The Core, Periphery, and Beyond: Stock Market Comovements Among EU and Non‐EU Countries
52 Pages Posted: 8 Jan 2019
Date Written: February 2019
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.
Keywords: financial interdependence, comovements, European stock markets, PIIGS, Brexit, copulas, global financial crisis
JEL Classification: C14, F30, F37, G10, G15
Suggested Citation: Suggested Citation
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The Core, Periphery, and Beyond: Stock Market Comovements Among EU and Non‐EU Countries
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