International equity market integration: Theory, evidence and implications

Kearney, Colm; Lucey, Brian M.

doi:10.1016/j.irfa.2004.02.013

Cited by 188 publications

(111 citation statements)

References 81 publications

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“…The insurgence of spillovers from external markets, especially from US, intensely impacted the stock return of EAGLEs markets. The return and volatility spillovers varies across time, which is consistent with the findings of Kearney and Lucey (2004) and Gallo and Velucchi (2009).…”

Section: Resultssupporting

confidence: 87%

“…Kearney and Lucey (2004) point out that any attempt to model the integration of stock markets without taking into account the time-variation may yield partial and confusing results. Moreover, Gallo and Velucchi (2009) highlight the existence of unstable volatility spillover effects across markets in the pre-crisis or post 1997 crisis.…”

Section: Related Literaturementioning

confidence: 99%

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Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

Umer¹,

Coşkun²,

Kiracı³

2018

j.financ.econ.res

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This study investigates the presence of return and volatility spillover across EAGLEs stock markets, namely China, India, Indonesia, Russia, Brazil, Turkey and Mexico. A multivariate GARCH DCC and BEKK frameworks are employed by classifying the total sample (i.e. from January 2002 to February 2017) into three sub-periods according to the 2008 Global financial crisis. The result shows a significant and positive spillover effect among stock markets in the pre-crisis and post-crisis periods. The transmission of spillover from external markets intensely influenced by US stock market. Furthermore, strong inter-connection and channel of spread observed among EAGLEs stock market during the post-crisis period.

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Section: Resultssupporting

confidence: 87%

Section: Related Literaturementioning

confidence: 99%

Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

Umer¹,

Coşkun²,

Kiracı³

2018

j.financ.econ.res

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“…The CIP relationship is a popular measure of testing for financial integration as in the absence of risk differences and market shocks, there should be equality between the interest rate differential and the forward exchange rate premium, hence signalling financial integration. Kearney and Lucey (2004) refer to the price-based measures as a direct measure since it invokes the law of one price whereby unrestricted international capital flows would lead to an equalisation of the rates of return across countries. The second category refers to volume-based measures.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Often capital controls and legal restrictions such as restrictions on foreign equity holdings are employed to assess the extent of financial integration (e.g., Grilli and Milesi-Ferretti, 1995;Magud and Reinhart, 2006). Alternatively, Kearney and Lucey (2004) categorise two broad categories of financial integration -direct and indirect measures. The former refers to measures based on the law of one price, namely CIP, UIP and RIP as mentioned above.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The indirect measures include two approaches with the first one invoking the concept of international capital market completeness (Stockman, 1988) and the second is based on Feldstein and Horioka's (1980) savings-investment relation. Since it is now recognised that the correlation between savings and investment does not have implications for the degree of mobility of international capital flows, Kearney and Lucey (2004) conclude that the two most useful definition of financial integration are CIP and capital market completeness. Baele et al (2004) consider three categories of financial integration measures -price-based measures, news-based measures and quantity-based measures.…”

Section: Literature Reviewmentioning

confidence: 99%

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Asian financial integration: Global or regional? Evidence from money and bond markets

Rughoo

You

2016

International Review of Financial Analysis

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This paper investigates the degree of global versus regional financial integration in Southeast Asia during the period 2004-2012. We examine integration in the money and bond markets in Asia by employing a covered-interest-parity-based measure of financial integration. The impact of the 2008 financial crisis as well as the recent regional bond initiatives on the integration process of Asian money and bond markets are specifically investigated. Empirically, we adopt the Phillips and Sul (2007) convergence methodology that has not been previously employed to examine the integration process in Asian money and bond markets. We find evidence of both global and regional integration in the money market pre 2008 but once the crisis hit, the process of global integration comes to an abrupt halt. However, regional integration, albeit at a slower pace, is still clearly evident in the post-crisis period. As for the Asian bond market, evidence of both global and regional integration is found but, in comparison, the latter is more convergent post 2008. Regional integration is stronger when interest rates with longer maturity are considered. In addition, we identify some convergent sub-groups of countries and this suggests that a multi-tiered style of convergence is present.

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Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures

Alsayed

McGroarty

2014

Journal of Forecasting

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We show that persistent lead–lag relationships spanning mere fractions of a second exist in all three possible pairings of the S&P 500, FTSE 100 and DAX futures contracts. These relationships exhibit clear intraday patterns which help us to forecast mid‐quote changes in lagging contracts with directional accuracy in excess of 85%. A simple algorithmic trading strategy exploiting these relations yields economically significant profits which are robust to market impact costs and the bid–ask spread. We find that price slippage and infrastructure costs are our most important limits to arbitrage. Our results support the impossibility of EMH view that informational inefficiencies incentivize arbitrageurs to eliminate mispricings. Copyright © 2014 John Wiley & Sons, Ltd.

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International equity market integration: Theory, evidence and implications

Cited by 188 publications

References 81 publications

Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

Asian financial integration: Global or regional? Evidence from money and bond markets

Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures

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