Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX: Evidence using Markov-switching copulas

被引：20

作者：

Abakah, Emmanuel Joel Aikins

Tiwari, Aviral Kumar ^{[1
,2
]}

Alagidede, Imhotep Paul ^{[3
,4
]}

Gil-Alana, Luis Alberiko ^{[5
,6
]}

机构：

[1] Univ Cape Coast, Sch Econ, Cape Coast, Ghana

[2] Rajagiri Business Sch, Rajagiri Valley Campus, Kochi, India

[3] Univ Witwatersrand, Johannesburg, South Africa

[4] SDD UBIDS, WA, Ghana

[5] Univ Navarra, Pamplona, Spain

[6] Univ Francisco Vitoria, Madrid, Spain

来源：

FINANCE RESEARCH LETTERS | 2022年 / 47卷

关键词：

Risk-return; Time-varying; Markov-switching copulas; Stock markets; Uncertainty; STOCK RETURNS; CONDITIONAL HETEROSKEDASTICITY; TRADE-OFF; VOLATILITY;

D O I：

10.1016/j.frl.2021.102535

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study re-examines the empirical relationship between risk and return from 1994m12 to 2020m08 in fifteen international equity markets employing the novel time-varying Markov switching copula models. We provide first-time insightful evidence of time-varying Markov tail dependence structure and dynamics between risk and return in international equity markets. Results show that the dependence structure is positive for USA, UK, Germany, Italy, Brazil, Australia, Taiwan, Canada, Mexico, Japan, France and South Africa and negative for Singapore, India, Japan and China. Finally, we document the effects of policy uncertainty, geopolitical risk and VIX conditional on different markets states.

引用

页数：8