Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods

Mobarek, Asma; Muradoğlu, Gülnur; Mollah, Sabur; Hou, Ai Jun

doi:10.1016/j.jfs.2016.03.003

Cited by 65 publications

(49 citation statements)

References 68 publications

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“…The coefficient estimate for the GDP growth rate differential between Pakistan and Thailand is significant and negative, showing that the lower GDP growth rate difference between Pakistan and Thailand results in higher co-movement. Such results are in line with the results of earlier studies like Johnson and Soenen (2003), and Mobarek et al (2016). These earlier researchers report that the GDP growth rate differential of two economies is significant and negatively associated with stock market co-movement.…”

Section: Pakistan and Thailandsupporting

confidence: 92%

“…(2) Modern research in stock market integration has not adequately studied the driving forces of stock market co-movement, especially in Asia and in Islamic emerging economies (Karim and Majid 2017). (3) Existing research on stock market co-movement has not adequately focused on whether the extent of bilateral trade between two different countries is expected to explain co-movement between the stock markets of these countries (Mobarek et al 2016). (4) Existing research on stock market co-movement has not adequately focused on whether or not the similarity in macroeconomic variables between emerging economies will result in the co-movement between these countries (Mobarek et al 2016).…”

Section: Research Gapmentioning

confidence: 99%

“…(4) Existing research on stock market co-movement has not adequately focused on whether or not the similarity in macroeconomic variables between emerging economies will result in the co-movement between these countries (Mobarek et al 2016). (5) Current research on stock market co-movement has not adequately focused on whether or not the volatility in the bilateral exchange rate and absolute changes in the bilateral exchange rate between emerging economies will result stock market co-movement between these countries (Mobarek et al 2016). …”

Section: Research Gapmentioning

confidence: 99%

“…Recently, results of different studies on stock market interdependence reveal a substantial degree of integration (Mobarek et al 2016). Al Nasser and Hajilee (2016) studied stock market integration among emerging economies (Brazil, China, Mexico, Russia, and Turkey) and developed economies (U.S., U.K. and Germany).…”

Section: Empirical Studies Showing the Cross Market Co-movementmentioning

confidence: 99%

“…Results of the panel data estimation have found that only GDP growth differential and inflation differential are significant in explaining the co-movement between the stock markets of Islamic countries. Another study related to the driving forces of stock market co-movement was conducted by Mobarek et al (2016) and reported that import dependence as well as size differential of stock markets are significant in explaining the co-movement between the returns of stock markets. In addition to these determinants, GDP growth rate differential and time trend also has a significant relationship with the co-movement of stock market.…”

Section: Empirical Evidences Of Determinants Of Stock Market Co-movementmentioning

confidence: 99%

See 4 more Smart Citations

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

Aamir

Shah

2018

JRFM

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This study analyzes the determinants of stock market co-movement between Pakistan and Asian emerging economies for the period 2001 to 2015. Augmented Dickey and Fuller (ADF) and Philips-Perron (PP) tests are applied to check co-integration between their stock markets. Results of this study reveal that there is long-term integration between the stock market of Pakistan and the stock markets of China, India, Indonesia, Korea, Malaysia and Thailand. This study reports the driving forces of the co-movement between the Pakistan and Asian emerging markets where co-integration is found. Results of the panel data reveal that there are significant underlying forces of integration between Pakistan and each Asian emerging stock market. The findings of this study have significant implications for policy makers in Pakistan who are designing strategies for macroeconomic harmonization and stability of the country's economy against financial shocks.

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Section: Pakistan and Thailandsupporting

confidence: 92%

Section: Research Gapmentioning

confidence: 99%

Section: Research Gapmentioning

confidence: 99%

Section: Empirical Studies Showing the Cross Market Co-movementmentioning

confidence: 99%

Section: Empirical Evidences Of Determinants Of Stock Market Co-movementmentioning

confidence: 99%

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

Aamir

Shah

2018

JRFM

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A large constrained time‐varying portfolio selection model withDCC‐MIDAS: Evidence from Chinese stock market

Zuo

Jiang

et al. 2020

Int. J Fin Econ

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To solve a large portfolio selection, we propose a novel norm constrained time‐varying minimum variance model with DCC‐MIDAS, labelled as NC‐MVP‐DCC‐MIDAS. It applies the DCC‐MIDAS model to improve the estimation of dynamic correlations among financial assets by exploiting rich information contained in mixed frequency data. Additionally, it imposes norm constraints on the minimum variance portfolio with the elastic‐net penalty to pick a reasonable number of assets and prevent extreme positions in the resulting portfolio. Its superiority is illustrated via empirical studies on the construction of optimal sparse and stable portfolios with the constituent stocks in the Shanghai Stock Exchange (SSE) 50 Index of China.

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Financial contagion in real economy: The key role of policy uncertainty

2020

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This paper studies the spread of the Subprime Crisis and the European Sovereign Debt Crisis from Eurozone countries to the real economy by examining 10 sectors in major developed and emerging stock markets. First, we employ Cappiello et al., Journal of Financial Economics, 2006, 4, 537-572 model and copula functions to detect and cross-check the correlations and the contagion thereafter. Second, we uncover evidence of correlation behaviour between policy uncertainty indexes and stock market returns. The results demonstrate that no country and sector was immune to spillover effects, highlighting the limited effectiveness of policy makers for both the Subprime Crisis and the European Sovereign Debt Crisis. The empirical application provides evidence of significant volatility and tail dependence from the financial sector to many real sectors in the U.S. economy. Additionally, there is clear evidence that certain sectors, particularly Healthcare, Telecommunications, Utilities and Technology, were less severely affected by the crisis, as observed by Baur,

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Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods

Cited by 65 publications

References 68 publications

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

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

A large constrained time‐varying portfolio selection model withDCC‐MIDAS: Evidence from Chinese stock market

Financial contagion in real economy: The key role of policy uncertainty

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