Inter- and intra-regional analysis on spillover effects across international stock markets

Lau, Chi Keung Marco; Sheng, Xin

doi:10.1016/j.ribaf.2018.04.013

Cited by 16 publications

(8 citation statements)

References 37 publications

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“…China stock market's unpredictability points opted out position of the country's stock market. Lau and Sheng (2018) validates China's market is the least integrated with other markets worldwide. This country can be regarded as an attractive destination for investors (Yarovaya and Lau, 2016).…”

Section: Discussionmentioning

confidence: 87%

Examining Time-Varying Integrity and Interrelationships Among Global Stock Markets

Altinbas¹

2020

IJoES

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This paper examines co-movements and interrelationships among 6 emerging and 5 developed stock market returns between period 2001-2017. First, principal components are extracted from returns. Results show that, for the period analyzed, there is no strong global stock market integration and there isn't any change in patterns of correlations of returns except short-term disturbances in global financial crisis time. Second, partial least squares regression models are used for predicting each stock market returns with other stock markets' current and all markets' up to three month lagged returns. Results identify divergence between developed and emerging markets and greater number of latent transmission channels among former ones. Findings indicate a strong integrity among global stock markets is not yet appeared and considered together with previous studies, today's international market structure can be attributed to last two decades of 20th century. International investors still may benefit from international portfolio diversification opportunities.

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Section: Discussionmentioning

confidence: 87%

Examining Time-Varying Integrity and Interrelationships Among Global Stock Markets

Altinbas¹

2020

IJoES

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“…The earlier studies illustrated slight integration and spillover effect between the stock markets (Ko -Lee 1991;Panton et al 1976;Kim et al 2015;Bhar -Nikolova 2009). However, most recent investigations indicated strong interdependence between them because of the development of advanced technology and financial deregulations of the financial markets (Jebran et al 2017;Oki ci c 2015;Johsi 2011;Baum€ ohl et al 2018;Mensi et al 2018;Morales Zumaquero -Sosvilla Rivero 2018;Caloia et al 2018;Alotaibi -Mishra 2015;Lau -Sheng 2018;BenSaı €da et al 2018;Tiwari et al 2018;Bala -Takimoto 2017;Ghouse -Khan 2017;Ahmed -Huo 2018;Naresh et al 2018;Huo -Ahmed 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?

Hung

2020

AOecon

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This study investigates the transmission mechanism of price and volatility spillovers across the Budapest, Warsaw, Prague, Bucharest, and Zagreb stock markets in the pre- and post-financial crisis periods under the framework of the multivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. By using daily closing prices, the results highlight certain interesting findings. I found evidence of price spillovers of the intraregional linkages among the stock price movements in five countries. This analysis shows the existence of bi-directional volatility spillovers between stock markets of the Czech Republic and Croatia in the pre-crisis period, and between Hungary and Romania in the post-crisis period. Also, there are significant volatility spillovers from Croatia to Poland and from Poland to the Czech Republic during two periods. The volatility is found to respond asymmetrically to innovations in other markets. The findings also indicate that the stock markets are more substantially integrated into crisis, as well as the persistence of volatility spillovers between the stock markets increases, and the financial stock markets become more integrated after the crisis period.

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“…The earlier studies illustrated slight integration and spillover effect between the stock markets (Ko and Lee, 1991;Panton et al 1976;Kim et al 2015;Bhar and Nikolova, 2009). However, most recent investigations indicated strong interdependence between them because of the development of advanced technology and financial deregulations of financial markets (Johsi, 2011;Okicic, 2015;Alotaibi and Mishra, 2015;Jebran et al 2017;Huo and Ahmed, 2017;Ghouse and Khan, 2017;Bala and Takimoto, 2017;Jebran et al 2017;Baumohl et al 2018;Mensi et al 2018;Morales Zumaquero and Sosvilla Rivero, 2018;Caloia et al 2018;Lau and Sheng, 2018;BenSaida et al 2018;Tiwari et al 2018;Ahmed and Huo, 2018;Naresh et al 2018;Xuan Vinh and Ellis, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

“…There have been numerous investigations among stock markets in different countries to identify the transmission mechanism (Jebran et al 2017;Huo and Ahmed, 2017;Bala and Takimoto, 2017;Ghouse and Khan, 2017;Baumohl et al 2018;Mensi et al 2018;Morales Zumaquero and Sosvilla Rivero, 2018;Caloia et al 2018;Lau and Sheng, 2018;BenSaida et al 2018;Tiwari et al 2018;Ahmed and Huo, 2018;Naresh et al 2018;Xuan Vinh and Ellis, 2018).…”

Section: Overviewmentioning

confidence: 99%

“…Their results revealed that the new stock connect contributed to the increasing importance of the Chinese mainland stock market and economic activities. Lau and Sheng (2018) found out evidence of the inter-regional spillover effect in daytime returns and Shanghai stock market was the least integrated of all nine markets selected by considering the inter-and intraregional spillover effects across international stock markets in London, Paris, Frankfurt, Toronto, New York, Tokyo, Shanghai, Hong Kong, and Mumbai. episode.…”

Section: Literature Reviewmentioning

confidence: 99%

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Volatility Spillover of the Stock Market and Foreign Exchange: Evidence from Cee Countries

Ngo¹

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Inter- and intra-regional analysis on spillover effects across international stock markets

Abstract: This study investigates the inter-and intra-regional spillover effects across international stock markets in New York,

Cited by 16 publications

References 37 publications

Examining Time-Varying Integrity and Interrelationships Among Global Stock Markets

Examining Time-Varying Integrity and Interrelationships Among Global Stock Markets

Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?

Volatility Spillover of the Stock Market and Foreign Exchange: Evidence from Cee Countries

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