What is Co-movement?
The co-movement of financial markets is a primary topic of empirical investigation. However, the precise meaning and an associated measure of co-movement is not existing in the economic literature. This paper introduces a definition for co-movement and a measure that fits precisely to the notion of co-movement. The measure provides estimates for bi-variant and multivariate time series for every time t. A simulation study describes the properties of this measure and an empirical analysis of monthly stock market index returns shows that the co-movement has increased in recent years and that there is a varying asymmetry of negative and positive co-movements.
Bibliographic Reference: EUR 20759 EN (2003), 31pp. Free of charge
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Record Number: 200316535 / Last updated on: 2003-08-18
Original language: en
Available languages: en