Economic determinants of evolution in international stock market integration

Bracker, Kevin; Docking, Diane Scott; Koch, Paul D.

doi:10.1016/s0927-5398(98)00007-3

Cited by 177 publications

(184 citation statements)

References 30 publications

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“…This suggests that higher DY and PE positively impact the Indian equity market, bringing in international capital flows and thereby increasing return comovements during periods of economic expansion. While similar findings are reported by some recent research on international market linkages (Aloui et al 2011;Bracker et al 1999;Panchenko and Wu 2009), they do not specifically show the influence of the domestic and international factors on the dependence measure during the expansion and contraction regimes of the economy. The stock market indicator, MC, bears the same sign as the other market indicator, TR.…”

Section: Economic Factor Contributionssupporting

confidence: 86%

Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

Poshakwale

Mandal

2016

Rev Quant Finan Acc

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We study the economic and non-economic sources of stock return comovements of the emerging Indian equity market and the developed equity markets of the US, UK, Germany, France, Canada and Japan. Our findings show that the probability of extreme comovements in the economic contraction regime is relatively higher than in the economic expansion regime. We show that international interest rates, inflation uncertainty and dividend yields are the main drivers of the asymmetric return comovements. Findings reported in the paper imply that the impact of interest rates and inflation on return comovements could be used for anticipating financial contagion and/or spillover effects. This is particularly critical since during extreme market conditions, the tail return comovements can potentially reveal critical information for active portfolio management.Keywords Emerging Indian equity market Á Asset return comovements Á Economic and non-economic sources Á Copula models Á Markov switching stochastic volatility model JEL Classification G15 Á F36 Á E44

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Section: Economic Factor Contributionssupporting

confidence: 86%

Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

Poshakwale

Mandal

2016

Rev Quant Finan Acc

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“…They complete their response within a period of two weeks. Given that our study is based on weekly data, this response can be considered as efficient in line with Beechey et al (2000); Bracker et al (1999) and Roca (1999). Figure 4 further shows that the funds respond to the US equity market shock in a larger manner during regime 2 which means that the funds are more sensitive to the market during the down market regime and less sensitive during the up market state-a situation that is not desirable and therefore indicative of lack of market timing success.…”

Section: Impulse Response Analysismentioning

confidence: 67%

Markov Regime Switching Modelling and Analysis of Socially Responsible Investment Funds

Roca¹,

Wong²,

Tularam³

2011

Journal of Mathematics and Statistics

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Problem statement: An increasing proportion of Australian superannuation funds are being placed in Socially Responsible Investments (SRI). Yet, there is no clarity in the literature as regards the risk and return characteristics of these investments and how their performance is affected by different states of the market and sector. Approach: We examine the sensitivity of Australian SRI Funds to movements of the US and Australian equity markets and SRI sectors under different market conditions through the application of Markov regime switching analysis. Results: We find that Australian SRI Funds are affected by movements in the US equity market and SRI sector during up and down market conditions. The Australian equity market also affects these funds but only during up market state. On the other hand, the Australian SRI sector does not have any significant effect on these funds. Conclusion: Australian SRI Funds are significantly driven by the US equity market and SRI sector and to a lesser extent, by the Australian equity market. The findings indicate that the returns of these funds are sensitive to market as well as sector movements and that Australian SRI Funds managers do not have market timing ability.

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“…Secondly, markets within a short geographic distance tend to display greater co-movement than those farther apart (Bracker, Docking, & Koch, 1999;Pirinsky & Wang, 2006;Chong, Wong, & Zhang, 2011;Eckel, Loffler, Maurer, & Schmidt, 2011). Thirdly, market interdependence increases as economic integration intensifies, such as increased bilateral trade (Bracker, Docking, & Koch, 1999;Johnson & Soenen, 2002;Pretorius, 2002;Tavares, 2009;Walti, 2011;Abbas, Khan, & Shah, 2013).…”

Section: Literature On Financial Market Interdependencementioning

confidence: 99%

“…Thirdly, market interdependence increases as economic integration intensifies, such as increased bilateral trade (Bracker, Docking, & Koch, 1999;Johnson & Soenen, 2002;Pretorius, 2002;Tavares, 2009;Walti, 2011;Abbas, Khan, & Shah, 2013). Fourthly, market interdependence is most likely high in volatile bear markets (Longin & Solnik, 2001;Ang & Bekaert, 2002;Aityan, Ivanov-Schitz, & Izotov, 2010;Jinjarak & Zheng, 2014).…”

Section: Literature On Financial Market Interdependencementioning

confidence: 99%

Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period

Chen

Yao

et al. 2014

Journal of International Financial Markets, Institutions and Mo

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This paper studies China's stock market with respect to financial liberalization and international market interdependence after its accession to the WTO in 2001. Using the multifactor R-squared measure, we derive a normalized index to measure the impact of financial liberalization policies on stock market interdependence between China and the world. Some of China's financial liberalization measures, such as QFII and exchange rate reform, are found to have played an important role in increasing market interdependence. After the US credit crunch in 2007 and the world financial crisis in the following years, some anomalies were observed as China's stock market was more interdependent of the global market than the US stock market in some specific periods. These anomalies may have been related to the former's overreaction and economic overheating.JEL: C22, C38, F36, G15, G18

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Economic determinants of evolution in international stock market integration

Cited by 177 publications

References 30 publications

Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

Markov Regime Switching Modelling and Analysis of Socially Responsible Investment Funds

Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period

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