Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners

Elyasiani, Elyas; Perera, Priyal; Puri, Tribhuvan N.

doi:10.1016/s1042-444x(98)00020-6

Cited by 69 publications

(62 citation statements)

References 8 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…To save space, we only report the summary statistics of the unsynchronized returns. 13 We also use daily return data, instead of lower frequency data such as weekly and monthly returns, because longer horizon returns can obscure temporary responses to innovations, which may last for a few days only (Elyasiani, Perera, and Puri 1998).…”

Section: The Asynchronous Problemmentioning

confidence: 99%

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

Hernandez¹,

Ibarra²,

Trupkin³

2013

European Review of Agricultural Economics

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own-and cross-volatility spillovers and dependence among most of the exchanges. The results also show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities. Keywords: Volatility transmission, agricultural commodities, futures markets, Multivariate GARCH. JEL Classification: Q02, G15, Q11, C32. Terms of use: Documents inResumen: En este trabajo se analiza el nivel de interdependencia y transmisión de volatilidad en los mercados internacionales de futuros agrícolas. Se sigue un enfoque de GARCH multivariado para explorar la dinámica y la dinámica cruzada de la volatilidad para los principales mercados de maíz, trigo y soya en Estados Unidos, Europa y Asia. Se toma en cuenta el posible sesgo que puede surgir cuando se consideran mercados con diferentes horarios de cierre. Los resultados indican que los mercados agrícolas se encuentran altamente interrelacionados y que existen derrames propios y cruzados de volatilidad y dependencias entre la mayoría de los mercados. Los resultados indican además el importante papel que juega Chicago en términos de efectos de derrame de volatilidad sobre los otros mercados, particularmente para maíz y trigo. Adicionalmente, el nivel de interdependencia entre los mercados sólo se ha incrementado en años recientes para algunos de los productos primarios. Palabras Clave: Transmisión de volatilidad, productos primarios agrícolas, mercados de futuros, GARCH multivariado.

show abstract

Section: The Asynchronous Problemmentioning

confidence: 99%

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

Hernandez¹,

Ibarra²,

Trupkin³

2013

European Review of Agricultural Economics

View full text Add to dashboard Cite

show abstract

“…The details of the stock exchanges and indices considered for the study are shown in We employed daily data rather than lower frequency data such as weekly and monthly returns because longer horizon returns can obscure transient responses to innovations which may last for few days only (Brailsford 1996, Elyasiani et al 1998, and Andersen et al 2002. …”

Section: Variance Decomposition Analysismentioning

confidence: 99%

Stock Market Linkages in Emerging Asia-Pacific Markets

Srinivasan¹,

Kalaivani

Devakumar

2013

SSRN Journal

View full text Add to dashboard Cite

This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China and Indonesia. Johansen and Juselius (1990) multivariate cointegration test, Granger causality/Block exogeneity Wald test based on VECM approach and Variance Decomposition Analysis was employed to investigate the dynamic linkages between markets. Cointegration test confirmed a well defined long-run equilibrium relationship among the major stock markets, implying that there exists a common force, such as arbitrage activity, which brings these stock markets together in the long run. The results of Granger causality/Block exogeneity Wald test based on VECM and Variance Decomposition Analysis revealed the stock market interdependencies and dynamic interactions among the selected emerging Asia-Pacific economies. This result implies that investors can gain feasible benefits from international portfolio diversification in the short-run. On the whole, the study results suggest that although long-term diversification benefits from exposure to these markets might be limited, short-run benefits might exist due to substantial transitory fluctuations.

show abstract

“…Leong (2003) have analyzed the interdependence of five East Asian stock price indices where some of the pairs of markets are found to be cointegrated. Elyasiani (1998) Unlike only return spillover, studies examining the spillover of information both in terms of return and volatility includes Hamao (1990), Christofi (1999) found large and predominantly positive volatility spillovers and volatility persistence in conditional volatility between MENA and world stock markets, volatility spillovers within the MENA region are found to be higher than cross-volatility spillovers for all the markets. At the same time, while examining the dynamic linkage between the MENA countries, Alkulaib (2008) have found some regional inconsistency in the information spillover among the markets.…”

Section: Review Of Literaturementioning

confidence: 99%

“…All the above studies aimed at examining only the spillover of information among the national equity markets, but there are also some studies that focused on the possible factors or in short, the determinants of such information spillover among different markets. Elyasiani (1998), Janakiramanan (1998), Gilmore (2002), Hsiao (2003), Leong (2003), Nath (2003), Bessler (2003), Mukherjee (2005), Alexandr (2008), etc. are some of the important studies where the examination of return spillover across the markets has been the only concern.…”

Section: Review Of Literaturementioning

confidence: 99%

Stock market integration and volatility spillover: India and its major Asian counterparts

Mukherjee¹,

Mishra

2010

Research in International Business and Finance

105

View full text Add to dashboard Cite

show abstract

Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners

Cited by 69 publications

References 8 publications

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

Stock Market Linkages in Emerging Asia-Pacific Markets

Stock market integration and volatility spillover: India and its major Asian counterparts

Contact Info

Product

Resources

About