The effects of uncertainty on the dynamics of stock market interdependence: Evidence from the time-varying cointegration of the G7 stock markets

Babaei, Hamid; Hübner, Georges; Muller, Aline

doi:10.1016/j.jimonfin.2023.102961

Article (Scientific journals)

The effects of uncertainty on the dynamics of stock market interdependence: Evidence from the time-varying cointegration of the G7 stock markets

Babaei, Hamid; Hübner, Georges; Muller, Aline

2023 • In Journal of International Money and Finance, 139, p. 102961

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https://hdl.handle.net/2268/310316

DOI
10.1016/j.jimonfin.2023.102961

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Keywords :

Finance; Economics and Econometrics

Abstract :

[en] This study investigates the dynamic pattern of interdependence among the stock markets of the G7 member countries over the period from 1990 to 2023. The state-space formulation of the time-varying cointegrating coefficient makes it possible to examine the potential drivers of disruption in the long-run co-movement of markets. The results reveal that variations in a number of financial risk factors, economic policy uncertainty (EPU) and world geopolitical risk (GPR), have a significant impact on cointegrating coefficients. Further analysis on the co-movement of the augmented and the unaugmented cointegrating coefficients suggests that globalisation has reduced market segmentation causes to our risk factors.

Disciplines :

Finance

Author, co-author :

Babaei, Hamid ; Université de Liège - ULiège > HEC Liège Research

Hübner, Georges ; Université de Liège - ULiège > Centres généraux > Centre interf. de recherche en gestion des bioindustries

Muller, Aline ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Finance ; Luxembourg Institute of Socio-Economic Research, Luxembourg

Language :

English

Title :

The effects of uncertainty on the dynamics of stock market interdependence: Evidence from the time-varying cointegration of the G7 stock markets

Publication date :

December 2023

Journal title :

Journal of International Money and Finance

ISSN :

0261-5606

eISSN :

1873-0639

Publisher :

Elsevier Ltd

Volume :

139

Pages :

102961

Peer reviewed :

Peer Reviewed verified by ORBi

Additional URL :

https://api.elsevier.com/content/article/PII:S0261560623001626?httpAccept=text/xml

Available on ORBi :

since 25 December 2023

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