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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial Innovation 3 (2017) 1, pp. 1-24
markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns …, Greece, Ireland, Luxembourg, and Norway, which are quite dynamically interlinked within the region as well as with the MSCI …
Persistent link: https://www.econbiz.de/10011808239
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Stock market evidence on the international transmission channels of US monetary policy surprises
Maurer, Tim Dominik; Nitschka, Thomas - 2021
This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...
Persistent link: https://www.econbiz.de/10012520011
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Interaction between MENA Stock Markets : A Comovement Wavelet Analysis
Basdas, Ulkem - 2013
This paper investigates the integration of emerging stock markets over different time horizons using daily data over 1992-2011. The links among major Middle East and North African (MENA) stock exchange markets (Egypt, Israel, Jordan, Lebanon, Morocco, Turkey and United Arab Emirates) are...
Persistent link: https://www.econbiz.de/10013075245
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Do markets cointegrate after financial crisis? : evidence from G-20 stock markets
Haque, Mahfuzul; Shamsub, Hannarong - In: International Journal of Financial Studies : open … 3 (2015) 4, pp. 557-586
The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four …&P 500 and G-20 stock indices moved towards less cointegration. The decreasing number of cointegrating relationships implies …
Persistent link: https://www.econbiz.de/10011408937
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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand
Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10010406272
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Links between the Eurozone stock markets : a new perspective, considering the capitalization level
Gabriel, Vítor; Saraiva, Helena - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 194-209
Recent legalizations of cannabis at the state level in the United States have given rise to renewed interest in the price elasticity of demand for cannabis and implications for likely state excise and sales tax revenues. We use crowdsourced data on prices, qualities, and consumption of cannabis...
Persistent link: https://www.econbiz.de/10011694292
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Return and volatility spillovers between Nigeria and selected stock markets : evidence from a diagonal BEKK-AMGARCH model
Karimo, Tari Moses; Ochoche, Abraham; Atoi, Ngozi Victor - In: West African journal of monetary and economic integration 22 (2022) 2, pp. 1-23
The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock markets over the period January 2000 to August 2021 using a diagonal BEKK-AMGARCH model. Results show that the Nigerian stock market exhibits characteristics of inefficiency, as...
Persistent link: https://www.econbiz.de/10014516032
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Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone : impact of global financial crisis
Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru economic : an economic and business research … 23 (2021) 58, pp. 824-842
spectrum of econometric tools (cointegration, VAR model, Granger causality, variance decomposition) and comparison of changes … markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets … markets of selected new EU member states in Central Europe (the Czech Republic, Hungary, and Poland), the global stock market …
Persistent link: https://www.econbiz.de/10012939609
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing …
Persistent link: https://www.econbiz.de/10011479769
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An Investigation of Cointegration and Casualty Relationships between the PIIGS' Stock Markets
Christopoulos, Apostolos G. - 2017
The purpose of this paper is to test whether cointegration and causality relationships exists among the Europrean Stock … of cointegration among these stock markets will show that the advantages one might have by internationally diversifying … important, since Europe faces the most severe financial crisis of its history …
Persistent link: https://www.econbiz.de/10012972481