Correlations, integration and Hansen-Jagannathan bounds

Vanitha Ragunathan*, Robert W. Faff, Robert D. Brooks

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)


Recent studies have documented the growing economic and financial integration between countries. Among other things, this has led to the argument that greater integration results in higher bilateral correlations between returns on national stock markets. This study endeavours to link the two issues by utilizing the assumption that if countries are integrated, they would have to display a minimum level of correlation. This is achieved by constructing a bound on the level of the bilateral correlation, as originally developed by Kasa (1995). In contrast to Kasa, the present studies demonstrate that the correlation bound may not be downward sloping in all cases and careful interpretation of the results is required.

Original languageEnglish
Pages (from-to)1167-1180
Number of pages14
JournalApplied Financial Economics
Issue number16
Publication statusPublished - 1 Nov 2004
Externally publishedYes


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