Determinants of Stock Market Integration

Dorodnykh, Ekaterina

doi:10.1057/9781137381705_4

Cited by 3 publications

(3 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Extensive studies have concluded that stock markets are correlated across borders, and the performance of one stock market impacts the rest of the stock market. Stock market correlation (SMC) or integration is sensitive to many factors (Arestis et al, 2001;Bracker et al, 1999;Chavali et al, 2021;Dorodnykh, 2014b;Engelberg & Parsons, 2011;Eun & Shim, 1989;Ferguson et al, 2015;Johnson & Soenen, 2003;Levine & Zervos, 1998;Narayan et al, 2004;Panda, 2015;Tetlock, 2007) Ferguson et al (2015 found that the tone and volume of firm-related news provide sufficient information about future stock returns. They worked on UK media from 1981 to 2010 and found that tone and volume predict next period abnormal returns.…”

Section: Introductionmentioning

confidence: 99%

“…In literature, substantial work has been done on stock market correlation and comparatively less on determinants of stock market correlation. Many scholars have found the significant stock market correlations across world stock exchanges and among national stock exchanges (Arestis et al, 2001;Bracker et al, 1999;Dorodnykh, 2014b;Eun & Shim, 1989;Johnson & Soenen, 2003;Levine & Zervos, 1998;Narayan et al, 2004;Panda, 2015). Dorodnykh (2014a) shows that financial harmonization, cross-membership agreements, for-profit corporate structure, trading engine, and regional integration are important drivers of stock exchange integration.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

The Spillover Effect of Global Uncertainty on BRICS Stock Markets

Nawaz¹,

Bhutto²,

Khan³

2023

Etikonomi

View full text Add to dashboard Cite

Using monthly data spanning from 1993 to 2021 and employingthe DCC-GARCH model, this study examines the role ofEconomic Policy Uncertainty (EPU) as a potential exogenousfactor impacting the correlation of Brazil, Russia, India, andChina (BRIC) economies’ stock markets, which is new to theliterature. Further, this dynamic correlation series is used as adependent variable while EPU of BRIC and USA is used as anindependent variable by utilizing the autoregressive distributedlag (ARDL) model. The study finds a positive and significantshort-run as well as the long-run impact of Russia’s and theUS’s EPU on their stock markets. In other words, as the EPUof the USA increases, the correlation of BRIC with the USAStock Market and the World Stock Market increases, suggestingminimum diversification opportunities for the investors. Thestudy also recommends that investors diversify their portfoliosby considering cross borders assets avenues to gain maximumreturns and reduce portfolio risk.JEL Classification: E44, C32, E52, E60, E62, C58How to Cite:Nawaz, A. D., Bhutto, N. A., & Khan, S. (2023). The Spillover Effect of Global Uncertainty on BRICS Stock Markets. Etikonomi, 22(1), 45–64. https://doi.org/10.15408/etk.v22i1.24617.

show abstract

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The Spillover Effect of Global Uncertainty on BRICS Stock Markets

Nawaz¹,

Bhutto²,

Khan³

2023

Etikonomi

View full text Add to dashboard Cite

show abstract

“…Bracker et al (1999) attribute the extent of integration across international capital markets directly to the degree of the economic integration of the underlying countries. Stock market characteristics may also play a role in determining the extent of integration among stock markets (Dorodnykh, 2014). These characteristics, such as stock market size, common industry constituents, and levels of liquidity, may determine the stage of development of a stock market.…”

Section: Introductionmentioning

confidence: 99%

Stock market integration in Africa: Further evidence from an information‐theoretic framework

Nyakurukwa

Seetharam

2022

International Finance

View full text Add to dashboard Cite

This study revisits stock market integration in Africa using an information-theoretic framework that quantifies the flow of information between exchanges. We use daily return data for seven MSCI-classified African stock exchanges between 2011 and 2021. As Bitcoin has become an important asset class on the African continent, we also explore whether this cryptocurrency confers any diversification benefits. Our method holds that stock markets are integrated if there is a significant flow of information between exchanges. The results reveal a statistically insignificant flow of information among African stock exchanges, and for the few cases in which information flow is statistically significant, the magnitudes are low.South Africa is the most influential stock market, as it transmits most of the total transfer entropy (informational value) in the system. We also observe that African stock exchanges are weakly integrated with Bitcoin.

show abstract