Systematic Elements in the Linkage of National Stock Market Indices

Ripley, Duncan M.

doi:10.2307/1927959

Cited by 171 publications

(80 citation statements)

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“…This dates back to Ripley (1973) study on interdependencies between 19 open markets. Stock market integration and interdependencies have implications for international investors and fund managers because the degree of market integration affects the benefits of international diversification.…”

Section: Theoretical Background and Literature Reviewmentioning

confidence: 99%

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Integration of the African Stock Markets to the Global Markets: Case Study of South Africa

Kapingura

Mishi

Khumalo

2014

MJSS

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Section: Theoretical Background and Literature Reviewmentioning

confidence: 99%

“…This study aim to provide and answer to how African and global markets are interdependent and why is that so, that is answering Pretorius first and third question as in Ripley (1973).…”

Section: Theoretical Background and Literature Reviewmentioning

confidence: 99%

Integration of the African Stock Markets to the Global Markets: Case Study of South Africa

Kapingura

Mishi

Khumalo

2014

MJSS

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“…The research dates back to the early 1970's and has burgeoned since late 1980's. Early studies by Ripley (1973), Lessard (1976), and Hilliard (1979) generally find low correlations among national stock markets, which validate the benefits of diversification in international portfolio management. However, this alleged low correlation was found to etch up after the U.S. market crash in October 1987.…”

Section: Literature Review and Motivationmentioning

confidence: 82%

Empirical Examination of Stock Market Volatility : An International Comparison

Aggarwal

Khurana

2018

Indian Journal of Finance

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This study examines the bilateral relations between three pairs of stock markets, namely India-U.S., India-China and China-U.S. We use a Fractionally Integrated Vector Error Correction Model (FIVECM) to examine the cointegration mechanism between markets. By augmenting the FIVECM with a multivariate GARCH formulation, we study the first and second moment spillover effects simultaneously. Our empirical results show that all three pairs of stock markets are fractionally cointegrated. The U.S. stock market plays a dominant role in the relations with the other two markets, whereas there is an interactive relationship between the Indian and Chinese stock markets. In particular, the Indian stock market dominates the first moment feedback with the Chinese market, while the latter dominates the second moment feedback with the former.

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“…The empirical studies on inter-linkage of stock market present mixed result. The earlier studies by Ripley (1973), Lessard (1976), and Hilliard (1979) largely found low correlations between national stock markets. On the other hand, recent studies like Janakiramanan (1998), Hsiao (2003), Morana and Beltratti (2008), Wang et.al (2005) etc.…”

Section: Introductionmentioning

confidence: 84%

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

Padhan¹,

Sujit²

2013

IJBM

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The financial markets across globe have become distinctly integrated owing to liberalization and globalsiation policy as well as advancement of information technology. The contagion effect of macroeconomic disturbances or financial crisis, internally and externally, is rapidly disseminating across various economies. The recent global recession of 2007-09 started with US subprime crises and subsequently followed by Lehman brother crisis affected all most all major economies of the world. In this contenxt, the present paper explores the stock market integration of leading stock exchanges across various countries during pre and post economic crisis of 2007-09. Thus for empirical analysis, it uses the data since 2004-2012. It attempts to find out the breaks point, if any, in the pattern of stock price movements endogenously. Further efforts have also been made to examine changing pattern of relationship among stock prices using bivariate and multivariate cointegration techniques. The study suggests that although stock markets are integrated globally, the integration is very weak. This proposes that stock prices as well as returns are not strongly interrelated across markets. The Granger casualty results also provides mixed evidences, although some changes are noticed about the causality between stock prices from pre-recession to post recession period in Chinese stock markets.

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Systematic Elements in the Linkage of National Stock Market Indices

Cited by 171 publications

References 0 publications

Integration of the African Stock Markets to the Global Markets: Case Study of South Africa

Integration of the African Stock Markets to the Global Markets: Case Study of South Africa

Empirical Examination of Stock Market Volatility : An International Comparison

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

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