Interdependence and contagion in the period of crisis

Santos, Carolina Macagnani dos; Gaio, Luiz Eduardo; Pimenta, Tabajara; Cicconi, Eduardo Garbes

doi:10.1108/ijoem-05-2018-0216

Cited by 6 publications

(8 citation statements)

References 39 publications

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“…However, the empirical studies which focus on the South Asian stock markets primarily investigate whether cointegration has increased without highlighting the role of exogenous factors which cause the cointegration (e.g. Fujii, 2005;Narayan et al, 2004;Rahman and Uddin, 2009;Shegorika and Mukherjee, 2013;Singhania and Prakash, 2014;Maher et al, 2017;Santos et al, 2019). This paper bridge the research gap wherein the impact of intraregional trade is used while investigating the cointegration in South Asian stock markets by using the latest data set.…”

Section: Introductionmentioning

confidence: 99%

Does trade interdependency lead linkages between stock markets? A case of South Asian countries

Kumar

2019

IJOEM

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Purpose The purpose of this paper is to test the dynamic linkages among the stock markets of four South Asian countries (India, Pakistan, Bangladesh and Sri Lanka) in the backdrop of trade interdependency. Design/methodology/approach Listed indices are used to serve the proxy of stock markets of four countries for the period: January 2000–December 2018. The study uses the autoregressive distributed lag model and Granger causality techniques in multivariate frameworks while focusing on intraregional trade as an exogenous factor for testing the long- and short-run causality in the given data set, hence raising the quality of statistical inference. Findings The results highlight that India and Pakistan are net exporters to the South Asian region, while Bangladesh and Sri Lanka are net importers from the region. While testing the stock markets linkages, the expanded intraregional trade volumes (exports plus imports) have occurred with the significant cointegration of stock markets of India and Pakistan with the other stock markets in the long run. In the short run, the stock markets of India, Pakistan and Sri Lanka report bidirectional causality without having significant spillovers of intraregional trade on the stock prices. Research limitations/implications The study relies on the multivariate techniques with stock prices and regional trade share as the exogenous variables. Further the regulatory, political and economic conditions of sample countries are fundamentally different which in turn affect their degree of trade interdependency and integration between the stock markets. Practical implications Nonsignificant cointegration of the stock markets of Sri Lanka and Bangladesh highlights the possibility of portfolio diversification in the long run, while the significant bidirectional causalities between the stock markets highlight the lesser degree of portfolio diversifications in the short run. Originality/value Pioneer efforts are made to examine the dynamic linkages between the South Asian stock markets while focusing on regional trade interdependency. The results provide new insight in the dynamics of stock returns of South Asian stock markets in the backdrop of intraregional trade.

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Section: Introductionmentioning

confidence: 99%

Does trade interdependency lead linkages between stock markets? A case of South Asian countries

Kumar

2019

IJOEM

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“…Findings from Oktarina (2017); Sihombing & Rizal (2014); Artini et al, (2017) show that there is a significant positive relationship between the American and Indonesian stock markets. Santos et al, (2019) found that the return of the stock index of developed countries (Brazil, Russia, India, China and South Africa) affected the return index of non-BRICS developing countries (Mexico, Indonesia, Turkey, Iran and Poland).…”

Section: Stock Market Indexmentioning

confidence: 99%

Impact of Macroeconomic Variabel and Global Indices on Islamic Stock Index: The Case Indonesia

Sanusi

Jihad

Mawardi

2020

IJIEFB

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Introduction to The Problem: The movement of the Islamic stock index can be influenced by changes in domestic macroeconomic conditions, not only domestic macroeconomics but also influenced by the stock markets of other countries.Purpose/Objective Study: The main objective of this study is to analyze the influence of the domestic macroeconomic and global stock indices on the Indonesian sharia stock index.Design/Methodology/Approach: This study uses a quantitative methodology with secondary data. The data sample method is saturated sample that all members of the population are used to be the research sample. The type of research data is monthly time series with a time period from May 2011 - July 2019, the selection of the Vactor Error Correction Model (VECM) research method based on the stationarity of the data on the first difference and the existence of cointegration models.Findings: The results showed in the short term all variables did not show a significant effect. In the long run, interest rates have a negative effect, while the exchange rate shows a positive effect on the movement of Islamic stock price indexes. Global stock indices such as the Shanghai Stock Exchange Index show a negative effect, and the Standard & Poor's 500 index shows a positive effect. While the Nikkei 225 index did not show a significant effect on the Indonesian Islamic stock index.

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“…Essas circunstâncias claramente limitam a compreensão global das relações entre a América Latina e os EUA, especialmente após a crise financeira de 2008. Além disso, os efeitos de interdependência e contágio podem nem sempre ocorrer no sentido esperado no mercado financeiro (Santos, Gaio, Pimenta Junior & Cicconi, 2019). Considerando esse contexto, o objetivo dessa pesquisa é analisar a existência e a magnitude do efeito contágio e das interdependências entre os mercados acionários da América Latina e dos EUA.…”

Section: Introductionunclassified

Contágio Financeiro E Interdependência Entre Mercados Da América Latina E Estados Unidos

Marschner

Ceretta²,

Souza³

et al. 2021

ASAA Journal

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Objetivo: analisar a existência e a magnitude do contágio financeiro e das interdependências entre os mercados acionários da América Latina (Argentina, Brasil, Chile, México e Peru) e Estados Unidos. Método: foram aplicados modelos autorregressivos vetoriais (VAR) sobre as séries históricas dos retornos dos índices das bolsas de valores em três períodos: pré-crise, crise e pós-crise. Resultados: após estimados, observou-se que nos três subperíodos de amostra (pré-crise, crise e pós-crise) foram ajustados modelos vetoriais com diferentes níveis de defasagens, VAR(1), VAR(3) e VAR(1), respectivamente, mostrando que no período de crise as variáveis endógenas afetam o sistema de equações simultâneas por até três períodos de defasagens, e nas demais subamostras por apenas um período. Os principais resultados mostraram que: i) o período pré-crise financeira é caracterizado por níveis insignificantes de interdependência entre os mercados da América Latina e EUA; ii) no período de crise o mercado americano teve um poder de explicação da variância da maioria dos mercados latino-americanos; e iii) posterior a crise, os vínculos dos mercados dessa região com o mercado americano permaneceram existentes, porém em menor magnitude. Contribuições: as evidências encontradas nessa pesquisa ampliam a literatura e apresentam novas evidências sobre a relação entre os mercados da América Latina e EUA. O papel do mercado americano sobre alguns mercados dessa região durante a crise, assim como as relações pós-crise não eram totalmente elucidadas pela literatura anterior.

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Interdependence and contagion in the period of crisis

Cited by 6 publications

References 39 publications

Does trade interdependency lead linkages between stock markets? A case of South Asian countries

Does trade interdependency lead linkages between stock markets? A case of South Asian countries

Impact of Macroeconomic Variabel and Global Indices on Islamic Stock Index: The Case Indonesia

Contágio Financeiro E Interdependência Entre Mercados Da América Latina E Estados Unidos

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