This study investigates the dynamic pattern of the interdependence among G7 stock markets, namely the US, the UK, France, Germany, Italy Canada and Japan over the 1988-2021 period. The state-space formulation of the time-varying cointegrating coefficient allows us to examine the potential...

We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US...

This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and...

This paper studies the impact of expected issuance fees on market liquidity in the Euro-area government bond market. Investment banks have a dual role as primary dealer in the secondary market as well as competitor for lead manager in the primary market. Primary dealers have the incentive to...