'Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)'
| Autor: | Marco Tronzano |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Risk premium
lcsh:Risk in industry. Risk management safe-haven assets lcsh:Finance lcsh:HG1-9999 0502 economics and business stock prices Economics ddc:330 Asset (economics) 050207 economics Empirical evidence Stock (geology) Finance 050208 finance business.industry DCC model Financial risk 05 social sciences G15 Stock Prices Safe-Haven Assets financial risk management Financial risk management Econometric analysis Stock market index lcsh:HD61 International Financial Markets Co-Movements DCC Model Financial Risk Management international financial markets co-movements business C22 |
| Zdroj: | Journal of Risk and Financial Management Volume 14 Issue 3 Journal of Risk and Financial Management, Vol 14, Iss 127, p 127 (2021) |
| Popis: | This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are documented during almost all financial crises moreover, in line with the recent literature, the defensive role of gold and the Swiss Franc in asset portfolios is highlighted. Focusing on a new set of macroeconomic and financial series, a significant impact of these variables on stock returns correlations is found, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including the Chinese stock market index. Overall, this empirical evidence is of interest for researchers, financial risk managers and policy makers. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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