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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...
Persistent link: https://www.econbiz.de/10010229208
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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
The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this...
Persistent link: https://www.econbiz.de/10012939609
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A Network Visualization Approach and Global Stock Market Integration
Buckle, Mike - 2015
This paper utilizes the daily prices of the market indices in 57 countries across the world from 2nd January 1997 to 30 …
Persistent link: https://www.econbiz.de/10013028942
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Global Portfolio Investment Network and Stock Market Co-Movement
Chuluun, Tuugi - 2015
We construct a global portfolio investment network by employing network analysis and using bilateral cross-border portfolio holdings data and show that a country's network centrality within this global network has a positive relationship with stock market co-movement. Moreover, network...
Persistent link: https://www.econbiz.de/10013032828
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Regional and Inter-Regional Financial Integration : ASEM Equity Markets
Jaccob, Dina - 2014
The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional cooperation between the European and Asian countries. This book examines the equity market integration among 49 ASEM members both in EU and Asia, and to investigate whether such...
Persistent link: https://www.econbiz.de/10013049408
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Global Financial Crisis and International Stock Market Co-Movements : An Empirical Study
Khanna, Kirti - 2014
encroachments in the middle of 2007 and into 2008. During this period the world stock markets have fallen, large financial …
Persistent link: https://www.econbiz.de/10013051786
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Is World Stock Market Co-Movement Changing?
Blackburn, Douglas W. - 2012
We examine world stock market comovement for 23 countries over 30-years from 1981 to 2010 -- a period that includes … analysis is based on a generalized factor model that allows for country, regional, and world factors. We show that the commonly … used world Fama French factor model with the world value-weighted portfolio as a proxy for the world factor, has biased …
Persistent link: https://www.econbiz.de/10013108984
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Can Cross-Border Funding Frictions Explain Financial Integration Reversals?
Akbari, Amir - 2020
We show that constraints on using leverage for foreign positions can act as an international investment barrier. Guided by an international CAPM with leverage constraints, we use observed stock prices to measure the variation in the magnitude and the implicit cost of such cross-border funding...
Persistent link: https://www.econbiz.de/10012853793
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International Stock Market Co-Movements and Politics-Related Risks
Pagliardi, Giovanni - 2019
We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic...
Persistent link: https://www.econbiz.de/10012890799
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Which market integration measure?
Billio, Monica; Donadelli, Michael; Paradiso, Antonio; … - 2016
This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an...
Persistent link: https://www.econbiz.de/10011572769