Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

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dc.contributor.authorPoshakwale, Sunil S.
dc.contributor.authorMandal, Anandadeep
dc.date.accessioned2016-07-04T15:21:32Z
dc.date.available2016-07-04T15:21:32Z
dc.date.issued2016-05-18
dc.description.abstractWe study the economic and non-economic sources of stock return comovements of the emerging Indian equity market and the developed equity markets of the US, UK, Germany, France, Canada and Japan. Our findings show that the probability of extreme comovements in the economic contraction regime is relatively higher than in the economic expansion regime. We show that international interest rates, inflation uncertainty and dividend yields are the main drivers of the asymmetric return comovements. Findings reported in the paper imply that the impact of interest rates and inflation on return comovements could be used for anticipating financial contagion and/or spillover effects. This is particularly critical since during extreme market conditions, the tail return comovements can potentially reveal critical information for active portfolio management.en_UK
dc.identifier.citationPoshakwale, S., Anandadeep M. (2016) Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market, Review of Quantitative Finance and Accounting, Vol. 48, Issue 4, May 2017, pp. 859-892en_UK
dc.identifier.cris14152052
dc.identifier.issn0924-865X
dc.identifier.urihttp://dx.doi.org/10.1007/s11156-016-0580-2
dc.identifier.urihttps://dspace.lib.cranfield.ac.uk/handle/1826/10076
dc.language.isoenen_UK
dc.publisherSpringeren_UK
dc.rightsAttribution 4.0 Internationalen_UK
dc.rightsThe final publication is available at Springer via http://dx.doi.org/10.1007/s11156-016-0580-2en_UK
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectEmerging Indian equity marketen_UK
dc.subjectAsset return comovementsen_UK
dc.subjectEconomic and non-economic sourcesen_UK
dc.subjectCopula modelsen_UK
dc.subjectMarkov switching stochastic volatility modelen_UK
dc.titleSources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity marketen_UK
dc.typeArticleen_UK

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