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Is europe decoupling from uncle sam? An analysis of the correlation between us and european stock market returns

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This study is develops and provides a current international correlation structure between five major European stock market indices (DAX, CAC40, FTSE 100, IBEX 35 and AEX) and the major US stock market index (Dow Jones Industrial Average). It further compares the correlation coefficients of these market indices between two different time periods (1994 - 1998 and 2004 - 2008) in order to examine a change in the correlation structure and to look for evidence of decoupling tendencies between European and US stock market returns. Correlation coefficients were calculated for pairs of indices in the two periods based on daily return data. The findings, however do not support the assumption that the European equity markets were able to decouple from the United States. In fact, correlations between all markets in the study have increased from the earlier period supporting the view that market linkages have deepened over the past decade. This implies that risk-reducing benefits of international diversification among the makets in the study are lower today than a decade ago.

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Availability

B00394

(wh)

Available

Detail Information

Series Title

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Call Number

394

Publisher

: Swiss German University., 2008

Collation

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Language

English

ISBN/ISSN

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Classification

NONE

Content Type

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Media Type

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Carrier Type

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Edition

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Subject(s)

IBA

Specific Detail Info

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Statement of Responsibility

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