New Forthcoming Publication

" Measuring 25 Years of Global Equity Market Co-Movement using a Time-Varying Spatial Model"

Authors: Thomas L.A. Heil, Franziska J. Peter, and Philipp Prange

Abstract:

We analyse global equity market co-movement over the period of the last 25
years using a dynamic spatial model. Based on a generalized autoregressive score
model, we analyse the co-movement among global, European, American, and
Asian equity markets during various crises including the Asian, global finan-
cial, and European sovereign debt crises, as well as the economic turmoil arising
due to the current Covid-19 pandemic. Our results show an increase in the co-
movement prior to the onset of the global financial crisis in 2008; a generally
higher co-movement among European countries as compared to American and
Asian-Pacific countries; while the highest level of co-movement was reached dur-
ing the current pandemic. When accounting for time-varying variances, however,
we find evidence for global contagion only during the Covid-19 pandemic which
induced an economic downturn in the first quarter of 2020.