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This paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of a contagion effect between China and all countries except United States America, Argentina and Turkey during the COVID-19 period. In particular, the Chinese stock market exhibits the highest level of dependence with the Asian and European stock markets in addition to the greatest variability in dependence. These findings are interesting and have important implications for several financial applications. [ABSTRACT FROM AUTHOR]

Copyright of Realidad Economica is the property of Realidad Economica and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Brazilian Journal of Management / Revista de Administração da UFSM is the property of Brazilian Journal of Management / Revista de Administracao da UFSM and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Purpose: The purpose of this paper is to investigate the interlinkages among four major stock markets in Latin America, i.e., those in Argentina, Brazil, Chile, and Mexico, as well as their associations with the US stock market, which influences financial markets globally. Design/methodology/approach: Using the newly developed Hamilton filter methodology (Hamilton, 2018), the authors decompose each stock series to extract cyclical components. Findings: Results indicate that the US S&P 500 is weakly contemporaneously correlated with stock market indices in Brazil, Mexico and Argentina, whereas it also leads the latter by three months. As such, sufficient time is available for policymakers and investors to enhance their forecasts of the latter. Originality/value: Results indicate that the US S&P 500 is weakly contemporaneously correlated with stock market indices in Brazil, Mexico and Argentina, whereas it also leads the latter by three months. As such, sufficient time is available for policymakers and investors to enhance their forecasts of the latter. [ABSTRACT FROM AUTHOR]

Copyright of Ensayos de Economia is the property of Universidad Nacional de Colombia and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Sustainability is a vivid and important issue for financial markets. The financial markets discuss the sustainability' s advantages. This study intends to reveal the nexus of sustainability risk and market returns. It is the first study that attempts to understand the sustainability' effects on market returns. The five sub-indexes of Global Sustainable Competitiveness were used for sustainability performances. The sub-indexes are governance performance, intellectual capital, natural capital, social capital, and resource intensity. Also inflation rate and gross domestic product growth rate added the model as control variables. The dataset was from 2013 to 2020 for all G20 countries except Argentina. The results showed the all macroeconomic and sustainability factors but governance performance are important for stock market returns. Governance performance does not impact the market returns. The macroeconomic factors are more effective than sustainability factors for the returns. [ABSTRACT FROM AUTHOR]