This article explores the global cycle hypothesis by testing whether the US stock market serves as an explanatory variable for the evolution of expansions and contractions in the UK stock market from 1922 until 2016. Alternatively, it tests an index that groups the stock markets of advanced economies to identify whether this driving force is international. Second, regarding co-movement with the US, the article explores whether its time-varying nature is contingent on the domestic and international economic policy regimes. I find evidence that there is a strong and contemporaneous co-movement between the US and UK stock markets. Additionally, through a VAR model, I identify that the movements in the UK stock market cause, in the Granger sense, changes in the index for advanced economies up to two years later. Furthermore, in the short-run co-movement between the US and UK stock markets is contingent on the macroeconomic trilemma while, in the long run, both domestic and international policy regimes affect the relationship. A final contribution is the design of a new methodology for describing the evolution of financial time series as risk-adjusted above or below average returns to different time horizons: the Local Bull Bear Indicators (LBBIs).

中文翻译：

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股市联动、国内经济政策和宏观经济三难困境：以英国为例（1922-2016）

本文通过检验美国股市是否可以作为 1922 年至 2016 年英国股市扩张和收缩演变的解释变量来探索全球周期假设。或者，它检验了一个对发达经济体股票市场进行分组的指数确定这种驱动力是否是国际性的。其次，关于与美国的联动，本文探讨其时变性质是否取决于国内和国际经济政策体制。我发现有证据表明美国和英国股市之间存在着强烈的同期联动。此外，通过 VAR 模型，我发现英国股市的波动导致了两年后发达经济体指数的变化，在格兰杰的意义上。此外，在短期内，美国和英国股市之间的联动取决于宏观经济的三难困境，而从长远来看，国内和国际政策机制都会影响这种关系。最后一个贡献是设计了一种新方法，用于将金融时间序列的演变描述为风险调整后高于或低于不同时间范围的平均回报：本地牛熊指标 (LBBI)。