Visualizing time-varying correlations across stock markets
We propose a graphical method to visualize possible time-varying correlations between stock market returns. The method can be useful for observing stable or emerging clusters of stock markets with similar behavior. The graphs, which originate from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models. We illustrate our method for the returns and absolute returns of 13 important stock markets.
|Keywords||multidimensional scaling, stock market returns, time-varying correlations|
|Persistent URL||dx.doi.org/10.1016/S0927-5398(00)00009-8, hdl.handle.net/1765/2177|
Franses, Ph.H.B.F., & Groenen, P.J.F.. (2000). Visualizing time-varying correlations across stock markets. Journal of Empirical Finance, 155–172. doi:10.1016/S0927-5398(00)00009-8