Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns
Abstract The increasing level of financial integration of global markets has created substantial benefits to various firms and investors around the world. However, the increasing level of financial integration raises major concerns when the globe encounters uncertain periods. It is well docum...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/68126/ |
| _version_ | 1848800462561607680 |
|---|---|
| author | Lambrianides, Giorgos |
| author_facet | Lambrianides, Giorgos |
| author_sort | Lambrianides, Giorgos |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Abstract
The increasing level of financial integration of global markets has created substantial benefits to various firms and investors around the world. However, the increasing level of financial integration raises major concerns when the globe encounters uncertain periods. It is well documented in academic literature that over uncertain periods, the volatility of stock markets fluctuate significantly and there is a tendency of increased correlation between stock markets. This specific study, attempts to evaluate the different GARCH models than can estimate volatility, followed by a thorough analysis between the conditional correlations of the SP500 index and the SSE index, WTI oil index and the EPU index during the Global Financial Crises and the COVID-19 pandemic, to examine if the conditional correlations are persistent over different uncertain periods. The eGARCH model seemed to outperform the sGARCH model, which was further used to examine the dynamic conditional correlation between the indexes selected. Specifically, it was observed that the conditional correlation between indexes is time-varying, with relative differences between the conditional correlation of indexes over the Global Financial Crises and the COVID-19 pandemic. |
| first_indexed | 2025-11-14T20:51:57Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-68126 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:51:57Z |
| publishDate | 2022 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-681262023-04-28T09:15:12Z https://eprints.nottingham.ac.uk/68126/ Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns Lambrianides, Giorgos Abstract The increasing level of financial integration of global markets has created substantial benefits to various firms and investors around the world. However, the increasing level of financial integration raises major concerns when the globe encounters uncertain periods. It is well documented in academic literature that over uncertain periods, the volatility of stock markets fluctuate significantly and there is a tendency of increased correlation between stock markets. This specific study, attempts to evaluate the different GARCH models than can estimate volatility, followed by a thorough analysis between the conditional correlations of the SP500 index and the SSE index, WTI oil index and the EPU index during the Global Financial Crises and the COVID-19 pandemic, to examine if the conditional correlations are persistent over different uncertain periods. The eGARCH model seemed to outperform the sGARCH model, which was further used to examine the dynamic conditional correlation between the indexes selected. Specifically, it was observed that the conditional correlation between indexes is time-varying, with relative differences between the conditional correlation of indexes over the Global Financial Crises and the COVID-19 pandemic. 2022-01-24 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/68126/1/Dissertation%20Official.docx Lambrianides, Giorgos (2022) Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns. [Dissertation (University of Nottingham only)] |
| spellingShingle | Lambrianides, Giorgos Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns |
| title | Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns |
| title_full | Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns |
| title_fullStr | Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns |
| title_full_unstemmed | Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns |
| title_short | Dynamic conditional correlations over uncertain periods between the SP500 and stock index returns |
| title_sort | dynamic conditional correlations over uncertain periods between the sp500 and stock index returns |
| url | https://eprints.nottingham.ac.uk/68126/ |