International risk transmission of stock market movements

Shen, Yifan

doi:10.1016/j.econmod.2017.09.022

Cited by 28 publications

(10 citation statements)

References 31 publications

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“…The results revealed a significant variability in the time-varying conditional correlations between these markets during upturn and downturn periods. Shen (2018) investigated the financial linkages between the US and major Asian stock markets. The results showed that the US and major Asian stock markets were highly integrated.…”

Section: Literature Reviewmentioning

confidence: 99%

Co-integration and Causal Relationships: The Case of the Jordanian and Developed Stock Markets

Mugableh

2020

IJFR

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The main purpose of this study is to investigate co-integration and causal relationships among the Jordanian, the US, and the UK stock markets. The vector error correction model is applied using yearly stock market indices series for the period, 1978 – 2018. The results reveal the existence of co-integration and causal relationships among stock markets indices. These results indicate the scope for diversification profits, where the Jordanian investors secure higher levels of mean returns on the diversified portfolios. This study is important for individual investors and policy makers in macroeconomics and finance, as stock markets affect consumption, wealth, and capital flows. The contribution of this study to the present literature is threefold. Firstly, it adds to the empirical literature an up-to-date dataset and employs a dynamic and causal approach, vector error correction model, which establishes whether market long-run equilibrium (i.e., co-integration) is stable for stock markets of Jordan, the USA, and the UK. Secondly, it analyses the performance of the Amman stock exchange for the period 1978-2018. Finally, this paper has implications for international portfolio diversification. If stock markets are co-integrated, this implies that there is an opportunity of arbitrage activity. In other words, stock markets are moving together towards long-term, and there are limited possibilities of gaining abnormal returns by diversifying investment portfolios.

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Section: Literature Reviewmentioning

confidence: 99%

Co-integration and Causal Relationships: The Case of the Jordanian and Developed Stock Markets

Mugableh

2020

IJFR

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“…They determined that there is a solid one-way effect of shocks on stocks and the foreign exchange market. Similarly, Shen [28] found that surprises in the U.S. market upsurged risk in the markets in Asia. Moreover, there is a significant impact of declining prices in Asia on risk in the U.S. market.…”

Section: Literature Reviewmentioning

confidence: 94%

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Shahid¹,

Sun²,

Pk³

2021

Preprint

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This study will investigate different signals and events/news that determined the stock market's movements. As we know, many factors affect the stock market on a daily, weekly, and monthly basis, e.g., rate of interest, exchange rate, and oil prices, etc. Our research will investigate the impact of daily events/news in the KSE-100 index due to several policies announced and events/news in the country because the daily movements in the stock market can be determined only by different signals and events/news. Time series data is collected daily for particular reasons from "The News" (Daily Newspaper, Sunday edition) from 2010 to 2019. The results of this study show that political and global news affects the stock market index ferociously. For investors, the investment in blue chips is not less than a safe haven. When day-to-day transactions are concerned, there is always a higher panic attack than the herd behaviour in the stock exchange. Investors tend to make prompt responses to negative rather than positive news, which makes them risk averters. Our finding also confirmed that the ARCH/GARCH model is better than the simple OLS method concerning stock market upheaval.

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“…De Santis y Zimic (2018) analizan los efectos de desbordamiento entre los rendimientos de los bonos soberanos de los Estados Unidos y países europeos y hallan que la fuente de riesgo sistemático en 2010 fueron los bonos soberanos griegos. Shen (2018) sugiere que los mercados bursátiles asiáticos están altamente integrados en los mercados de los Estados Unidos desde el punto de vista de transmisión de riesgo.…”

Section: Vínculos Financieros a Nivel Internacionalunclassified

Efectos de propagación de los mercados financieros estadounidenses en los colombianos

Paucar

2020

Cuad. Econ.

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Este artículo cuantifica y analiza los efectos de los choques originados en los mercados estadounidenses sobre los principales mercados financieros colombianos durante el periodo de 2003 a 2015. La metodología utilizada es un modelo de vectores autorregresivos (VAR) estructural que emplea la heterocedasticidad que existe en los datos para la identificación y la estimación de los coeficientes de transmisión financiera. Se encuentra que los mercados estadounidenses generan efectos overall spillovers significativos sobre el mercado accionario colombiano. A su vez, los resultados reflejan la posición dominante del mercado de bonos estadounidenses como el motor de los efectos de desbordamiento.

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International risk transmission of stock market movements

Cited by 28 publications

References 31 publications

Co-integration and Causal Relationships: The Case of the Jordanian and Developed Stock Markets

Co-integration and Causal Relationships: The Case of the Jordanian and Developed Stock Markets

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Efectos de propagación de los mercados financieros estadounidenses en los colombianos

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