PurposeThis study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset Pricing” to provide a complete overview and give scope and directions for future research.Design/methodology/approachWeb of Science database is used to search with “International Asset Pricing.” Of 3,438 articles, 2,487 articles are selected for the final bibliometric analysis. Various research such as citation analysis, keyword analysis, author’s and corresponding author's analysis have been conducted.FindingsThe bibliometric analysis finds that the USA comes out to be the country where the maximum research was conducted on the topic. The keyword analysis was also analysed to evaluate the significant areas of the research. Risk, return and international asset pricing are the most frequently used keywords. The year 2020 has the maximum number of published research articles and citations due to the change in the market structure worldwide and the effect of Covid-19 across the world.Originality/valueThe present paper provides the collection, classification and comprehensive analysis of “International Asset pricing,” which may help the academicians, researchers and practitioners for future research for the relevant subject area.
This article examines the co-integration among the financial markets of four countries (India, the USA, Japan, and Hong Kong) from April 2010 to May 2021. Using the Johansen co-integration test, we establish the integration between the stock markets of these countries. The test clearly shows that there exists long-run co-integration between these countries. Furthermore, we checked the relationship of one country with another by applying the multivariate Granger causality test, which shows the influence of the US market over the other countries. The results significantly show the existence of long-run co-integration and linkages between these financial markets. Applying the Vector error correction model and variance decomposition analysis for the period confirms the result obtained from multivariate Granger causality. As the study shows, the stock market of the countries is not entirely inter-linked. However, some tests provide the pairwise linkages but not when talking about all the nations together. That means the rise in one stock market does not necessarily impact the surge in other stock exchanges, which means investors can profit from diversifying between these stock exchanges. It provides the opportunity for portfolio diversification to investors. The study shows that “the international stock market is neither fully integrated nor completely segmented,” giving international diversification an opportunity. As in our study, the “U.S. market is the most exogenous,” and the Japanese market is relatively isolated from the other market, where the impact from the different markets is not that significant.
The outbreak of COVID-19 was an extreme event that created panic among the people, disrupted normal functioning and adversely affected the economy. The stock market fell due to the uncertainty that ensued, and it continues to do so as new variants are being discovered. The study explores the impact of the outbreak of a new variant of COVID-19 on the stock market and analyses investor sentiment towards investing and global investing through sentiment analysis using QSR NVivo software. The results contribute to the extant literature that the investors’ sentiment is positive towards global investing despite the adverse conditions. Investors need to choose those stocks that are internationally diversified with sound fundamentals. The study reveals that markets bounce after a significant cooling period, and investment managers should encourage the investors to hold their portfolios. The study also identifies the important themes and social networking of investors from India with the world through the NodeXL. The study identified major themes such as alerts, timing, investors and investing, which shows that the people mainly focus on stocks, its alert and timing for making investment decisions.
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