 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 (DCC-MTGARCH) 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.
AB - 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 (DCC-MTGARCH) 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.
KW - Dynamic conditional correlation
KW - Equity returns correlations
KW - Multivariate threshold GARCH
KW - Panel data analysis
KW - Risk factors
UR - http://www.scopus.com/inward/record.url?scp=85013119773&partnerID=8YFLogxK
U2 - 10.1007/s11156-017-0622-4
DO - 10.1007/s11156-017-0622-4
M3 - Article
SN - 0924-865X
VL - 50
SP - 33
EP - 66
JO - Review of Quantitative Finance and Accounting
JF - Review of Quantitative Finance and Accounting
IS - 1
ER -
