Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX: Evidence using Markov-switching copulas
Emmanuel Abakah,
Aviral Tiwari,
Imhotep Alagidede () and
Luis Gil-Alana
Finance Research Letters, 2022, vol. 47, issue PA
Abstract:
This study re-examines the empirical relationship between risk and return from 1994m12 to 2020m08 in fifteen international equity markets employing the novel time-varying Markov switching copula models. We provide first-time insightful evidence of time-varying Markov tail dependence structure and dynamics between risk and return in international equity markets. Results show that the dependence structure is positive for USA, UK, Germany, Italy, Brazil, Australia, Taiwan, Canada, Mexico, Japan, France and South Africa and negative for Singapore, India, Japan and China. Finally, we document the effects of policy uncertainty, geopolitical risk and VIX conditional on different markets states.
Keywords: Risk-return; Time-varying; Markov-switching copulas; Stock markets; Uncertainty (search for similar items in EconPapers)
JEL-codes: C32 G10 G11 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321004980
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004980
DOI: 10.1016/j.frl.2021.102535
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().