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The Dynamic Connectedness Between Global Macroeconomic Risks and International Stock Markets: A Diagonal BEKK Approach

The Dynamic Connectedness Between Global Macroeconomic Risks and International Stock Markets: A Diagonal BEKK Approach

Arifenur Güngör, Mahmut Sami Güngör
Copyright: © 2022 |Pages: 18
ISBN13: 9781668455289|ISBN10: 1668455285|ISBN13 Softcover: 9781668455296|EISBN13: 9781668455302
DOI: 10.4018/978-1-6684-5528-9.ch015
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MLA

Güngör, Arifenur, and Mahmut Sami Güngör. "The Dynamic Connectedness Between Global Macroeconomic Risks and International Stock Markets: A Diagonal BEKK Approach." Handbook of Research on Stock Market Investment Practices and Portfolio Management, edited by Renuka Sharma and Kiran Mehta, IGI Global, 2022, pp. 283-300. https://doi.org/10.4018/978-1-6684-5528-9.ch015

APA

Güngör, A. & Güngör, M. S. (2022). The Dynamic Connectedness Between Global Macroeconomic Risks and International Stock Markets: A Diagonal BEKK Approach. In R. Sharma & K. Mehta (Eds.), Handbook of Research on Stock Market Investment Practices and Portfolio Management (pp. 283-300). IGI Global. https://doi.org/10.4018/978-1-6684-5528-9.ch015

Chicago

Güngör, Arifenur, and Mahmut Sami Güngör. "The Dynamic Connectedness Between Global Macroeconomic Risks and International Stock Markets: A Diagonal BEKK Approach." In Handbook of Research on Stock Market Investment Practices and Portfolio Management, edited by Renuka Sharma and Kiran Mehta, 283-300. Hershey, PA: IGI Global, 2022. https://doi.org/10.4018/978-1-6684-5528-9.ch015

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Abstract

This chapter examines the time-varying linkages between global macroeconomic risks and stock market returns of developed and emerging countries. For this purpose, the authors estimate the Diagonal-BEKK GARCH models for the period from January 5th, 2015 to January 4th, 2022. To consider the impact of a black swan event, the authors also estimate the models for the sub-periods: the pre-vaccination pandemic period and the COVID-19 pandemic period. Empirical findings suggest negative conditional covariances amongst the macro risks and the stock market performance; however, the magnitudes of those covariances differ by development levels of stock markets and time horizons. In addition, those conditional covariances exhibit significant volatility clustering. Furthermore, this study puts forward sudden slumps and spikes in the conditional covariances between the macro risks and the stock market returns at the onset of the COVID-19 pandemic; however, these fluctuations are sudden and short-lived.

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