Changes in the international comovement of stock returns and asymmetric macroeconomic shocks
Changes in the international comovement of stock returns and asymmetric macroeconomic shocks
We study whether asymmetric macroeconomic shocks help to explain changes in the international comovement of monthly stock returns in major industrialized countries over the period 1975–2004. Based on a time-varying parameter model, we trace out how the pattern of international comovement of stock returns changed over time. In order to identify asymmetric macroeconomic shocks, we estimate vector-autoregressive models. The results of estimating time-series regression models and panel-data models indicate that changes in the international comovement of stock returns are not systematically linked to macroeconomic shocks.
289-305
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
April 2009
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas and Pierdzioch, Christian
(2009)
Changes in the international comovement of stock returns and asymmetric macroeconomic shocks.
Journal of International Financial Markets, Institutions and Money, 19 (2), .
(doi:10.1016/j.intfin.2008.01.002).
Abstract
We study whether asymmetric macroeconomic shocks help to explain changes in the international comovement of monthly stock returns in major industrialized countries over the period 1975–2004. Based on a time-varying parameter model, we trace out how the pattern of international comovement of stock returns changed over time. In order to identify asymmetric macroeconomic shocks, we estimate vector-autoregressive models. The results of estimating time-series regression models and panel-data models indicate that changes in the international comovement of stock returns are not systematically linked to macroeconomic shocks.
This record has no associated files available for download.
More information
Accepted/In Press date: 5 January 2008
e-pub ahead of print date: 16 January 2008
Published date: April 2009
Identifiers
Local EPrints ID: 434452
URI: http://eprints.soton.ac.uk/id/eprint/434452
ISSN: 1042-4431
PURE UUID: 709b9370-745f-4328-84aa-743ebf4a7233
Catalogue record
Date deposited: 24 Sep 2019 16:30
Last modified: 16 Mar 2024 04:41
Export record
Altmetrics
Contributors
Author:
Christian Pierdzioch
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
