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Determinants of Stock Market Correlation. 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 … current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …
Persistent link: https://www.econbiz.de/10014237624
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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 … current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …
Persistent link: https://www.econbiz.de/10013380503
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Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
; correlation …
Persistent link: https://www.econbiz.de/10003796141
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Dynamic interactions between foreign institutional investment flows and stock market returns : the case of India
Bulsara, Hemantkumar P.; Dhingra, Vaishali Samir; … - In: Contemporary economics 9 (2015) 3, pp. 271-298
January, 2004 through September, 2012. The analysis employs a Cross Correlation Function (CCF) approach, a Granger Causality …
Persistent link: https://www.econbiz.de/10011392151
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Empirical evidence on the stock-bond correlation
Molenaar, Roderick; Senechal, Edouard; Swinkels, Laurens; … - 2023
The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move … and magnitude of the stock-bond correlation. Our historical analyses across countries suggest that our findings are robust …. We apply these insights to analyze the implications of a shift in stock-bond correlation regime for the risk of multi …
Persistent link: https://www.econbiz.de/10014349506
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Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries
Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19
This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …
Persistent link: https://www.econbiz.de/10014305816
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On the dynamics of international stock market efficiency
Khaled, Mohammed S.; Keef, Stephen P. - In: Cogent economics & finance 2 (2014) 1, pp. 1-11
The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There...
Persistent link: https://www.econbiz.de/10010470565
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Inter Linkages of Indian Stock Market with Advanced Emerging Markets
Tripathi, Vanita - 2012
This paper examines the short run and long run inter linkages of the Indian stock market with those of Advanced emerging markets viz. Brazil, Hungary, Taiwan, Mexico, Poland and South Africa over the period ranging from 1 January 1992 to 31 December 2009 using Johansen co-integration test and...
Persistent link: https://www.econbiz.de/10013098829
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Time-varying comovement and changes of comovement structure in the Chinese stock market : a causal network method
Bu, Hui; Tang, Wenjin; Wu, Junjie - In: Economic modelling 81 (2019), pp. 181-204
Persistent link: https://www.econbiz.de/10012201934
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Integrating out natural disaster shocks
Bremus, Franziska; Rieth, Malte - 2023
We study the role of international financial integration in buffering natural disaster shocks, using a large sample of advanced and emerging economies. Conditioning on such exogenous events addresses the endogeneity between financial structures and economic conditions. We document that...
Persistent link: https://www.econbiz.de/10014468927