Informational asymmetries and a multiplier effect on price correlation and trading

Pinheiro, Marcelo

doi:10.1007/s10436-005-0017-8

Cited by 3 publications

(2 citation statements)

References 40 publications

(87 reference statements)

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“…It implies that a significant correlation shift would happen during a crisis, leading to a "correlation breakdown". Claessens and Forbes (2001) provide a survey estimating the correlation between the international markets on the basis of financial contagion (see also Ozsoylev 2008;Pinheiro 2005). The existence of contagion has been a controversial topic of discussion since the 1980s.…”

Section: Review Of the Debate On The Existence Of Contagion And Asymmmentioning

confidence: 98%

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Yue

2011

Ann Finance

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This paper explores the cross-market dependence between five popular equity indices (S&P 500, NASDAQ 100, DAX 30, FTSE 100, and Nikkei 225), and their corresponding volatility indices (VIX, VXN, VDAX, VFTSE, and VXJ). In particular, we propose a dynamic mixed copula approach which is able to capture the time-varying tail dependence coefficient (TDC). The findings indicate the existence of financial contagion and significant asymmetric TDCs for major international equity markets. In some situations, although contagion cannot be clearly detected by stock index movements, it can be captured by dependence between volatility indices. The results imply that contagion is not only reflected in the first moment of index returns, but also the second moment, i.e. the volatility. Results also show that dependence between volatility indices is more easily influenced by financial shocks and reflects the instantaneous information faster than the stock market indices.

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Section: Review Of the Debate On The Existence Of Contagion And Asymmmentioning

confidence: 98%

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Yue

2011

Ann Finance

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“…The concept of stock market integration originates from arbitrage opportunities where equity stocks follow harmonized prices. This stands as long there are no cross-border capital controls, and the system adjusts the excesses (Beck and Stanek, 2019; Peng and Ng, 2012; Garcia-Herrero and Wooldridge, 2007; Pinheiro, 2005; Baele et al , 2004). The countries with the highest financial and economic integration tend to be the eurozone member states.…”

Section: Introductionmentioning

confidence: 99%

Spillover effects and transmission of shocks in Visegrad equity markets

Aliu,

Asero,

Asllani

et al. 2023

SEF

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Purpose Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia. Design/methodology/approach The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted vector autoregression (VAR) methodologies. Daily data series (covering the period from January 2, 2006, to February 2, 2023) are analyzed to assess coherence, time-varying conditional correlation and shock transmission among the V4 Equity Markets. Findings Wavelet analysis reveals that the Slovak equity market does not maintain coherence with three other equity markets. The time-varying conditional correlation documents for the high interdependence during the COVID-19 outbreak of the four indexes. The VAR estimates reveal that shocks in the Warsaw equity market are easily transmitted in Prague and Budapest exchanges but not in Bratislava. The results show that the Slovak equity market tends to be isolated from the influence of other three V4 exchanges. This isolation is attributed to its size, limited volume and adoption of the euro in 2009. The study emphasizes the Slovak financial system’s gravitation toward the Eurozone after euro adoption. Originality/value Notably, the findings provide important signals for local and international investors as the results cover four significant international shocks. The global meltdown of 2008/09, the Greek debt crisis of 2010/11, the COVID-19 pandemic and the Russia-Ukraine war.

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Noisy information and the size effect in stock returns

Vanden

2014

Ann Finance

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Informational asymmetries and a multiplier effect on price correlation and trading

Abstract: Information asymmetries, Financial contagion, Homebias, G11, G12, G15,

Cited by 3 publications

References 40 publications

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Spillover effects and transmission of shocks in Visegrad equity markets

Noisy information and the size effect in stock returns

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