Capital and credit market integration and real economic contagion during the global financial crisis

Pyun, Ju Hyun; An, Jiyoun

doi:10.1016/j.jimonfin.2016.04.004

Cited by 38 publications

(16 citation statements)

References 31 publications

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“…By analyzing the co-movement of business cycle between the USA and 57 other countries during the global financial crisis; Pyun and An (2016) also find that the higher level of capital market integration between them is, the stronger the co-movement of business-cycle between the USA and the other counties will be; and otherwise. In this regard, Yao et al (2018), even further, investigate the impact of financial-liberalization policies on the stock market integration in China and the rest of the world for the period of 2000-2015.…”

Section: Literature Reviewmentioning

confidence: 94%

Integration of Islamic capital market in ASEAN-5 countries

Qizam

Ardiansyah

Qoyum

2020

JIABR

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Purpose The purpose of this study is to investigate the nature and integration of Islamic stock markets across the Association of Southeast Asian Nations (ASEAN-5) countries for economic community (AEC) development. Design/methodology/approach Using samples of daily closing prices from 2009 to 2014 across ASEAN-5 countries, co-integration and Granger-causality tests were applied. Findings This research finds that Islamic capital markets across ASEAN-5 countries remain highly integrated despite the global financial crisis of 2008, and it also finds the integration strength between Jakarta Islamic Index -Indonesia and Bursa Malaysia Emas Sharia-Malaysia Islamic capital markets to be the most influential across ASEAN-5 countries, while MSCI-Philippine Islamic capital market is the most vulnerable across ASEAN-5 Islamic capital markets. Research limitations/implications The overwhelming benefit of Islamic stock market integration across ASEAN-5 countries, and, even in a broader context, awaits further inquiry. Originality/value Islamic capital markets across ASEAN-5 countries are integrated regardless of the post-global financial crisis. This contributes to confirming cross-border integration policies, especially for AEC development.

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Section: Literature Reviewmentioning

confidence: 94%

Integration of Islamic capital market in ASEAN-5 countries

Qizam

Ardiansyah

Qoyum

2020

JIABR

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“…One of the most worrying side effects of increasing economic and financial globalization is financial contagion and unfavourable intermarket comovement. Following 2007/2008 global financial turmoil, academic, political, and investor interest in international stock-market comovements appears to have increased markedly (see Kizys & Pierdzioch, 2009;Madaleno & Pinho, 2011;Lahrech & Sylwester, 2011, Pyun & An, 2016Beetsma, Jong, Giuliodori, & Widijanto, 2017). It is worth noting, however, that although integration in banking and financial markets provide increased diversification options for investors, that same advantage of access to markets may also be a poison chalice for investors who are less informed about correlations among markets.…”

Section: Introductionmentioning

confidence: 99%

Latin American stock market dynamics and comovement

2018

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With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates comovement among returns from six Latin American stock markets (Mexico [BMV], Brazil [BOVESPA], Chile [IPSA], Peru [IGBVL], Argentina [MERVAL], and Venezuela [IBVC]) and also with the U.S. S&P 500 Composite index. In part, we employ principal component analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8‐, 6‐, 4‐, 3‐, 2‐, and 1‐year periods. We also investigate the incidence of structural breaks and comovement, aiming to uncover the dynamics in comovements among these markets. We find evidence of high comovement among the Latin American markets, and also with the U.S. markets. Venezuela and Mexico's equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the United States having a leading role in the region.

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“…The result showed that domestic credit expansion was the key to influence capital flight and financial liberalization had fueled capital flight by increasing fund movement and reducing its cost. In addition, Pyun and An (2016) Anaya, Hachula, and Offermanns (2017) used a structural global VAR model to analyze the impact of US unconventional monetary policy shock as defined by changes in the central balance sheet. It was on the financial and economic conditions of emerging market economies.…”

Section: Introductionmentioning

confidence: 99%

Capital Flight and the Economic Growth: Evidence from Nigeria

Lawal

Kazi

Adeoti

et al. 2017

Binus Business Review

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This research examined the impact of capital flight and its determinants on the Nigerian economy using the Autoregressive Distributed Lag (ARDL) model to analyze data source from the period of 1981 to 2015. The variables included current account balance, capital flight, foreign direct investments, foreign reserve, inflation rate, external debt, and the real gross domestic product. It was to examine the existence of a long run relationship among the variables studied. The result indicates that capital flight has a negative impact on the economic growth of Nigeria. Therefore, there is a need for government to implement policies that will promote domestic investment and discourage capital flight from Nigeria.

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Capital and credit market integration and real economic contagion during the global financial crisis

Cited by 38 publications

References 31 publications

Integration of Islamic capital market in ASEAN-5 countries

Integration of Islamic capital market in ASEAN-5 countries

Latin American stock market dynamics and comovement

Capital Flight and the Economic Growth: Evidence from Nigeria

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