Stock market dynamics and the relative importance of domestic, foreign, and common shocks

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dc.contributor.authorADEMMER, Martin
dc.contributor.authorHORN, Carl-Wolfram Kurt Joachim
dc.contributor.authorQUAST, Josefine
dc.date.accessioned2021-02-22T15:47:51Z
dc.date.available2021-02-22T15:47:51Z
dc.date.issued2022
dc.descriptionFirst published online: 16 November 2020en
dc.description.abstractWe quantify the contemporaneous relationships among stock markets in the euro area, the United States, and a group of emerging economies over the period from 2008 to 2017. Exploiting the heteroskedasticity in the stock market data, we identify shocks that originated in the respective domestic markets and shocks that are common to all markets. Our results underline the leading role of the United States in international equity markets, but also point to the importance of indirect spillovers for all economies. Variance decompositions show that while domestic shocks explain the bigger part of the variation in each stock market, a substantial part of the variation in the euro area and the emerging economies can be attributed to foreign shocks. A comparison with a sample covering the pre-crisis period from 1999 to 2007 suggests a strengthening of the linkages among global stock markets in recent years. In particular, the spillovers from advanced to emerging economies have become more pronounced.en
dc.format.mimetypeapplication/pdfen
dc.identifier.citationInternational journal of finance and economics, 2022, Vol. 27, No. 4, pp. 3911-3923en
dc.identifier.doi10.1002/ijfe.2194
dc.identifier.endpage3923
dc.identifier.issn1076-9307
dc.identifier.issn1099-1158
dc.identifier.issue4
dc.identifier.startpage3911
dc.identifier.urihttps://hdl.handle.net/1814/70018
dc.identifier.volume27
dc.language.isoen
dc.orcid.uploadTRUE
dc.publisherWileyen
dc.relation.ispartofInternational journal of finance & economicsen
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.rights.licenseCC BY 4.0en
dc.titleStock market dynamics and the relative importance of domestic, foreign, and common shocksen
dc.typeArticle
dspace.entity.typePublication
eui.subscribe.skiptrue
person.identifier.other42584
relation.isAuthorOfPublicationf786e4d0-8412-462b-aad8-7e7820417bc4
relation.isAuthorOfPublication.latestForDiscoveryf786e4d0-8412-462b-aad8-7e7820417bc4
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