An analysis of CEE equity market integration and their volatility spillover effects

Hung, Ngo Thai

doi:10.1108/ejmbe-01-2019-0007

Cited by 31 publications

(20 citation statements)

References 40 publications

(74 reference statements)

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“…It relates to one of a well-known feature of financial markets, that correlations increase in bear markets (Longin and Solnik, 2002). Our results are in line with the previous studies showing that the stock markets in the CEE countries are more integrated after the crisis (Gjika and Horváth, 2013;Baumöhl, 2013;Vychytilova, 2018;Hung, 2019;Moagăr-Poladian et al, 2019). The coherencies between the markets behave differently in different quantiles and subperiods due to the fact, that negative extreme returns attract investors' attention stronger than moderate or positive ones.…”

Section: Discussion Of Resultssupporting

confidence: 92%

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Łęt¹

2020

FAI

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The aim of this paper is to investigate the dependence structure in the frequency domain for the joint distribution of returns from the stock markets in the countries belonging to the V4 countries. We analyze twenty-years of historical daily prices of four main stock indices from the Czech Republic, Hungary, Poland, and Slovakia. Using a quantile coherency measure we found, that linkages between Czech, Hungarian, and Polish stock markets are significantly positive for all considered quantiles and frequencies. These three markets are more strongly dependent during the long downturns and the effect is permanent after the European Union accession. The Slovak stock market is the least connected with other countries in the group. Results of the paper revealed, that Czech, Hungarian and Polish stock market is subject to similar trends in terms of returns for different investment horizons. International market participants should incorporate interdependencies between these markets during the portfolio building process.

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Section: Discussion Of Resultssupporting

confidence: 92%

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Łęt¹

2020

FAI

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“…In a related study on conditional correlations and volatility spillovers across Central and Eastern Europe (CEE) countries, Hung (2019) showed evidence of significant correlations between the CEE markets, and that own‐volatility spillovers are generally lower than cross‐volatility spillovers for all markets. Vo and Tran (2020) reported a significant volatility spillover from the United States to ASEAN equity markets including Vietnam, Singapore, Malaysia, Thailand, Indonesia, and the Philippines.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Numerous studies have been conducted to establish the nature of interdependence among international stock markets. This growing literature is partly attributed to financial market turbulence, which transmits shocks and volatility across regional and global markets, and partly to identify veritable sources for hedging risk and portfolio diversification (see, e.g., Abdennadher & Hellara, 2018; Amira et al, 2011; Hung, 2019; Solnik et al, 1996; Yépez, 2020). Although the majority of these studies focused on developed and emerging markets, there are also studies conducted to measure interdependence and linkages among Africa markets as well as between Africa and developed markets (see Agyei‐Ampomah, 2011; Collins & Biekpe, 2003; Panda et al, 2019).…”

Section: Introductionmentioning

confidence: 99%

Interdependence among West African stock markets: A dimension of regional financial integration

Emenike

2021

African Development Review

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Understanding the nature of interdependence between international stock markets is vital for portfolio diversification, risk management and market regulation. This paper examines the nature of interdependence among West African stock markets using correlation analysis, the Granger causality test and a multivariate BEKK‐GARCH (1,1) model. The results show evidence of a weak relationship among West African stock markets. The results also show absence of causal dependence between the Côte d'Ivoire BRVM (Bourse Régionale des Valeurs Mobilières), and the Ghana stock market, but evince feedback relationship between the Côte d'Ivoire BRVM and the Nigeria stock market as well as between the Ghana and Nigeria stock markets. The results further reveal no evidence of volatility spillover between the Côte d'Ivoire BRVM and the Ghana stock market, but show evidence of unidirectional volatility spillover from the Nigeria stock market to the Côte d'Ivoire BRVM as well as bidirectional volatility spillover between the Nigerian and Ghanaian stock markets. Overall, the findings reveal existence of weak interdependence among West African stock markets, and that West African financial markets are interdependent through the Nigerian market. These findings are relevant to stock market stabilisation and investment policy in West Africa.

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“…There have been several pieces of evidence in the literature (e.g. Diebold and Yılmaz, 2009; Diebold and Yılmaz, 2012; Antonakakis, 2012; Antonakakis and Gabauer, 2017; Antonakakis et al , 2018 and Hung, 2019) that establish the directional volatility relation and market connectedness among various financial assets. Hence, we model the returns-based volatility for the commodities and equity market to see the spillover and market connectedness between those assets.…”

Section: Resultsmentioning

confidence: 99%

On the relation between the crude oil market and pandemic Covid-19

Shaikh

2021

EJMBE

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PurposeThe crude oil market has experienced an unprecedented overreaction in the first half of the pandemic year 2020. This study aims to show the performance of the global crude oil market amid Covid-19 and spillover relations with other asset classes.Design/methodology/approachThe authors employ various pandemic outbreak indicators to show the overreaction of the crude oil market due to Covid-19 infection. The analysis also presents market connectedness and spillover relations between the crude oil market and other asset classes.FindingsOne of the essential findings the authors report is that the crude oil market remains more responsive to pandemic fake news. The shock of the global pandemic panic index and pandemic sentiment index appears to be more promising. It has also been noticed that the energy trader's sentiment (OVX and OIV) was measured at a too high level within the Covid-19 outbreak. Volatility spillover analysis shows that crude oil and other market are closely connected, and the total connectedness index directs on average 35% contribution from spillover. During the initial growth of the infection, other macroeconomic and political events remained to favor the market. The second phase amidst the pandemic outbreak harms the global crude oil market. The authors find that infectious diseases increase investor panic and anxiety.Practical implicationsThe crude oil investors' sentiment index OVX indicates fear and panic due to infectious diseases and lack of hedge funds to protect energy investments. The unparalleled overreaction of the investors gauged in OVX indicates market participants have paid an excessive put option (protection) premium over the contagious outbreak of the infectious disease.Originality/valueThe empirical model and result reported amid Covid-19 are novel in terms of employing a news-based index of the pandemic, which are based on the content analysis and text search using natural processing language with the aid of computer algorithms.

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An analysis of CEE equity market integration and their volatility spillover effects

Cited by 31 publications

References 40 publications

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Interdependence among West African stock markets: A dimension of regional financial integration

On the relation between the crude oil market and pandemic Covid-19

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