The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries

Abstract

Using linear and nonlinear correlations, copulas, quantile dependence and lower tail dependence, we find that (1) equity markets of the advanced European Union (EU) countries comove more closely with each other than with the peripheral economies, (2) comovements with non‐EU countries are lower, (3) relative comovement structure before, during, and after the global financial crisis has been very stable, and (4) the level of comovements remained virtually the same between the crisis and post‐crisis periods. Our results are robust to controlling for Fama‐French, U.S. and global risk factors, as well as monetary policy, market interest rates, exchange rates, and uncertainty.

The impact of monetary policy on income inequality: evidence from Eurozone markets

“…In 2011 fears for contagion in Italy and Spain resulted in volatility in the banking sector and increasing yield spreads while in core country banking systems the effect was less pronounced (see, among others, Beirne and Fratzscher, 2013; Spyrou, 2013; Asimakopoulos et al , 2018). In addition, equity markets in advanced EU countries tend to exhibit increased co-movement compared to markets in the Periphery (Goldstein et al , 2019), while monetary policy also seems to have a different impact on economic expectations (Galariotis et al , 2018).…”

Exploring the performance of US international bond mutual funds

“…Goldstein et al (2019) provide an alternative approach for testing equal correlations.13 Due to the small number of funds within the Emerging Markets Local Currency Bond sector, we allocate these funds to the EM sector.…”

Energy listed firms

“…This is motivated by the observation that many previous studies on different issues often come to the conclusion that core and peripheral countries in the Eurozone react differently to economic events and situations. For example, the recent financial crisis had a more pronounced effect on peripheral country banking systems (Asimakopoulos et al, 2018), the monetary policy stance of the European Central Bank had a different effect on economic expectations in Peripheral and Core countries (Galariotis et al, 2018), the peripheral stock markets exhibit a reduces co-movement compared to the core country stock markets (Goldstein et al, 2019), etc. Also, the approach of this thesis is to concentrate in listed stocks as one of the three main ways that an investor can access this market.…”