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Time-varying linkages of economic activities in China and the stock markets in ASEAN-5

Teng, Kee Tuan; Yen, Siew Hwa; Chua, Soo Yean; Hooi … - In: Contemporary economics 10 (2016) 2, pp. 137-152

countries of the Association of Southeast Asian Nations (ASEAN-5) stock markets and China's economic activities. By using the … observed by Bai and Perron test coincided with major economic shocks, policy changes and the establishment of regional trade … influence on China's economy, except for Singapore’s stock market volatility. This study reveals that ASEAN-5 has gradually …

Persistent link: https://www.econbiz.de/10011515815

Time-Varying Linkages of Economic Activities in China and the Stock Markets in ASEAN-5

Teng, Kee - 2016

countries of the Association of Southeast Asian Nations (ASEAN-5) stock markets and China's economic activities. By using the … observed by Bai and Perron test coincided with major economic shocks, policy changes and the establishment of regional trade … influence on China's economy, except for Singapore's stock market volatility. This study reveals that ASEAN-5 has gradually …

Persistent link: https://www.econbiz.de/10012982572

Contagion effect of financial crisis on OECD stock markets

Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - 2011

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion...

Persistent link: https://www.econbiz.de/10010304806

Liberalization and stock market co-movement between emerging economies

Beine, Michel; Candelon, Bertrand - 2007

In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co … reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time … the quality of the statistical inference. Our results offer strong support in favor of a positive impact of trade and …

Persistent link: https://www.econbiz.de/10010264238

Inter-Linkages Among Stock Markets of South Asia

Sharma, Gagan Deep - 2011

Purpose – Internationalization of capital markets gives opportunities to investors to invest their money in the country of their choice, not just in their own country. The relationships between international stock markets have become increasingly important in recent times. The purpose of this...

Persistent link: https://www.econbiz.de/10013118073

Time-Varying International Equity Market Integration : Evidence from Market Price of Exchange-Traded Funds

Shin, Sangheon - 2011

We examine time-varying international equity market integration using the VAR-based rolling cointegration analysis and coefficients of the error correction terms. Using Exchange-traded funds (ETFs) as proxies for international equity markets allows us to take advantages of avoiding discrepancy...

Persistent link: https://www.econbiz.de/10013122049

Global and Regional Spillovers to GCC Equity Markets

Williams, Oral H. - 2011

This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by spillovers from U.S. equity markets despite varying degrees of foreign participation. Spillovers from regional equity markets were also important but the magnitude of the...

Persistent link: https://www.econbiz.de/10013123176

Time Varying Asian Stock Market Integration

Batten, Jonathan A. - 2013

We employ an asset pricing framework to show that over the last twenty years there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is generally consistent with prior studies and highlights the impact of...

Persistent link: https://www.econbiz.de/10013075848

Regional and Inter-Regional Financial Integration : ASEM Equity Markets

Jaccob, Dina - 2014

The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional cooperation between the European and Asian countries. This book examines the equity market integration among 49 ASEM members both in EU and Asia, and to investigate whether such...

Persistent link: https://www.econbiz.de/10013049408

Addressing COP21 Using a Stock and Oil Market Integration Index

Batten, Jonathan A. - 2018

COP21 implementation should lead to a decline in the future demand for fossil fuels. One key implication for investors is how to manage this risk. We construct a monthly stock and oil market integration index and demonstrate that oil investors can offset adverse oil price risk by holding...

Persistent link: https://www.econbiz.de/10012932325

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