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Should South Asian stock market investors think globally? : investigating safe haven properties and hedging effectiveness

Gazi, Md. Abu Issa; Nahiduzzaman, Md.; Sarker, Sanjoy Kumar - In: Economies : open access journal 12 (2024) 11, pp. 1-32

In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...

Persistent link: https://www.econbiz.de/10015197820

Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

Persistent link: https://www.econbiz.de/10011982404

Financial Anomalies : Evidence From Chinese A-Share Markets

Su, Roger - 2019

The analysis of broad samples of equal-weighted and value-weighted returns of the Chinese security markets documents that abnormally high rates of return on small-capitalization stocks are to be observed during the month of March on both Shanghai and Shenzhen A-share markets. Different to the...

Persistent link: https://www.econbiz.de/10012861781

Extracting Global Stochastic Trend from Non-Synchronous Data

Korhonen, Iikka - 2014

We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive “most important” hours of world...

Persistent link: https://www.econbiz.de/10013063552

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010407524

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

Persistent link: https://www.econbiz.de/10010515402

Covariance Forecasting in Equity Markets

Symitsi, Efthymia - 2018

We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...

Persistent link: https://www.econbiz.de/10012915984

Dependence Structures in Chinese and U.S. Financial Markets : A Time-Varying Conditional Copula Approach

Hu, Jian - 2008

markets is much lower in China than in the U.S …

Persistent link: https://www.econbiz.de/10014213182

Financial Market Reactions to Earnings Announcements and Earnings Forecast Revisions : Evidence from the U.S. and China

Gift, Michael J. - 2010

financial markets in both the U.S. and China in order to see how the level of market maturity and differences in information …

Persistent link: https://www.econbiz.de/10013138780

Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting

Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...

Persistent link: https://www.econbiz.de/10013380503