Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Aamir, Muhammad; Shah, Syed Zulfiqar Ali

doi:10.3390/jrfm11030032

Cited by 8 publications

(10 citation statements)

References 23 publications

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“…They get affected by economic fundamentals and the global economic shocks [1]. With globalization, the international capital flow among the markets has increased, which make different markets affect each other's performance [2][3][4]. Since the late 1990s, the global economies have been affected by the economic crisis which resulted in increased co-movements among the stock markets around the globe [5].…”

Section: Introductionmentioning

confidence: 99%

“…The change in the stock market comovement has changed the investing strategies of the portfolio investors around the world, thus making the stock market interconnection a subject of interest for the researchers. Many pieces of research have analyzed the stock market movements giving special reference to Mexican peso-devaluation (1994), the East Asian financial crisis (1997), global financial crisis (2009) and so on, which can be found widely in the literature [2][3][4]6]. Besides the individual researchers the global economic and monitory institutions like the International Monetary Fund (IMF), Banks for International Settlements (BIS), Financial Stability Board (FSB) and other regulatory authorities have studied the nexus of the international stock markets with the standpoint of the systemic risk which was underestimated across the board before the crisis.…”

Section: Introductionmentioning

confidence: 99%

“…Another reason for choosing China and other Asian emerging markets is the regional proximity. The growing body of literature has derived many theoretical justifications explaining the stock market correlation such as the theory of stock market comovement and the stock market interdependence based on the law of one price (LOP) and Modern portfolio theory (MPT) [2][3][4]. These theories inculcate to diversify the portfolio among the international markets [6,10,11].…”

Section: Introductionmentioning

confidence: 99%

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Stock market comovements among Asian emerging economies: A wavelet-based approach

et al. 2020

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Stock market, is one of the most important financial market which has a close relationship with a country's economy, due to which it is often called the barometer of the economy. Over the past 25 years, the stock markets have been affected by different global economic shocks. Various researchers have analyzed different aspects of these effects one by one, however, this study is an assessment of stock market interrelationship of emeriging Asian economies which include most of the East Asian, and Southeast Asian emerging economies with special focus on China for past decades during which different crisis occurred. We used Morgan Stanley capital international (MSCI) daily indices data for each stock market and compared Chinese stock market with the stock markets of India, Pakistan, Malaysia, Singapore, and Indonesia. We analyzed the data through the individual wavelet power spectrum, cross-wavelet transform and wavelet coherence, to determine the correlation and volatility among the selected stock markets. These model have the power to analyze co-movements among these countries with respect to both frequency and time spaces. Our findings show that there are co-movement patterns of higher frequencies during the crises periods of 1997, 2008 and 2015. The dependency strength among the considered economies is noted to increase in the crisis periods, which implies increased short-and long-term benefits for the investors. From a financial point of view, it has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR (Value at Risk) levels of a multi-country portfolio. Furthermore, the stock market of China shows a high correlation with the other six Asian stock emerging markets in both high and low-frequency spectrums. The association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades. These findings are useful for investors, portfolio managers and the policymaker around the globe.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Stock market comovements among Asian emerging economies: A wavelet-based approach

et al. 2020

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“…Aamir and Ali Shah (2018) [20] analyze the period between 2001 and 2005 in relation to the Pakistan and Asian emerging economies co-movements through Phillips-Perron and Dickey-Fuller tests. The authors conclude that there are several important forces of integration between the Asian emerging stock market and Pakistan.…”

Section: Literature Reviewmentioning

confidence: 99%

Econophysics Techniques and Their Applications on the Stock Market

2022

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Exact sciences have achieved many results, validated in practice. Although their application in economics is difficult due to the human factor involved, the lack of conservation laws, and experimental difficulties, it must be highlighted that the consistent bibliography gathered in recent years in this field encourages the econophysics approach. The objective of this article is to validate and/or define a few stock strategies, based on known results from mathematics, physics, and chemistry. The scope of this research demonstrates that statistics (in portfolio theory), geometry (in technical analysis), or financial mathematics can be used in the capital market. Many of the exact science results corresponded to strategies applicable to investors. Unlike the material world, financial markets have additional components that must be considered: human psychology, sociology at the firm level, and behavioral unpredictability. The findings obtained in this research enable the enormous vastness of the exact science results that can be a fertile source for new investment strategies. This article concludes that in order for mathematical theories to be applied to the stock market, it is essential that the start-up conditions (initial assumptions) are validated in the market.

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“…The direct impact includes the downfall of financial institutions, and as a result, the SM crashes which leads to significant credit crunches. In the past, numerous studies have examined the SM movements, focussing on the Mexican peso-devaluation (1994), the East Asian financial crisis (1997) and the global financial crisis (2009) amongst others, which are presented and elaborated upon in the literature review section (Aamir & Ali Shah, 2018;Costa et al, 2019). These inquiries consistently point towards the disordered local markets, as the preliminary source of the crises, leading to surplus market volatility and SM interconnections (Umar, Ji, et al, 2021;.…”

Section: Introductionmentioning

confidence: 99%

Co-movement dynamics of US and Chinese stock market: evidence from COVID-19 crisis

Song

Xia

Basheer

et al. 2021

Economic Research-Ekonomska Istraživanja

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This paper aims to examine the co-movement between the two economic powers, namely the USA and China. The authors are mainly interested in examining the dynamics of co-movements during, and in the pre-covid periods. Additionally, they have aimed to examine the volatility spillover between USA and China, during and in the pre-covid periods. In order to achieve the research-based objectives, advanced econometrics models have been applied to the data from July1, 2010, to April 30, 2021. The results show that the sample market is integrated in the long run. The results also indicate that the behaviour of the Chinese market is same as the US market, and offers negligible opportunities for investors for diversification during this time. The findings indicate that the Ganger Causality between the stock markets during crisis is significantly higher than the pre-crisis period. The results of EGARCH model confirm the presence of asymmetric volatility spillover effects between the US and Chinese markets, during the considered time periods. This study also examines the co-movement in China, grounded upon the robust approach that facilitates examining the dependence structure between the sample variables. The findings offer valuable understanding for investors who are looking for investment diversification opportunities worldwide.

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Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Cited by 8 publications

References 23 publications

Stock market comovements among Asian emerging economies: A wavelet-based approach

Stock market comovements among Asian emerging economies: A wavelet-based approach

Econophysics Techniques and Their Applications on the Stock Market

Co-movement dynamics of US and Chinese stock market: evidence from COVID-19 crisis

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