Download or read book On the Dynamic Interdependence of International Stock Markets written by Dušan Isakov and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Dynamic Interdependence of International Stock Markets written by Christophe Perignon and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the links existing between the Swiss stock market and the five largest stock markets in the world (USA, Japan, United Kingdom, Germany and France) in terms of return and volatility. We find that conditional heteroskedasticity is present in every market and also that conditional volatility responds asymmetrically to past shocks. In order to properly take account of these phenomena we estimate a series of bivariate asymmetric AR(1)-GARCH(1,1) models to measure the links existing between the Swiss stock market and the five other stock markets. The results indicate that the US market has the strongest influence on the Swiss market in terms of returns and volatility. Links with other markets in terms of returns are relatively weak. The German and British markets strongly influence the volatility of the Swiss market. On the other hand, we find that the Swiss market has a statistically significant but economically weak influence on the foreign markets.
Download or read book The Structure of Interdependence in International Stock Markets written by David Bessler and published by . This book was released on 2002 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the dynamic structure of nine major stock markets using an error correction model and directed acyclic graphs (DAG). The DAG representation provides a structure of causality among these markets in contemporaneous time. Building on this contemporaneous structure and the estimated error correction model, innovation accounting techniques are applied. The results show that the Japanese market is among the most highly exogenous and the Canadian and French markets among the least exogenous in our nine-market study. The U.S. market is highly influenced by its own historical innovations, but it is also influenced by market innovations from the U.K., Switzerland, Hong Kong, France and Germany. The U.S. market is the only market that has a consistently strong impact on price movements in other major stock markets in the longer-run.
Download or read book Interdependence of International Stock Markets written by Barry O'Driscoll and published by . This book was released on 2001 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Transmission of Stock Market Movements written by Cheol S. Eun and published by . This book was released on 1988 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book STOCK MARKET BEHAVIOR AND INTEGRATION AMONG GLOBAL STOCK MARKETS AN EMPIRICAL INVESTIGATION written by Arul Sulochana Y and published by Faculty of Management Sciences. This book was released on 2022-07-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors and researchers have been paying more attention to the emerging stock markets performance. Analysing stock market behaviour and stock market efficiency is important for investors because it allows the investors to understand the stock market behaviour better and consequently make more sensible choices. The investors can make above average profits through investments in different markets by taking advantage of any abnormalities when they occur. In the context of globalization and increasing opportunities to the investors to invest abroad, it is essential for the international portfolio investors from India to understand the level of interdependence among the major stock markets in the world and its impact on the Indian stock market.Efficiency in the domestic stock market has important implications for issuers of equity and portfolio investors. Furthermore, an efficient stock market can attract foreign portfolio investment, support domestic savings and improve the mobility of capital and financial resources. Market efficiency has an important bearing on fund managers and investment bankers and more specifically the investors who are seeking to diversify their portfolio internationally. With increased movement of investment across international boundaries due to the integration of world economies, understanding of global stock market efficiency is also gaining greater becoming more important.It is difficult for the foreign institutional investors to identify profitable markets during negative global cues. Framing an investment policy is difficult by considering native market behaviour alone. Stock market operations are dynamic in nature. newline.
Download or read book The Integration of World Capital Markets written by Mr.Michael Mussa and published by International Monetary Fund. This book was released on 1993-12-01 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the extent to which national capital markets have become linked, and identifies several of the more important consequences of that increased degree of integration. Alternative approaches to the measurement of capital market integration are reviewed, including deviations from the law of one price, differences between actual and optimally diversified portfolios, correlations between domestic investment and domestic saving, and cross-country links in consumption behavior. Two recent episodes of large-scale international capital flows—namely, the turmoil in the European Monetary System in the fall of 1992, and the surge of capital inflows into Latin America during the last three years—are examined for insights into the workings of today’s global capital market. Finally, the paper offers some concluding remarks on the future development of international capital markets, on exchange rate management, on alternative approaches to living with larger and more influential financial markets, and on the financing of investment in the formerly centrally planned economies.
