[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
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