Macro disagreement and international stock markets

Wenli Huang, Shi Li, Zhen Qi and Qi Zhang

Journal of International Financial Markets, Institutions and Money, 2022, vol. 81, issue C

Abstract: We examine the effect of macro disagreement on stock returns in an international context. Except for Italy, all G7 countries present a significant local disagreement beta effect, which is robust to size and value effects. In addition, the macro disagreement on the U.S. economy shows a strong spillover effect on all non-U.S. G7 countries. The degree of this spillover effect is largely and positively in line with the sequence of a country’s economic dependence on the U.S. For most non-U.S. G7 countries (except for Japan), the spillover effect is more pronounced or only significant when the U.S. is in periods of high economic uncertainty. Our paper demonstrates the pervasiveness of the disagreement beta effect and supports the leading role of the U.S. economy in the world.

Keywords: Disagreement; Speculation; International stock returns (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001317

DOI: 10.1016/j.intfin.2022.101659

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