Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), explores their return co-movements during the last decades. Significant contagion effects markets are documented almost all financial crises; moreover, in line with recent literature, defensive role of gold Franc asset portfolios is highlighted. Focusing a new set macroeconomic series, significant impact these variables returns correlations found, notably case world equity risk premium. Finally, long-run risks detected including Chinese market index. Overall, this empirical evidence interest for researchers, managers policy makers.