Dynamic Linkages Between the China and International Stock Markets

Fan, Kui; Lu, Zudi; Wang, Shouyang

doi:10.1007/s10690-009-9093-5

Cited by 22 publications

(10 citation statements)

References 34 publications

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“…The potential benefit that will be got by international diversification motivates stock markets in some countries to identify their integration level. For instance Fan et al (2009) invests integration level of China's stock market with International stock market which consist of America and England, it is concluded that in a short term, the effect from market integration is pretty great in boom regime condition and weak in depression regime condition. The integration of capital market between countries caused increase or decrease of return level and the risk in the integrated countries will be moved on both sides.…”

Section: Introductionmentioning

confidence: 99%

The Integration of International Capital Market from Indonesian Investors’ Perspective: Do Integration Still Give Diversification Benefit

Amizuar¹,

Ratnawati²,

Andati³

2017

IJEF

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The objective of this study is to analyze whether, despite the international equity liberalization and growing world financial integration, Indonesian investors can be beneficial from international diversification. The study covers both emerging markets (Indonesia, Philippines, Malaysia, Thailand, Korea, China, and Taiwan) and developed markets (USA, UK, Japan, Singapore, and Australia) over the period of January 1 The analysis provides the evidence of integration berween Indonesian market and international markets. The findings suggest that Indonesian investors have more chance to gain international diversification benefit from developed markets rather than emerging markets as the Indonesian market has low level of integration compared to developed markets.

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Section: Introductionmentioning

confidence: 99%

The Integration of International Capital Market from Indonesian Investors’ Perspective: Do Integration Still Give Diversification Benefit

Amizuar¹,

Ratnawati²,

Andati³

2017

IJEF

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“…the use of the dummy variable in the econometric models can always increase the model fit (Crane and Nourzad, 1998;Fan et al, 2009). Based on eq.…”

Section: Methodsmentioning

confidence: 99%

Modelling Housing Supply and Monetary Policy Within the Context of Global Economic Turbulence

Liu

London

2013

International Journal of Strategic Property Management

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Housing supply is an essential component of the property sector. compared with an increasingly strong housing demand, the growth rates of total housing stock in australia have exhibited a downward trend since the end of the 1990s. over the same period, the significant adjustments in the Australian monetary policy were being implemented under a turbulent global economic climate. this research aims to identify the relationship between housing supply and monetary policy within the context of global economic turbulence by a vector error correction model with a dummy variable. the empirical evidence indicates that the monetary policy changes and global economic turmoil can significantly affect the supply side of the housing sector in australia. the models developed in this study assist policy makers in estimating the political impacts in the global context. REFERENCE to this paper should be made as follows: liu, J. and london, K. (2013) Modelling housing supply and monetary policy within the context of global economic turbulence,

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“…In the domestic category, the focus is on how changes in interest rates (Jawadi et al, 2010), exchange rates (Walid et al, 2011), monetary supplies (Chao et al, 2011), and GDP (Dermirhan et al, 2011) can have substantial impacts on domestic stock markets. In the foreign category, the focus is mainly on the co-movement among certain international stock markets (Fan et al, 2009;Oh et al, 2010). However, especially in the domestic category, because of data limitations, only monthly data can be applied for analyses (Liu & Shrestha, 2008).…”

Section: Reasons For Substantial Slides Without Warning In the Stock mentioning

confidence: 99%

Short-term Technical Predictive Ability in the Taipei Stock Market

2015

RWE

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Based on the principle of supply and demand, the rules of marginal change, the hypothesis of log-normal distribution, and the two-dimensional rules of performance evaluation, an effective WINDEX can be created to determine the momentum behind the price or index movement. Accordingly, by using the Taipei stock market as an example, not only a simple bounded WINDEX approach can be practiced to generate significant performance for the sample stock, but also an early warning system can be effectively constructed in the market. The phenomenon of knowledge asymmetry is a natural outcome of professional cooperation. Constructing an appropriate WINDEX involves its own professional knowledge. It involves little regarding market efficiency in information and more regarding knowledge asymmetry. Once this type of professional knowledge begins to spill over, its effect must be marginally diminished." plane. The next task is merging both measures into the momentum of price movement, and this task must correspond to the method of evaluating stock performance. When changes in either E or  can be independent and possibly contradictive, a standard tool of evaluation must be applied to deliver a final conclusion. Two-dimensional Rules of DominanceBecause both  and E are heterogeneous products, the easiest way to merge them is to apply division (Yu, 2012).

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Dynamic Linkages Between the China and International Stock Markets

Abstract: Chinese stock market, Markov-switching models, Long/short term linkage, Cointegration, Spillover effect,

Cited by 22 publications

References 34 publications

The Integration of International Capital Market from Indonesian Investors’ Perspective: Do Integration Still Give Diversification Benefit

The Integration of International Capital Market from Indonesian Investors’ Perspective: Do Integration Still Give Diversification Benefit

Modelling Housing Supply and Monetary Policy Within the Context of Global Economic Turbulence

Short-term Technical Predictive Ability in the Taipei Stock Market

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