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Book cover: Research in Finance

Research in Finance

ISSN: 0196-3821
Series editor(s): Professor John Kensinger

Subject Area: Accounting and Finance

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Correlation Behavior of Emerging Markets


Document Information:
Title:Correlation Behavior of Emerging Markets
Author(s):C. Sherman Cheung, Peter C. Miu
Volume:27 Editor(s): John W. Kensinger ISBN: 978-0-85724-541-0 eISBN: 978-0-85724-542-7
Citation:C. Sherman Cheung, Peter C. Miu (2011), Correlation Behavior of Emerging Markets, in John W. Kensinger (ed.) Research in Finance (Research in Finance, Volume 27), Emerald Group Publishing Limited, pp.283-310
DOI:10.1108/S0196-3821(2011)0000027012 (Permanent URL)
Publisher:Emerald Group Publishing Limited
Article type:Chapter Item
Abstract:Using a market model of international equity returns, which fully incorporates the regime switching and heteroskedasticity effects, we conduct an empirical study on the asymmetric behavior of 31 emerging equity markets across the different regimes of both the global and the local markets. Asymmetric correlation is found to be much weaker than that among developed markets as documented in the recent studies. There is little evidence of performance enhancement by possessing information on asymmetric correlation in international asset allocation strategies involving emerging markets.

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