Determinant Factors of Hong Kong Stock Market

Garefalakis, Alexandros; Dimitras, Augustinos I.; Koemtzopoulos, Dimitris; Spinthiropoulos, Konstantinos

doi:10.2139/ssrn.1762162

Cited by 16 publications

(12 citation statements)

References 37 publications

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“…The stability of the exchange rate during these two financial crises reflects that changes in the exchange rate were not the primary reason for stock index variations. Our results are not directly comparable to the findings of Jao (2001), Yu and Tam (2007) or Garefalakis et al (2011) because the emphases of the papers differ.…”

Section: Stock Market Parameter Estimates -Exchange Ratecontrasting

confidence: 99%

“…Yu and Tam (2007) contend that the Hong Kong risk appetite index is a valuable indicator of stock market performance from 1996 to 2006. Garefalakis, Dimitras, Koemtzopoulos, and Spinthiropoulos (2011), using the Glosten-Jahannathan-Runkle GARCH model, suggest that the Hang Seng index is influenced by the U.S. Standard & Poor's 500 index and oil prices. Reinhart and Rogoff (2008), using long-run U.S. historical data, observe parallels across a number of financial crises.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Financial crises, Asian stock indices, and current accounts: An Asian-U.S. comparative study

Chen

2014

Journal of Asian Economics

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This paper investigates the effects of financial crises-based exchange rate, real interest rate, and personal consumption expenditure on stock market indices and balances of current account in four Asian countries/areas, and the U.S. from 1997 to 2010. Results obtained from Sims's first-order DSGE representation suggest that two policy variableschanges in the exchange rate and changes in the real interest rate lagged by one quarteract as stabilizers for contemporaneous changes in stock indices for Thailand, Malaysia, and the U.S., but as destabilizers for Taiwan and Hong Kong. However, changes in personal consumption expenditure lagged by one quarter only play a destabilizing role in Hong Kong. For contemporaneous changes in the current account balance, all three policy variables become destabilizers for all five countries except the one-quarter lagged change in real interest rate, which acts as a stabilizer in Malaysia. ß

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Section: Stock Market Parameter Estimates -Exchange Ratecontrasting

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Financial crises, Asian stock indices, and current accounts: An Asian-U.S. comparative study

Chen

2014

Journal of Asian Economics

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“…Jones & Kaul, 1996;Sadorsky, 1999, Garefalakis et al, 2011. On the other hand, Huang et al (1996), found that there is no correlation between oil futures returns and stock market returns in the US.…”

Section: Literature Reviewmentioning

confidence: 99%

The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries

Asteriou¹,

Dimitras²,

Lendewig³

2013

IJBM

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The aim of this paper is to study the impact of oil price fluctuations on the stock markets and the interest rates from oil importing and oil exporting countries. To this end, Vector Autoregressive (VAR) models are estimated and pairwise Granger Causality tests are performed to the stationary series in order to analyse the short-term relationships among the variables. Also, the Johansen approach for multiple equations is carried out in order to test for cointegration among the series. Finally, the existence of cointegration set the estimation of Vector Error-Correction Models (VECMs) to investigate the long-term links between the financial variables and the oil prices. The major findings of this paper include: first, the interaction between the oil prices and the stock markets is much stronger than with the interest rates in the short and in the long-run. Second, the impact on oil importing countries is more significant than on oil exporting countries. Finally, it might be possible that the fluctuations in oil prices have different effects on developed and developing countries.

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“…Based on these approach non-structural models for the behaviour of oil prices have been presented in the literature (Duffie and Gray, 1995). In contrast, in the supply-and-demand framework, the oil market is modeled by using behavioural equations linking the demand and supply equation by various determinants, such as GDP growth, oil prices, and the level of oil stocks (Dées et al, 2008;Garefalakis et al, 2011). Finally, the informal approach is sometimes used to interpret changes in oil prices on the basis of economic, geopolitical and secondary factors affecting the demand for and supply of oil.…”

Section: Introductionmentioning

confidence: 99%

The Effects of Commodities and Financial Markets on Crude Oil

Galyfianakis

Garefalakis

Mantalis

2017

Oil Gas Sci. Technol. – Rev. IFP Energies nouvelles

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-Investigating crude oil price volatility is crucial, because crude oil price certainly affects the economy through many channels. This study applies a Vector Auto Regression (VAR) model to examine the impact of crude oil market on basic commodities, financial markets and industrial production. We find that the production in the US economy has an important effect on the crude oil prices. In addition we noticed a higher increase in crude oil price volatility after a large negative shock, contrary to a large positive one. Also, it was found that, in the short-run, oil price volatility is not influenced by short-run interest rates or industrial production. An adverse linkage between crude oil prices and industrial production has been proved confirming the economic theorists claiming that there is a close linkage between oil price shocks and economic activity. Finally, our findings indicate that there is Granger causality between crude oil and the endogenous variables used in the Granger causality framework.Résumé -L'effet des matières premières et des marchés financiers sur le pétrole brut -L'étude de la volatilité du prix du pétrole brut est cruciale parce que le prix du pétrole brut influe certainement l'économie à travers de nombreux canaux. Cette étude applique un modèle VAR pour examiner l'impact du marché du pétrole brut sur des matières premières de base, sur les marchés financiers ainsi que sur la production industrielle. Nous trouvons que la production dans l'économie des USA a un effet essentiel sur les prix du pétrole brut. Par ailleurs, nous remarquons une augmentation plus haute de la volatilité du prix du pétrole brut après un grand choc pétrolier négatif, contrairement à un choc pétrolier considéré comme positif. En outre, il a été trouvé qu'à court terme, la volatilité du prix du pétrole n'est pas influencée par des taux d'intérêt à court terme ou par la production industrielle. Un lien défavorable entre les prix du pétrole brut et la production industrielle a été prouvé confirmant ainsi les théories des économistes revendiquant qu'il y a un lien étroit entre les chocs du prix du pétrole et l'activité économique. Finalement, nos conclusions indiquent qu'il y a une causalité de Granger entre le pétrole brut et les variables endogènes utilisées dans le cadre de causalité de Granger.

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Determinant Factors of Hong Kong Stock Market

Cited by 16 publications

References 37 publications

Financial crises, Asian stock indices, and current accounts: An Asian-U.S. comparative study

Financial crises, Asian stock indices, and current accounts: An Asian-U.S. comparative study

The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries

The Effects of Commodities and Financial Markets on Crude Oil

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