Matches in SemOpenAlex for { <https://semopenalex.org/work/W3139988891> ?p ?o ?g. }
Showing items 1 to 75 of
75
with 100 items per page.
- W3139988891 abstract "This paper investigates the nature of shocks across international equity markets and evaluates the shifts in their comovements at a business-cycle frequency. Using an “identification through heteroskedasticity” methodology, we compute the impact coefficients on the common and country-specific shocks to stock returns. We then establish three key results regarding the recent comovement amongst returns. First, across all indices, persistent high-volatility spells always coincide with macroeconomic slowdowns. This confirms that market volatility increases as a result of shifts in the perception of macroeconomic risk. Second, there is a rise in the observed responses of international stock returns to common shocks during turbulent periods; such increase is largely attributable to bigger shocks (heteroskedasticity of fundamentals) rather than to breaks in the transmission mechanism or increased structural interdependence between markets. This holds for the Great Financial Crisis too. Third, since the late 1990s returns have been hit more often by high-volatility common shocks, likely because of larger and more persistent macroeconomic disturbances." @default.
- W3139988891 created "2021-04-13" @default.
- W3139988891 creator A5007122747 @default.
- W3139988891 creator A5028091085 @default.
- W3139988891 date "2016-10-27" @default.
- W3139988891 modified "2023-09-27" @default.
- W3139988891 title "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?" @default.
- W3139988891 hasPublicationYear "2016" @default.
- W3139988891 type Work @default.
- W3139988891 sameAs 3139988891 @default.
- W3139988891 citedByCount "0" @default.
- W3139988891 crossrefType "posted-content" @default.
- W3139988891 hasAuthorship W3139988891A5007122747 @default.
- W3139988891 hasAuthorship W3139988891A5028091085 @default.
- W3139988891 hasConcept C101104100 @default.
- W3139988891 hasConcept C10138342 @default.
- W3139988891 hasConcept C106159729 @default.
- W3139988891 hasConcept C127413603 @default.
- W3139988891 hasConcept C139719470 @default.
- W3139988891 hasConcept C149782125 @default.
- W3139988891 hasConcept C162324750 @default.
- W3139988891 hasConcept C17744445 @default.
- W3139988891 hasConcept C19244329 @default.
- W3139988891 hasConcept C199539241 @default.
- W3139988891 hasConcept C199728807 @default.
- W3139988891 hasConcept C204036174 @default.
- W3139988891 hasConcept C2778300220 @default.
- W3139988891 hasConcept C556758197 @default.
- W3139988891 hasConcept C78519656 @default.
- W3139988891 hasConcept C83873408 @default.
- W3139988891 hasConcept C91602232 @default.
- W3139988891 hasConceptScore W3139988891C101104100 @default.
- W3139988891 hasConceptScore W3139988891C10138342 @default.
- W3139988891 hasConceptScore W3139988891C106159729 @default.
- W3139988891 hasConceptScore W3139988891C127413603 @default.
- W3139988891 hasConceptScore W3139988891C139719470 @default.
- W3139988891 hasConceptScore W3139988891C149782125 @default.
- W3139988891 hasConceptScore W3139988891C162324750 @default.
- W3139988891 hasConceptScore W3139988891C17744445 @default.
- W3139988891 hasConceptScore W3139988891C19244329 @default.
- W3139988891 hasConceptScore W3139988891C199539241 @default.
- W3139988891 hasConceptScore W3139988891C199728807 @default.
- W3139988891 hasConceptScore W3139988891C204036174 @default.
- W3139988891 hasConceptScore W3139988891C2778300220 @default.
- W3139988891 hasConceptScore W3139988891C556758197 @default.
- W3139988891 hasConceptScore W3139988891C78519656 @default.
- W3139988891 hasConceptScore W3139988891C83873408 @default.
- W3139988891 hasConceptScore W3139988891C91602232 @default.
- W3139988891 hasLocation W31399888911 @default.
- W3139988891 hasOpenAccess W3139988891 @default.
- W3139988891 hasPrimaryLocation W31399888911 @default.
- W3139988891 hasRelatedWork W1484378385 @default.
- W3139988891 hasRelatedWork W1557228669 @default.
- W3139988891 hasRelatedWork W1564444571 @default.
- W3139988891 hasRelatedWork W1783060295 @default.
- W3139988891 hasRelatedWork W1966694280 @default.
- W3139988891 hasRelatedWork W2099974286 @default.
- W3139988891 hasRelatedWork W2102653623 @default.
- W3139988891 hasRelatedWork W2249452629 @default.
- W3139988891 hasRelatedWork W2477126577 @default.
- W3139988891 hasRelatedWork W2544156783 @default.
- W3139988891 hasRelatedWork W2938420839 @default.
- W3139988891 hasRelatedWork W2962919388 @default.
- W3139988891 hasRelatedWork W3025144230 @default.
- W3139988891 hasRelatedWork W3121449492 @default.
- W3139988891 hasRelatedWork W3122309999 @default.
- W3139988891 hasRelatedWork W3122717697 @default.
- W3139988891 hasRelatedWork W3125658298 @default.
- W3139988891 hasRelatedWork W3189391825 @default.
- W3139988891 hasRelatedWork W3213237772 @default.
- W3139988891 hasRelatedWork W2339267348 @default.
- W3139988891 isParatext "false" @default.
- W3139988891 isRetracted "false" @default.
- W3139988891 magId "3139988891" @default.
- W3139988891 workType "article" @default.