TY  - JOUR
A1  - Ademmer, Martin
A1  - Horn, Wolfram
A1  - Quast, Josefine
T1  - Stock market dynamics and the relative importance of domestic, foreign, and common shocks
JF  - International Journal of Finance & Economics
N2  - We quantify the contemporaneous relationships among stock markets in the euro area, the United States, and a group of emerging economies over the period from 2008 to 2017. Exploiting the heteroskedasticity in the stock market data, we identify shocks that originated in the respective domestic markets and shocks that are common to all markets. Our results underline the leading role of the United States in international equity markets, but also point to the importance of indirect spillovers for all economies. Variance decompositions show that while domestic shocks explain the bigger part of the variation in each stock market, a substantial part of the variation in the euro area and the emerging economies can be attributed to foreign shocks. A comparison with a sample covering the pre‐crisis period from 1999 to 2007 suggests a strengthening of the linkages among global stock markets in recent years. In particular, the spillovers from advanced to emerging economies have become more pronounced.
KW  - financial linkages
KW  - heteroskedasticity
KW  - identification
KW  - spillovers
KW  - stock markets
Y1  - 2022
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-225729
VL  - 27
IS  - 4
SP  - 3911
EP  - 3923
ER  -