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

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  • Kizys, Renatas
  • Pierdzioch, Christian

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.

Suggested Citation

  • Kizys, Renatas & Pierdzioch, Christian, 2009. "Changes in the international comovement of stock returns and asymmetric macroeconomic shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 289-305, April.
    • Handle: RePEc:eee:intfin:v:19:y:2009:i:2:p:289-305
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