This paper examines macro-financial proximity underlying dynamics of co-movement between emerging and developed countries’ stock markets over the last decade. We initially decompose dynamic conditional correlations between log-returns of daily stock market indexes into short-run (daily) and...

In this paper we investigate the relationship between sovereign CDSs and Bonds, and Equity markets for 13 European countries during the period 2008-2010. We confirm the leading role incorporating new information of Equity markets during 2008-2009, but we find large evidence supporting that...