Determinants of equity return correlations: a case study of the Amman Stock Exchange

摘要: This paper seeks to explain time-varying correlations among equity returns. The literature has shown that fundamental and economic factors can stock returns or the volatility of markets. Here, panel data analysis is employed examine whether these also comovement Time-varying sectoral indexes are estimated using a restricted multivariate threshold GARCH model with dynamic conditional correlation controlling for asymmetric effects news influence financial crises. empirical results from this show return be explained not only by macroeconomic variables but fundamentals within an industry.