Changes in the international comovement of stock returns and asymmetric macroeconomic shocks

Kizys, Renatas; Pierdzioch, Christian

doi:10.1016/j.intfin.2008.01.002

Cited by 69 publications

(42 citation statements)

References 38 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…They argued that this relationship has grown stronger particularly after January 1999 (Common monetary policy by European Central Bank). Similar claims were made by Kizys and Pierdzioch (2009), particularly for European countries. The different impact of the same factor on different stock markets indicates the asymmetric response of the stock market to macroeconomic shocks.…”

Section: Introductionsupporting

confidence: 71%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

View full text Add to dashboard Cite

This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

show abstract

Section: Introductionsupporting

confidence: 71%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

View full text Add to dashboard Cite

show abstract

“…Past studies have been widely enriched by various empirical studies that explored the relationships between macroeconomic variables and stock market indices (Aburgi, 2008;Adjasi, 2009;Beltratti and Morano, 2006;Hassapis and Kalyvitis, 2002;Hatemi-J and Morgan, 2009;Humpe and Macmillan, 2009;Kizys and Pierdzioch, 2009;Liu and Shrestha, 2008;Pal and Mittal, 2011). As such, they noticeably argued that macroeconomic variables [GDP, IP, PPI, CPI, ER, M1, M2, M3, gross domestic saving (GDS), gold prices (GP), oil prices (OP), federal funds rate (FFR) and INT] influence stock market indices, and implied that macroeconomic variables affect investors' investment decisions.…”

Section: Review Of Previous Empirical Studiesmentioning

confidence: 99%

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Bekhet¹,

Mugableh²

2012

IJEF

View full text Add to dashboard Cite

The current paper conducts an empirical examination into the long-run and short-run equilibrium relationships between macroeconomic variables and the Malaysian stock market index (SMI) for the 1977-2011 period. Specifically, it employs Ng and Perron (NP) bounds statistics test to detect the boundaries of variables stationarity. Subsequently, the co-integrating relationships among variables are tested using the bounds F-statistic test. Eventually, the long-run and short-run equilibrium relationships are analyzed using Pesaran, Shin, and Smith (PSS) bounds tests Approach. The results indicate that all macroeconomic variables are co-integrated with SMI. Besides, understanding the long-run and short-run equilibrium relationships between macroeconomic variables and SMI could be highly appreciable from the perspectives of policymakers, financial economists, domestic and international investors dealing with Malaysian stock market.

show abstract

“…Most of these studies present evidence that stock return comovement varies with time. For instance, Brooks and Del Negro (2004), Kizys and Pierdzioch (2009) Rua and Nunes (2009) found evidence that international comovement has been on an upward trend, particularly among developed markets.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

“…Most of the previous studies focus on the linkages across different stock markets (see Rahman and Yung, 1994;Li, Yang, Hsia and Chang, 2005;Chiang and Jeon, 2007;Tai, 2007;Cho and Parhizgari, 2008;Kizys and Pierdzioch, 2009;Ozdemir, 2009;Khan and Park, 2009;Huyghebaert and Wang, 2010;Jayasuriya, 2011). However, there is still scope for more empirical investigations on banking sector return comovement within the region.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

Dependence Patterns Among Banking Sectors in Asia: A Copula Approach

Mensah¹,

Premaratne

2014

SSRN Journal

View full text Add to dashboard Cite

The bitter experience of the subprime crisis of 2007, the Global Financial crisis of 2008, and the extremely slow and painful ensuing recovery, has raised systemic risk to the center stage of global economic discourses. The crisis has brought home the urgent need for a thorough assessment of the dependence and interaction between banking sectors, from which most of the trouble began. This study investigates patterns and trends in absolute and tail dependence over time using daily returns for banking sectors from 12 Asian economies during the period 2000-2012. Static and time-varying Copula models, Gaussian copula, Symmetrized Joe-Clayton copulas, are employed to study the tail co-movements among the selected markets. The paper assumes a skew-t distribution for the innovation process of the marginal models. The results of the marginal models suggest strong volatility persistence in all twelve markets. There is high persistence in the absolute dependence of among market pairs. The evidence from the empirical analysis suggests that the cross-sectional average copula correlations generally remain at moderate levels with slight upward trend for all twelve markets. Correlation among the banking sectors of the advanced Asian markets economies are generally higher compared with the Emerging markets economies. The tail dependence is asymmetric across most of the market pairs; tail dependence at the lower side of the joint distributions is mostly higher than tail dependence at the upper side of the joint distributions. The results show that tail dependence is not upward trending for most of the pairs examined. However, the tail co-movements show significant spikes in response to financial stress in the global economy, which implies that there could be joint crashes in the regional banking system during extreme negative events. The fact that the region has not been the epicenter for most of the crisis periods covered in this study, yet responds significantly, makes it necessary for adoption of policies that maximize resilience to shocks. The study concludes that time-varying copulas are best suited for modeling the dependence structure of the Asian banking sector indices compared with static copula.JEL Classification: C14, F36, G10

show abstract

Changes in the international comovement of stock returns and asymmetric macroeconomic shocks

Cited by 69 publications

References 38 publications

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Dependence Patterns Among Banking Sectors in Asia: A Copula Approach

Contact Info

Product

Resources

About