The degree of connectedness of equity markets on a given day can be assessed by decomposing the forecast error variance resulting from a vector autoregressive model, applied to daily returns on stock indices. This well-known procedure leads, for each day, to a spillover matrix which can be...

Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of...

Under the influence of major random events such as US-China trade dispute and the coronavirus (COVID-19) outbreak, the uncertainty of macroeconomic regulation has also risen significantly. Then, what role economic policy level shocks and uncertainty shocks play in industrial regulation need to...