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Changes in the international comovement of stock returns and asymmetric macroeconomic shocks

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.
1042-4431
289-305
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
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), 289-305. (doi:10.1016/j.intfin.2008.01.002).

Record type: Article

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.

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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
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

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Date deposited: 24 Sep 2019 16:30
Last modified: 09 Jan 2022 04:07

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Contributors

Author: Renatas Kizys ORCID iD
Author: Christian Pierdzioch

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