| Author(s)/Year |
Country(s) involved/ Period of Studies |
Methodology/Tools for analysis |
Variables Studied |
| Andersson, Krylova, and Vähämaa ( 2008) |
Germany, UK and US (1991 – 2006) |
DCC-MGARCH, time series regression |
Expected economic growth, expected inflation and stock market volatility expectation |
| Asgharian, Christiansen, and Hou (2015) |
US (1986 – 2014) |
DCC–MIDAS |
Macroeconomic uncertainty index (MUI) |
| Asgharian, Christiansen, and Hou ( 2015b) |
US (1986 – 2013) |
Wavelet approach, DCC-MIDAS |
Inflation, term spread, interest rate, stock and bond illiquidity, the state of economy variables, market uncertainty |
| Baele, Bekaert, and Inghelbrecht ( 2010) |
US (1968 – 2007) |
VAR, regime-switching, mixed data sampling (MIDAS) |
Macro factors, risk-premium factors, liquidity factors |
| Bansal, Connolly, and Stivers ( 2009) |
US (1997 – 2005) |
Regime-switching |
Daily VIX variability, implied volatility level from VIX, price-impact measure and return reversal measure of stock illiquidity and trading volume in stock futures contracts. |
| Baur ( 2010) |
Australia, France, Germany, Italy, Japan, Switzerland UK and US (1989 – 2009) |
Simple regression, temporal commonalities |
Cross-country (same asset class) stock and bond market integration |
| Bianconi, Yoshino, and Machado de Sousa ( 2013) |
Brazil, Russia, India, China (2003 – 2010) |
VAR, heat maps, cointegration, DCC-MGARCH |
US financial stress |
| Chiang and Li ( 2009) |
US (1996 – 2008) |
Rolling correlation, BEKK-MGARCH, AGDCC-MGARCH, multiple regression |
Stock market volatility, oil price volatility, credit spread, real GDP growth rate, capital inflow to US, domestic savings, inflation, federal funds rate, M2 own rate. |
| Connolly, Stivers, and Sun ( 2005) |
US and other G7 countries (1986 – 2000) |
VAR, regime -shifting analysis |
Stock market uncertainty (VIX) and stock turnover |
| Dimic, Kiviaho, Piljak, and Äijö ( 2016) |
Argentina, Brazil, Bulgaria, Colombia, Mexico, Peru, Philippines, Russia, Turkey, Venezuela and US (2001 – 2013) |
Wavelet analysis approach, linear regression |
Inflation, business cycle, interest rate, stock and bond market uncertainties (VIX and MOVE, respectively) |
| Hong, Kim, and Lee ( 2014) |
Canada, Germany, Japan, UK and US (1985 – 2007) |
Bivariate VAR, Cointegration |
Ratio of market value to GDP, real GDP growth rate, spread between stock and bond returns, economic uncertainty |
| Ilmanen ( 2003) |
US (1952 – 2001) |
Rolling correlations |
GDP growth, inflation, market volatility, monetary policy |
| Kim, Moshirian, and Wu ( 2006) |
France, Germany, Italy, Japan, Spain, UK and US (1994 – 2003) |
EGARCH, Principal component analysis (PCA), Seemingly Unrelated Regression (SUR) |
Conditional exchange rate volatility, monetary and real convergence, January dummy variable and economic uncertainty |
| Li ( 2002) |
G7 countries (1958 – 2001) |
Linear regression, autocorrelation model, VAR |
Uncertainties of expected inflation, real interest rate and unexpected inflation |
| Panchenko and Wu ( 2009) |
18 emerging markets (1995 – 2005) |
Logistic panel regression |
Stock market integration, country-specific variables, international variables, market-development variables, financial openness variables |
| Perego and Vermeulen ( 2016) |
Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherland, Portugal, Spain (2000 – 2013) |
DCC-MIDAS |
Inflation differential, volatility differential, debt differential, current account differential, growth differential and monetary policy rate |
| Yang, Zhou, and Wang ( 2009) |
UK and US (1855 – 2001) |
CCC augmented model MGARCH |
Short rates, inflation rate, business cycle, dummy variables on 1) monetary regimes: classical gold standard, interwar, Bretton woods, floating exchange rates; 2) events in financial markets: 1951 Treasury-Federal Reserve Accord event, central bank controls over money supply, US issued fiat paper money. |
