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

Renatas Kizys () and Christian Pierdzioch

Journal of International Financial Markets, Institutions and Money, 2009, vol. 19, issue 2, 289-305

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.

Keywords: International; comovement; of; stock; returns; Asymmetric; macroeconomic; shocks; Time-varying; parameter; model; Time-series; regression; model; Panel-data; model (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:19:y:2009:i:2:p:289-305

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