Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case

Abstract

This research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the American (S&P 500) and the Chinese (SSE Composite) stock markets. In addition, this research focuses on the impact of the stage of the economy on these interdependencies, in concrete, on the influence of the 2008 Global Financial Crisis. To that end, we use a nonlinear autoregressive distributed lag (NARDL) approach in the sample period between January 1998 to December 2018. Our results show positive interdependencies between the Polish and the Spanish stock markets with the international reference stock markets analyzed in this research, as well as significant long-run relations between most of the stock markets. Furthermore, the Polish and the Spanish stock market returns may similarly react to positive and negative changes in international stock market returns, evidencing strong short-run asymmetry. In addition, both countries show great persistence in response to both positive and negative changes in stock market returns in the other mayor international markets. Finally, the NARDL model proposed in this research would show good explanatory power, mainly to changes in the international stock market returns, except for the Chinese market.

Nexus between Governance Indicators & Sustainable Stock Market Development in Pakistan: Evidences from Symmetric and Asymmetric Analysis

“…The analysis, its results and relevant discussion begin as; (Emara & El Said, 2021). The Kurtosis values of ROL, RQ & V&A>3.00, that indicate data set has heavier tails than a normal distribution, while SMD and PS&AVT indicate lighter tails than normal distribution as kurtosis <3.00 (Jareño et al, 2020;Masood et al, 2020;Modugu & Dempere, 2020).…”

“…The results of ARDL become invalid when I(2) variable is included in analysis. The results become robust regardless of its nature of sample, and it adjusts lags in its models to deliver unbiased estimates with valid estimated t-statistics' (Chen et al, 2020;Cho et al, 2021;Jareño et al, 2020).…”

“…of regression of 0.07, Mean value of 1.35, and Log-likelihood=34.85 compared to the results of Table -7 The discussion in Section 4.4 and 4.5 helps to conclude that the link between selected components of Governance Index and SMD of Pakistan is not of rather symmetrical nature (Bhuiyan & Chowdhury, 2020;Ellahi et al, 2021). This shows that the Index components do not impact SMD significantly and symmetrically, rather it depends on synchronized & wellconnected macro-economic variables that magnify the impact of decomposition of POS & NEG partial changes in multipliers of various components of Governance Index as shown in graphical ACDM (asymmetric cumulative dynamic multipliers) in section 4.8 (Allen & McAleer, 2020;Jareño et al, 2020;Meo, Chowdhury, Shaikh, Ali, & Masood Sheikh, 2018;Saeed Meo, Hafeez, Shaikh, & Shahid, 2018).…”

“…Cross-country research of corporate governance focusses ROL as an essential component of economic and financial development (M. M. Ahmed, 2021;Bogdan & Lomakovych, 2021;Y. Dang, 2021;Jareño, Escribano, & Koczar, 2020;M. A. Khan et al, 2020;Phuong, 2020).…”

“…This shows that all government regulators make no strict/stringent attempts to ensure that new rules are complied with and enforced on the equity markets. If government and other related institutions perform its respective jobs effectively, they can promote more productive activity by mitigating market manipulations relating to the capital markets of the developed economies (Abeka, Andoh, Gatsi, & Kawor, 2021;Jareño et al, 2020;M. A. Khan et al, 2018;Uzum, Ikpefan, Omankhanlen, Ejemeyovwi, & EHIKIOYA, 2021).…”