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

Renatas Kizys, C. Pierdzioch

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)289-305
Number of pages17
JournalJournal of International Financial Markets, Institutions and Money
Volume19
Issue number2
DOIs
Publication statusPublished - Apr 2009

Fingerprint

Dive into the research topics of 'Changes in the international comovement of stock returns and asymmetric macroeconomic shocks'. Together they form a unique fingerprint.

Cite this