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The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries
Author(s) -
Goldstein Michael A.,
McCarthy Joseph,
Orlov Alexei G.
Publication year - 2019
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/fire.12186
Subject(s) - economics , financial crisis , equity (law) , monetary economics , stock (firearms) , quantile , emerging markets , european union , international economics , econometrics , macroeconomics , geography , archaeology , political science , law
Abstract Using linear and nonlinear correlations, copulas, quantile dependence and lower tail dependence, we find that (1) equity markets of the advanced European Union (EU) countries comove more closely with each other than with the peripheral economies, (2) comovements with non‐EU countries are lower, (3) relative comovement structure before, during, and after the global financial crisis has been very stable, and (4) the level of comovements remained virtually the same between the crisis and post‐crisis periods. Our results are robust to controlling for Fama‐French, U.S. and global risk factors, as well as monetary policy, market interest rates, exchange rates, and uncertainty.