Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets

Gulzar, Shazia; Kayani, Ghulam Mujtaba; Xia, Hui; Ayub, Usman; Rafique, Amir

doi:10.1080/1331677x.2018.1550001

Cited by 86 publications

(79 citation statements)

References 81 publications

(107 reference statements)

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“…To test this hypothesis, the LR-statistic is used. We consider the Akaike information criterion (AIC) to select the optimal lag order of a VAR (p) model in Equations (6) and (7). Subsequently, we choose the best lag while considering the lowest AIC.…”

Section: Granger Causality Test Methodsmentioning

confidence: 99%

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Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

Yamaka

Maneejuk

2020

Mathematics

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This study aims to investigate the causality and dependence structure of gold shocks and Asian emerging stock markets. The positive and negative shocks of gold prices are quantified, and Granger causality-based Vector autoregressive and Copula approaches are employed to measure the causality and contagion effect, respectively, between the positive and negative gold shocks and Asian emerging stock markets’ volatilities. In addition, the nonlinear link between gold and stock markets is of concern and this motivates us to propose a Smooth Transition Dynamic Copula that allows for the structural change in time-varying dependence between gold shocks and Asian stock markets’ volatilities. Several Copula families are also considered, and the best-fit Copula model is used to explain the correlation or contagion effects. The findings of the study show that there is some significant causality between gold shocks and Asian stock markets’ volatilities in some parts of the sample period. We also observe a stronger correlation during the global financial crisis when compared to the pre- and post-crisis periods. In addition, the tail dependence is found between Indian stock and negative gold shock and between Korean stock and negative gold shock, which indicated the existence of the risk contagion effects between gold and these two stock markets.

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Section: Granger Causality Test Methodsmentioning

confidence: 99%

“…The definitions of these two words and their difference are explained in Gulzar at al. [7] and Xu and Gao [8].…”

Section: Introductionmentioning

confidence: 99%

Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

Yamaka

Maneejuk

2020

Mathematics

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“…There is a large literature on the interdependence of financial markets (e.g. Gulzar, Kayani, Xiaofeng, Ayub, & Rafique, 2019;Marfatia, 2017;Newaz & Park, 2019), but many of these studies, however, analysed mostly West European markets (Boubaker & Raza, 2016;Burzala, 2016;Nikkinen, Piljak, & Rothovius, 2019). The motivation for choosing these emerging economies is that their financial markets are fully consistent with the world's major financial markets, with strong chances of interdependence and contagion effects on these Eastern European economies.…”

Section: Introductionmentioning

confidence: 99%

The role of the macroeconomic environment in shaping capital market co-movement in C.E.E. countries

Onofrei

Cărăuşu

Lupu

2019

Economic Research-Ekonomska Istraživanja

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This article revisits the relationship between the contagion and co-movement of 10 Central and Eastern European (C.E.E.) financial markets in relation to two major Western European capital markets using wavelet-based methodology. Based upon an A.R.D.L. panel model we found that foreign monetary policy, national exchange rate and economic cycle play a key role in both shortand long-term co-movement between capital markets. While a stable economic environment coupled with a strong national currency can reduce the degree of short-term co-movement between capital markets, changes in foreign monetary policy could increase the effect of external shocks. Furthermore, we find that inflation, foreign exchange rate and foreign economic cycle play an important role after longer periods. By ensuring a stable economic environment national authorities can help mitigate the effects of external shocks on national capital markets.

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“…Both ICBC and BOC are listed Chinese banks. China and Pakistan are emerging Asian financial markets with good neighborly relations and close cooperation [24]. In emerging markets, the financing and lending role of the banking sector is utmost important for ensuring a sustained economy [17].According to the World Bank, bank capital to assets ratio in China grows from 6.60% to 8.56%, while Pakistan witnesses a downward trend (see Figure 1).…”

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confidence: 99%

Should Listed Banks Be Concerned with Intellectual Capital in Emerging Asian Markets? A Comparison between China and Pakistan

Haris

Yao

2019

Sustainability

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The purpose of this study is to determine and compare the relationship between intellectual capital (IC) and banks' performance in China and Pakistan. The data are acquired from listed banks in these two countries during 2010-2018. The Value Added Intellectual Coefficient (VAIC ™ ) method is applied as a measure of IC. The results show that capital employed efficiency (CEE) makes the highest contribution to bank performance in both countries. In addition, the profitability of listed Chinese banks is driven by structural capital efficiency (SCE), while human capital efficiency (HCE) positively affects bank profitability and productivity in Pakistan. In addition, we find that the lagged effect of IC has a positive impact on future bank profitability. This study supports greater investment in IC in order to further improve bank performance in emerging Asian markets.Sustainability 2019, 11, 6582 2 of 23 infrastructure, which can bring great facility for companies. Following this, for the ease of channelizing the business transactions, the Bank of China (BOC) commenced its first branch in 2017 in Karachi, the financial capital city of Pakistan. However, before this only the Industrial and Commercial Bank of China (ICBC) operated in Pakistan. Both ICBC and BOC are listed Chinese banks. China and Pakistan are emerging Asian financial markets with good neighborly relations and close cooperation [24]. In emerging markets, the financing and lending role of the banking sector is utmost important for ensuring a sustained economy [17].According to the World Bank, bank capital to assets ratio in China grows from 6.60% to 8.56%, while Pakistan witnesses a downward trend (see Figure 1). Although the nonperforming loans to total gross loans in Pakistan gradually declines over the period 2014-2017, this ratio in China is much lower than that in Pakistan (See Figure 2). Haneef et al. [25] concluded that nonperforming loans have an adverse effect on the performance of banks in Pakistan. These indicate that the Chinese banking industry is much healthier than the Pakistani banking industry, and Pakistani banks operate with relatively higher risk exposure. However, the Pakistani banking system is more open as many foreign banks operating in Pakistan compared to the Chinese banking system [26]. Recently, China has revised the Regulations on the Administration of Foreign-funded Banks to lower the threshold of establishing foreign branches in China, which can stimulate the vitality of banking sector and improve the competitiveness of Chinese and foreign financial institutions. The opening up of the Chinese banking sector will provide opportunities for Pakistani banks to establish their branches in China. Considering that the competition among banks will become severer with financial liberalization, banks will expand their operation in the international market [27]. It will require that banks fully utilize local resources to improve the competitiveness under different business environment. We choose these two countries for comparison, not ...

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Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets

Cited by 86 publications

References 81 publications

Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

The role of the macroeconomic environment in shaping capital market co-movement in C.E.E. countries

Should Listed Banks Be Concerned with Intellectual Capital in Emerging Asian Markets? A Comparison between China and Pakistan

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