What drives asymmetric dependence structure of asset return comovements?

Anandadeep Mandal, Sunil Poshakwale

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


We examine the determinants of return comovements of three different asset classes and provide critical insights on the key macroeconomic and non-macroeconomic factors which drive the asset return comovements during
economic contraction and expansion regimes. We show that amongst the macroeconomic factors, interest rate and inflation have significant effect on the return comovements during the economic contraction regime whilst risk aversion significantly affects the return comovements during the economic expansion regime. The nonmacroeconomic factors, output uncertainty, bond illiquidity and depth of recession contribute significantly in explaining the variations of return comovements for all asset pairs during both economic contraction and expansion periods except for real estate-based portfolios. Our results are robust to alternative model specification that uses regime switching MGARCH model.
Original languageEnglish
Pages (from-to)312-330
JournalInternational Review of Financial Analysis
Early online date1 Aug 2015
Publication statusPublished - Dec 2016


  • Asset return comovements
  • Markov Switching Stochastic Volatility model
  • Time-varying conditional copula
  • Macro and non-macroeconomic determinants


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