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International Stock Market Interdependence : Are Developing Markets the Same As Developed Markets?
Liu, Lu - 2014
This paper uses a dynamic panel-data gravity model to explain the correlations between 40 markets from 1996 to 2010 using four types of market linkages: information capacity, financial integration, economic integration, and similarity in industrial structure. The mechanism of interdependence of...
Persistent link: https://www.econbiz.de/10013053900
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Predicting US Recessions with Stock Market Illiquidity
Chen, Shiu‐Sheng - 2015
In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the...
Persistent link: https://www.econbiz.de/10013030216
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Crude oil market and stock markets during the COVID-19 pandemic : evidence from the US, Japan, and Germany
Zhang, Wenting; Hamori, Shigeyuki - In: International review of financial analysis 74 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012803936
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A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach
Wang, Yi-Chiuan - 2012
This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....
Persistent link: https://www.econbiz.de/10013107722
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence, this paper seeks to analyze volatility spillover,...
Persistent link: https://www.econbiz.de/10013348418
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Interest Rates and Stock Movements in Three Major Asian Countries-India, China and Japan
Singh, Saurabh - 2010
growth of India puts it's among the largest and fastest growing economy of the world. Following the liberalization, Asian … economy is becoming the hub of world economy. Sixty percent population resides in the Asian countries hence macroeconomic … forces of Asia affects the world economy. World's most populated countries viz. China and India are competing with the …
Persistent link: https://www.econbiz.de/10013146559
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Credit Buildups and the Stock Market in Four East Asian Economies
Rousseau, Peter L. - 2011
We examine the relationship between intermediaries, stock markets, and real activity in four East Asian crisis economies (Indonesia, Korea, Malaysia, and Thailand) using a series of comparative vector autoregressive and error correction models with quarterly data from 1995 through 2010, thus...
Persistent link: https://www.econbiz.de/10013123499
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The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Buncic, Daniel - 2016
We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross-section of 18 international equity markets, using daily realized measures data from the Oxford-Man Realized Library, and two widely employed empirical models for realized volatility...
Persistent link: https://www.econbiz.de/10012983715
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Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?
Bayoumi, Tamim - 2013
reverberate around the world much more strongly than shocks from other regions, including the Euro area, while inward spillovers …
Persistent link: https://www.econbiz.de/10013084151
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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not …
Persistent link: https://www.econbiz.de/10009750238