On macroeconomic determinants of co-movements among international stock markets: evidence from DCC-MIDAS approach

On macroeconomic determinants of co-movements among international stock markets: evidence from DCC-MIDAS approach

This study aims to examine the macro-financial dynamics of the time-varying co-movements between the daily stock market returns of G7 and BRICS-T countries using a two-step procedure. Firstly, we decompose the dynamic conditional correlations between the daily stock market returns into the short-ter...

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Bibliographic Details
Main Authors: Arifenur Güngör, Hüseyin Taştan
Format: Article
Language:English
Published: AIMS Press 2021-04-01
Series:Quantitative Finance and Economics
Subjects:
stock markets
time-varying co-movements
macroeconomics
dcc-midas
Online Access:http://www.aimspress.com/article/doi/10.3934/QFE.2021002?viewType=HTML

Internet

http://www.aimspress.com/article/doi/10.3934/QFE.2021002?viewType=HTML

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