Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

Puah, Chin Hong; Wong, Kai Hung

doi:10.7454/efi.v61i2.507

Cited by 7 publications

(5 citation statements)

References 23 publications

(9 reference statements)

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“…In this context, Lehkonen (2015) observes that the global financial crisis had increased the degree of stock market integration in emerging market economies and reduced it in developed economies. Some studies found an increase in the degree of stock market integration in BRICS region during and after the financial crises (Ahmad et al, 2013; Fahami, 2011; Gupta, 2011; Puah et al, 2015; Singh & Kaur, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies

Mishra

2022

Global Journal of Emerging Market Economies

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This article examined the impact of the unanticipated outbreak of global public health crisis, COVID-19 pandemic, on the equity market performances and on the degree of integration of these markets in BRICS bloc. The empirical analyses lend support to the weakened equity market integration in the BRICS economies amid the pandemic, and the key driving forces include the rate of inflation, the real rate of interest, real exchange rate and composite leading indicator in the long-run, and trade performance and composite leading indicator in the short-run. The implications on the one hand, indicate increased opportunities for international portfolio diversification, and on the other hand, suggest for controlling the macroeconomic uncertainties of inflation, interest rate and exchange rate fluctuations during global health crisis to promote stable economic conditions for ensuring equity market integration in the long-run.

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Section: Literature Reviewmentioning

confidence: 99%

Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies

Mishra

2022

Global Journal of Emerging Market Economies

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“…[14] stated that oil-exporting countries were positively associated with the stock market, whereas the adverse impact occurred in oilimporting countries. Other key determinants such as gold [15][16], GDP [17][18], exchange rate [16,[18][19], and economic crises [10,[20][21][22] were employed in previous studies.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of COVID-19 Pandemic and Commodities Prices on Booking.com Share Price

Jong¹,

Puah²,

Soh³

2021

Adv. sci. technol. eng. syst. j.

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This paper examines the impacts of the COVID-19 pandemic and selected commodity variables on Booking.com share price using the Markov-switching approach. Daily data spans from January 2017 through July 2020 are utilized in this study. Empirical evidence showed that COVID-19, international crude oil price, and gold price affected the Booking.com share price significantly. A positive relationship was detected between international crude oil price and gold price towards stock price whereas COVID-19 showed an inverse impact on stock price. The empirical findings evidenced a 1% increase in COVID-19 cases adversely affecting the share price by -0.27%. Our findings also suggested that the potential of another wave of COVID-19 is relatively higher as the bounce back period was identified as 67 days. The filtered and smoothed probabilities signaled the Booking.com share price chronologically, and transition probabilities were identified. Six cycles were outlined, and the effectiveness of the Markov-switching approach in detecting vulnerable financial forecasting was demonstrated. The adequate dating evolution provided satisfactory input for policymakers, investors, and researchers to design and mitigate volatility in commodities and crises.

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“…In the research Puah et al (2015) has been revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock market, with the particular attention to the 2008 subprime mortgage crisis. The evidence also found that China stock market is the most influential among the BRICs, in which China stock market has the ability to Granger cause the other three BRICs member countries.…”

Section: Previous Research and Hypothesis Developmentmentioning

confidence: 99%

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Adristi,

Moin

2023

JSB

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Objectives ─ This research aims to examine the long-term and short-term dynamic relationships of the major stock market indices in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) due to the impact of the ammonium nitrate explosion. (NH4NO3) in Beirut, Lebanon. Method ─ This research used samples after the explosion of ammonium nitrate (NH4NO3) in Beirut, Lebanon, from 10 August 2020 to 17 December 2020. Long-term and short-term dynamic relationships due to the impact of the ammonium nitrate (NH4NO3) explosion in Beirut, Lebanon were tested using the Johansen Cointegration Test and Granger Causality Test methods. Findings ─ The results show that: (1) There is a cointegration relationship in the return of the country stock market index in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) after the explosion; (2) there is no bi-directional causality relationship or unidirectional relationship between benchmark variables, that is Return BLOM Stock Index (BLSI) with the Return TA-35 (TA35), Return Amman SE General (AMGNRLX), Return Tadawul All Share Index (TASI), and Return Indeks Harga Saham Gabungan (IHSG) variable after the explosion event. Originality ─ This paper presents a novelty with a study of events that link human events and capital market indices.

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Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

Cited by 7 publications

References 23 publications

Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies

Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies

The Impact of COVID-19 Pandemic and Commodities Prices on Booking.com Share Price

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

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