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Browse Articles by "Finance"
Title: Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainity
Authors: Raj S Dhankar, Rakesh Kumar
Issue/Year: Oct-2009
Section: Research
Abstract: This study examines the cross-correlation in stock returns of South Asian stock markets, their regional integration and interdependence on global stock market. It also examines the important aspects of investment strategy when investment decisions are made under risk and uncertainty. The data set used for the study consists of monthly prices of Global and four emerging South Asian markets. The study carries out a comprehensive analysis from the tracing of autocorrelation in stock returns to interdependency among the South Asian stock markets and with the Global stock market.
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