Download or read book A Spatial Analysis of International Stock Market Linkages written by Hossein Asgharian and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We employ spatial econometrics techniques to investigate to what extent countries' economic and geographical relations affect their stock market co-movements. Among the relations that we analyze, bilateral trade proves to be best suited to capture co-variations in returns. We find a strong effect of a unit shock to three regionally dominant countries, namely the US, the UK, and Japan, on other countries through the trade linkage. The degree of stock market dependence increases and the importance of proximity decreases over time and during recessions. We also analyze several regional crises and find a large impact of Thailand on its trade neighbors during the Asian crisis.
Download or read book A Gravity Analysis of International Stock Market Linkages written by Wing-Keung Wong and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last decade has witnessed a marked improvement in information technology. Such an improvement has reduced the information cost for market participants. Thus, whether the influence of geographic factors on international financial linkage is still significant nowadays is an important question yet to be addressed. This paper develops a gravity model of international financial linkages. Using the panel data of bilateral cross-country stock market correlations of 23 countries, it is found that the correlations are negatively associated with the great circular distance between the financial centers of these countries, and positively associated with the duration of overlapping trading hours among stock exchanges and the colonial links between countries. However, whether the countries share a common border or language does not affect the stock market correlations.
Download or read book Anatomy of Global Stock Market Crashes written by Gagari Chakrabarti and published by Springer Science & Business Media. This book was released on 2012-01-05 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.
Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Download or read book Stock Market Integration written by E. Dorodnykh and published by Springer. This book was released on 2015-12-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an original approach to the determinants of stock exchange integration. With case studies of successful integration projects in Europe, North America, Latin America as well as intercontinental cross-border mergers, it provides a complete analysis of all existing integration projects between stock exchange markets.
Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-20 with total page 1011 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Empirical Applications introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Download or read book International Stock Markets Linkages and Arbitrage Between Futures and Spot Markets written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock markets linkages and analysis of the arbitrage between spot and futures markets. The first part is devoted to examination of long and short term dependencies between markets. As an example of long term relationship between stock markets, the influence of US market on the most important markets during twenty years period was subject of examination. In turn, to examine short term relationship the dependencies between Japanese and Hong Kong markets during Asian crisis 1997 were scrutinized. The examination of stock of linkages was carried out by application of Markov Switching models. This approach has an advantage to the previous methods because it does not assume a priori a form of relationship between financial markets. Moreover, the Markov Switching framework allows calculating the probability that one market is in crisis or calm regime conditional on different sets of information about other markets. According to the obtained results the contagion between financial markets was rejected, however, sufficient facts supporting the presence of feedback spillovers were found. The second part of thesis presents results of detailed analysis of arbitrage opportunity between spot and futures markets on Polish blue chips index WIG 20. The Polish stock market is one of the emerging futures markets in Europe, it is characterised by proprieties which were absent in case of previous studies of arbitrage. The analysis shows that the lack of efficiency in arbitrage sense is due to the fact that investors have limited access to short sale, there is uncertainty about the size of interest rates, and dividends are paid in an irregular way. Finally, the thesis provide detailed mathematical derivation of the price of future contract and the value of forward contract on zero coupon bond when the short term interest rate is modelled by Cox-Ingersoll-Ross model. In addition, the thesis contains some comments on the methods of deriving price of contigent claims.
Download or read book Global Stock Market Integration written by Sabur Mollah and published by Springer. This book was released on 2016-02-10 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
Download or read book Stock Market Linkages written by Patricia Oh Swee Ling and published by LAP Lambert Academic Publishing. This book was released on 2012-03 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship across regional equity markets of Indonesia, Malaysia, the Philippines, Singapore and Thailand. Two sets of data for each respective country were selected for this study which include the series in logged form and also the volatility series. Both data streaks are segregated into three sub-periods of interest including the full-sample, pre-crisis and post-crisis. Also, a combination of econometrical analyses had been adopted in order to examine the co-movement of these markets. Overall, this study provides a plausible forefront to policy makers suggesting whether or not international diversification of portfolio investment within the context of the ASEAN-5 equity markets are made beneficial to regional and international investors.
