The 2008 crash was the most important global stock market crash in history since the Great Depression. In this paper, we study the contemporaneous co-movements of and the time-series lead/lag linkages between global stock markets after the 2008 stock market crash by using the time-varying...

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...

This paper investigates the presence of Granger-causality amongst world market indices: S&P 500, Dow Jones Industrial Average, Eurostoxx 50, Nikkei, FTSE 100, from January 2nd 1987 to October 17th 2008. Using daily market returns I performed a Granger-causality test, based on the Vector...

During the October 9, 2007-March 9, 2009 period, the U.S. stock market experienced the worst bear market in its history since the Great Depression. Empirical studies show that exchange-traded country index funds can provide portfolio diversification benefits to investors in bull markets....

This paper aims at contributing to the international portfolio investment decisions among the emerging BRICS countries where individual and institutional investors seek diversification benefits and to help in advocating policy changes and implementation as a response to the changing dynamics in...