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

  • Kizys, Renatas
  • Pierdzioch, Christian

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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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 19 (2009)
Issue (Month): 2 (April)
Pages: 289-305

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Handle: RePEc:eee:intfin:v:19:y:2009:i:2:p:289-305
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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