Download or read book Exploring Linkages Between International Stock Markets Using Graphical Models for Multivariate Time Series written by Gehlavij Mohammadi and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we apply graphical statistics models for analyzing causality relations among various international stock markets. We present Graphical models in terms of conditional independence in probability spaces, as opposed to conditional orthogonality of Hilbert spaces, which is the usual presentation of this theory in the literature. We introduce the concept of causality graph with weights to assess for the different degrees of causality relations among markets, i.e., causes coming far from the past are distinguish from causes from the most immediate past. We programmed the construction of causality graphs in R, and apply this methodology to a small sample of 3 major stock markets indices S \& P 500, Nikkei 225 and FTSE 100 to trace the spillover of volatility between them. We repeat this experiment with 11 major stock indices representing industrialized as well as emerging markets all over the world. . The general topic of research is Graphical models for Time Series Analysis and the specific focus will be on Causality Graphs and Financial time series applications. On top of this graph framework we will impose some combinatorics of graphs. Among possible applications: volatility spill over; worldwide causality relations among stock markets.
Download or read book Stock Market Integration and the Pricing for Regionalism written by Chee Wooi Hooy and published by . This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring International Economic Linkages with Stock Market Data written by John Ammer and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book There is No Place Like Home written by Ralph Bluethgen and published by . This book was released on 2008 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that place of residence affects where investors trade stocks. We analyze transaction, account, and demographic data from some 19,000 retail customers of a German online brokerage house and find that investors prefer nearby stock exchanges. This local exchange bias can hardly be explained by informational advantage or lower transaction cost, but is more likely to be caused by behavioural biases. We also show that local exchange bias helps to explain equity home bias in investor portfolios. We conjecture that home bias is largely due to the behavioural biases which also underlie exchange bias. Finally, we show that independent financial advisors (IFAs) reduce both the exchange bias and the home bias of their clients. This last finding is consistent with IFAs helping their clients avoid costly investment mistakes.
Download or read book Market Efficiency and International Linkage of Stock Prices written by Yoshiro Tsutsui and published by . This book was released on 2004 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses one-minute returns on the TOPIX and Samp;P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three subperiods, we found that the efficiency has improved and the magnitude of reaction has become larger over the period in both markets. The magnitude of response in New York to a fall in Tokyo is roughly double that of a rise.
Download or read book Stock Market Linkages in Emerging Markets written by Fabiola Ravazzolo and published by . This book was released on 2004 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines stock market linkages of a group of Pacific-Basin countries with U.S. and Japan by estimating the multivariate cointegration model in both the autoregressive and moving average forms over the period 1980-1998. Recursive estimation helps identify the evolution of the linkages. The results for the 1980s indicate that the relaxation of foreign ownership restrictions was not sufficient to attract foreign investors' attention and that other factors must have affected the portfolio diversification decision. The results of the 1990s suggest that the relaxation of the restrictions might have strengthened international market interrelations. Country Funds have provided access to highly regulated capital markets.
Download or read book Stock Market Interlinkages in Emerging Markets written by Ayaz Ahmed and published by . This book was released on 1998 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Movements and Linkages Between Emerging Markets in Asia and Developed Market Indices written by Kasilingam Lingaraja and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive statistics, unit root test, correlation and pairwise granger causality test. The study used daily data from 01st January, 2005 to 31st December, 2014, to examine both short-run (year wise) and long-run (whole study period) movements and linkages between Asian emerging stock markets and two developed stock markets. The presence of short-run relationship and absence of a strong long-run relationship, among these markets, were found. The short run (year wise) and long run movements and linkages have important implications for investors, risk managers and regulators. It is found that Indian stock market experienced less movements with developed markets (USA and JAPAN). This study also suggested that India's stock market is largely protected from global events i.e., 2007-2008. The sample stock markets of these eight countries of Asian emerging markets provide attractive diversification opportunities, for international portfolio investors during the long run period. All the eight countries of Asian emerging markets provide attractive diversification opportunities for international portfolio investors, over a long period.
