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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25

The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...

Persistent link: https://www.econbiz.de/10010490457

Forex and financial markets dynamics : a case of China and ASEAN

Akram, Mohammad Uzair; Malik, Kashif Zaheer; Imtiaz, Ali; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-15

The paper aims to investigate the possible dual causality between exchange rates and stock indices of China and ASEAN using Structural Vector Auto-Regressive Model (SVAR). The paper has analysed the dynamic relationships between the Yuan and the Shanghai Composite Index and Shenzhen Stock Index...

Persistent link: https://www.econbiz.de/10012024028

Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia

Sasipa Pojanavatee - In: Cogent economics & finance 2 (2014) 1, pp. 1-17

The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund...

Persistent link: https://www.econbiz.de/10010469413

Role of 2008 financial contagion in effecting the mediating role of stock market indices between the exchange rates and oil prices : application of the unrestricted VAR

Tabash, Mosab I.; Asad, Muzaffar; Khan, Ather Azim; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-19

This research article explores the mediating role of stock market indexes on the link between exchange rate variations and oil prices by utilizing unrestricted VAR. Previously mainstream research only explained the direct dynamism between the two variables. However, any transmission mechanism...

Persistent link: https://www.econbiz.de/10014500356

Effects of information related to the Russia-Ukraine conflict on stock volatility : an EGARCH approach

Gheorghe, Cătălin; Panazan, Oana - In: Cogent economics & finance 11 (2023) 2, pp. 1-33

The Russia-Ukraine military conflict, commencing on February 24, 2022, notably impacted the international community. This study aims to quantify the volatility engendered by the conflict, drawing from the analysis of stock market indices across 40 countries. Time-series returns data from January...

Persistent link: https://www.econbiz.de/10014503057

The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19 : empirical insights of Pakistan

Tabash, Mosab I.; Babar, Zaheeruddin; Sheikh, Umaid A.; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-22

This study analyzes the trilateral relationship between macroeconomic variables of oil prices, stock market index, and exchange rate to demonstrate their behavior and inter-relationship in the economic setup of Pakistan. The investigated period includes daily time series data ranging from 4...

Persistent link: https://www.econbiz.de/10014500264

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Persistent link: https://www.econbiz.de/10013179569

Firm age and crude oil returns : stock price sensitivity of oil-producing and consuming companies

Nishi, Hirofumi - In: Cogent economics & finance 8 (2020) 1, pp. 1-21

This study aims to identify firm characteristics that affect the cross-firm variation in oil-stock interactions. A panel data analysis with a sample of U.S. and Canadian firms reveals that the stock price sensitivity to crude oil price returns is negatively and significantly associated with firm...

Persistent link: https://www.econbiz.de/10013179571

Oil price shocks against stock return of oil- and gas-related firms in the economic depression : a new evidence from a copula approach

Thu Thuy Nguyen; Nguyen Van Chien; Tran Trong Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-20

This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil … receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on … depression of 2011-2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns …

Persistent link: https://www.econbiz.de/10013179488

Market miracles : resilience of Karachi stock exchange index against terrorism in Pakistan

Tabash, Mosab I.; Sheikh, Umaid A.; Asad, Muzaffar - In: Cogent economics & finance 8 (2020) 1, pp. 1-23

Terrorism plays a pivotal role in influencing the stock indexes of many countries. This research article claims to be first in accessing the asymmetrical effect of multiple categories of terroristic activities on stock indexes in the presence of macroeconomic volatility. This research utilized a...

Persistent link: https://www.econbiz.de/10013179578