The Changing Nature of World Return Correlations

摘要

One of the many impacts of globalisation has been the way international financial markets interact with and respond to new information about the securities traded in financial markets. This paper investigates the changing nature of correlations between the stock and money markets across Australia, the United States, Canada and Japan. The correlations are found to vary over time in relation to phases of Australian monetary policy while only the changes in correlations amongst interest rates are shown to be statistically significant.