Integration of 22 emerging stock markets: A three-dimensional analysis

Graham, Michael; Kiviaho, Jarno; Nikkinen, Jussi

doi:10.1016/j.gfj.2012.01.003

Cited by 123 publications

(72 citation statements)

References 35 publications

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“…However, Graham et al (2012) indicate that the degree of co-movement is not constant over time. It is indeed hard to assume that long-run relationships among stock market indices remain constant.…”

Section: Introductionmentioning

confidence: 95%

“…had a far higher economic shock than expected given its health impact (Barreto, 2003;Blendon, Benson, DesRoches, Raleigh & Taylor-Clark, 2004). Additionally, examining global stock market integration is a central issue in finance given the implied consequences for asset allocation decisions and portfolio diversification (Graham, Kiviaho & Nikkinen, 2012). A strongly integrated international stock market implies little or no international diversification benefits (Graham et al, 2012).…”

Section: Introductionmentioning

confidence: 99%

“…Additionally, examining global stock market integration is a central issue in finance given the implied consequences for asset allocation decisions and portfolio diversification (Graham, Kiviaho & Nikkinen, 2012). A strongly integrated international stock market implies little or no international diversification benefits (Graham et al, 2012). Internationally-segmented stock markets, on the other hand, enable portfolio managers to diversify and take advantage of the differences in the various markets (Graham et al, 2012).…”

Section: Introductionmentioning

confidence: 99%

“…A strongly integrated international stock market implies little or no international diversification benefits (Graham et al, 2012). Internationally-segmented stock markets, on the other hand, enable portfolio managers to diversify and take advantage of the differences in the various markets (Graham et al, 2012). Market integration related studies have looked at specific events such as financial crises (Chevapatrakul & Tee, 2014;Răileanu-Szeles & Albu, 2015), the European Union (or Euro monetary union) implementation (Christiansen, 2014;Ogrokhina, 2015), political crises (Frijns, Tourani-Rad & Indriawan, 2012), and air crashes (Ho, Qiu & Tang, 2013), but it remains an open question as to whether these unexpected crises will weaken or strengthen the long-run relationship in aggregate stock price indices within an integrated market.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Chen

Lee

Lin

et al. 2018

Economic Research-Ekonomska Istraživanja

120

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The purpose of this study is to examine the effect of the Severe Acute Respiratory Syndrome (S.A.R.S.) epidemic on the long-run relationship between China and four Asian stock markets. To this end, we first employ the advanced smooth time-varying cointegration model to investigate the existence of a time-varying cointegration relation among these markets and then employ the difference-indifferences approach to analyse whether or not the S.A.R.S. epidemic impacted the long-run relation between China and these four markets during the period 1998-2008, covering 5 years before and after the S.A.R.S. outbreak. Our results support the existence of a time-varying cointegration relation in the aggregate stock price indices, and that the S.A.R.S. epidemic did weaken the long-run relationship between China and the four markets. Therefore, stockholders and policy makers should be concerned about the influence of catastrophic epidemic diseases on the financial integration of stock market in Asia.

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Section: Introductionmentioning

confidence: 95%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Chen

Lee

Lin

et al. 2018

Economic Research-Ekonomska Istraživanja

120

View full text Add to dashboard Cite

show abstract

“…The scale of the financial market could affect the stock price co-movement by the analyst coverage written by the analysts because the analyst activities are associated with the degree of the firm-specific information incorporating into the stock price(K Chan, A Hameed, 2006) [20]. As the practitioners own professional knowledge about the security market, their opinion will have great influence on the public by analyst coverage, particularly on the arbitrageurs without reason and the typical investors (Xiao-Lin Li, Tsangyao Chang, Stephen M. Miller, Mehmet Balcilard, Rangan Gupta, 2015) [4].…”

Section: The Scale Of the Financial Marketmentioning

confidence: 99%

The Analysis on Stock Price Synchronicity in China

Ye¹

2017

dtssehs

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This paper focuses on the stock price synchronicity in China. By constructing the variables and measuring the regression, we find that the synchronous stock price movement is pretty high in China. The synchronicity of stock price movement between the firm-specific stock and the market is measured by R2 in the market model. We propose that the system risks coming from the specific political policies and surrounding in China, the unsound property right, the market opening level, the scale of the financial market and the corporation itself may be the main factors in China attributed to the stock price co-movements in China.

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Co-movements and contagion between international stock index futures markets

Albulescu

Goyeau

Tiwari³

2016

Empir Econ

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International audienceIn this paper, we explore the co-movements and contagion between six international stock index futures markets. In contrast to the empirical studies which dominate the literature and focus on the case of spot markets, relatively little is known about the returns and the volatility dynamics of the futures markets. To address this deficiency, we employ a time–frequency approach and discover that the co-movements between the international markets manifest especially in the long run. Nevertheless, the contagion phenomenon associated with the very short-run horizon is present in particular in the case of the European markets, due to their higher level of integration. The rolling wavelet correlation increases after severe turbulence episodes, but fluctuates over time and across frequencies. Our findings can guide the international investors in stock index futures markets to accurately diversify their portfolio in crisis periods.Dans cet article, nous explorons les co-mouvements et la contagion entre six marchés de contrats d'avenir d'indice boursier internationaux. Par contraste avec les études empiriques qui dominent la littérature et se concentrent sur le cas des marchés au comptant, relativement on en sait très peu sur les retours et la dynamique de volatilité des marchés de contrats d'avenir. Pour aborder ce manque, nous employons une fréquence de temps qui s'approchent et découvrent que les co-mouvements entre les marchés internationaux se manifestent particulièrement à long terme. Néanmoins, le phénomène de contagion associé au même horizon de course courte est présent en particulier dans le cas des marchés européens, en raison de leur niveau plus haut d'intégration. Les augmentations de corrélation d'ondelette se roulant après des épisodes de turbulence graves, mais fluctuent au fil du temps et à travers des fréquences

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Integration of 22 emerging stock markets: A three-dimensional analysis

Cited by 123 publications

References 35 publications

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

The Analysis on Stock Price Synchronicity in China

Co-movements and contagion between international stock index futures markets

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