What is Stock Return

The principle aim of this chapter is to determine the different dimensions of the relationship between migration fear index and stock market sectors indices of basic materials, financials, healthcare, industrials, and technology for Germany, France, and the UK. Towards this aim the relationship between the aforementioned indices are tested using traditional methods in addition to Bayer and Hanck combined cointegration test and Yılancı and Bozoklu time-varying asymmetric causality test. Analysis revealed that Germany financials, France technology, and the UK healthcare sector indices have long-term relationships with migration fear indices. Another important finding is that each country's basic materials sector index is not cointegrated with fear indices. Findings also indicate that each country's sector indices are asymmetrically affected by political developments like immigration legislation and regional events like the Arab Spring and the European refugee crisis.