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- W986041982 abstract "We examine the determinants of return comovements of three different asset classes and provide critical insights on the key macroeconomic and non-macroeconomic factors which drive the asset return comovements during economic contraction and expansion regimes. We show that amongst the macroeconomic factors, interest rate and inflation have significant effect on the return comovements during the economic contraction regime whilst risk aversion significantly affects the return comovements during the economic expansion regime. The non-macroeconomic factors, output uncertainty, bond illiquidity and depth of recession contribute significantly in explaining the variations of return comovements for all asset pairs during both economic contraction and expansion periods except for real estate-based portfolios. Our results are robust to alternative model specification that uses regime switching MGARCH model." @default.
- W986041982 created "2016-06-24" @default.
- W986041982 creator A5064318963 @default.
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- W986041982 date "2016-12-01" @default.
- W986041982 modified "2023-09-26" @default.
- W986041982 title "What drives asymmetric dependence structure of asset return comovements?" @default.
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- W986041982 doi "https://doi.org/10.1016/j.irfa.2015.07.001" @default.
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