Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)
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...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-03-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | https://www.mdpi.com/1911-8074/14/3/127 |