Download or read book International Stock Market Interdependence written by Lu Liu and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a dynamic panel-data gravity model to explain the correlations between 40 markets from 1996 to 2010 using four types of market linkages: information capacity, financial integration, economic integration, and similarity in industrial structure. The mechanism of interdependence of developed markets and that of developing markets are heterogeneous: 1) information capacity and industrial structure similarity have significant impact on the correlations of a developed market with other markets; 2) economic integration drives the correlations of a developing market with other markets; 3) financial integration is important for interdependence among developed markets and that among developing markets, but not for that between developed and developing markets. The EMU has a significant positive impact on stock market integration from 1996 to 2002. This impact increases after the inauguration of the EMU in 1999 but does not increase further after the monetary transition being accomplished in 2002.
Download or read book Stock Market Integration written by Pradeep Kumar Panda and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: India has much less exposure in the stock market integration literature until recently. Given India's fast-growing economic influence, research on the Indian stock market still seems to be inadequate and needs further investigation. The present study extends the existing stock market integration literature in the following ways. First, to provide further evidence, we examine the dynamic price linkages and interdependence between the stock market of India and that of the U.S., U.K., Japan, Singapore, Honk Kong, Malaysia, South Korea, Taiwan, and China using daily stock price indices data covering the period January 2, 2001 to November 28, 2008. Second, this research examines examine the long-term and short-term dynamic relationship among the stock prices using Johansen-Juselius cointegration, vector error correction model and Granger causality test. Additionally, the innovation accounting analysis is conducted to further investigate the interactions between the Indian markets and others world markets. And lastly, the results from this research provide implications regarding international diversification and market efficiency that are important for investors and fund managers who are interested in investing in these markets. From the study, we can conclude that, Indian market is having a cointegrating relationship with US financial market. But relationship with other financial markets is not well established.
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 Some Evidence on the Interdependence of National Stock Markets and the Gains from International Portfolio Diversification written by J. D. Byers and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Some Evidence on the Interdependence of National Stock Markets from International Portfolio Diversification written by J. D. Byers and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Intraday Interdependence of International Stock Markets written by Ulrich Carl and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the interdependence between international equity markets represented by the S&P 500 Mini Future, the Eurostoxx 50 Future and the Nikkei 225 Dollar Future using 5 minute tick data from April 2007 until February 2012. This very recent, high-frequency, future market data approach has a significant advantage over previous research based on lower frequency data by explicitly accounting for intraday effects and avoiding biases due to non-synchronous data. A preliminary analysis of hourly data reveals distinct intraday patterns especially in hourly volatility, correlations and volume. For the study of correlation and volatility, the trading day for each pair of markets is divided into four subsections of varying trading activity. The correlation is highest when only the American stock markets are open. While the European volatility strongly depends on the opening status of the U.S. equity markets, the American volatility is much less affected by the opening status of the European equity markets. This clearly indicates that U.S. markets are still dominant. The opening of a major stock exchange significantly increases volatility and correlation. There is no statistically significant return pattern, but some indication for a trend reversal in Eurostoxx 50 returns after Stoxx opening.
Download or read book Structure and Performance Global Interdependence of Stock Markets Around the Crash of October 1987 written by Elisabetta Bertero and published by . This book was released on 1989 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time varying Nature of Stock Market Interdependence written by Avishek Bhandari and published by . This book was released on 2020 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the literature on global market integration, the strength of interdependence has been measured in different ways. However, only an accurate measure of strength of interdependence helps in understanding the nature of integration among markets. This article, by employing novel time-frequency based wavelet techniques, analyses the interdependence of global equity markets from a heterogeneous investor perspective, with a special focus on the Indian stock market. With the wavelet framework effectively capturing the heterogeneity of market participants' space of operation, an analysis grounded in this framework allows one to capture information from adifferent dimension than the traditional time domain analyses, where the multi-scale structures of financial markets are clearly extracted.
Download or read book The Evolution of Interdependence in World Equity Markets written by Brian M. Lucey and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The minimum spanning tree (a concept from Physics) is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single- and multiple-step linkage survival rates. Over the period studied, 1997-2006, the tree shows a tendency to become more compact. This implies that global equity markets are increasingly interrelated. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification.
Download or read book Price Interdependence Among Equity Markets in the Asia Pacific Region written by Eduardo Roca and published by Routledge. This book was released on 2020-11-25 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
