Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market
研究了印度新兴股市与发达国家股市的收益率联动性，发现经济收缩期极端联动概率更高，国际利率、通胀不确定性和股息收益率是主要驱动因素，对投资组合管理和防范金融传染有参考价值。
We 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.