Search results

1 – 10 of over 10000
Book part
Publication date: 4 October 2018

Pym Manopimoke, Suthawan Prukumpai and Yuthana Sethapramote

This chapter examines dynamic connectedness among emerging Asian equity markets as well as explores their linkages vis-à-vis other major global markets. We find that international…

Abstract

This chapter examines dynamic connectedness among emerging Asian equity markets as well as explores their linkages vis-à-vis other major global markets. We find that international equity markets are tightly integrated. Measuring connectedness based on a generalized Vector Autoregressive (VAR) model, more than half of all total forecast error variance in equity return and volatility shocks come from other markets as opposed to country own shocks. When examining the degree of connectedness over time, we find that international stock markets have become increasingly connected, with a gentle upward trend since the Asian financial crisis (AFC) but with a rapid burst during the global financial crisis (GFC). Despite the growing importance of Asian emerging markets in the world economy, we find that their influence on advanced economies are still relatively small, with no significant increase over time. During the past decade, advanced markets have been consistently net transmitters of shocks while emerging Asian markets act as net receivers. Based on the nature of equity shock spillovers, we also find that advanced countries are still tightly connected among themselves while intraregional connectedness within Asia remains strong. By investigating whether uncertainty plays an important role in explaining the degree of stock market connectedness, we find that economic policy uncertainty (EPU) from the US is an important source of financial shock spillover for the majority of international equity markets. In contrast, US financial market uncertainty as proxied by the VIX index drives equity market spillovers only among advanced economies.

Details

Banking and Finance Issues in Emerging Markets
Type: Book
ISBN: 978-1-78756-453-4

Keywords

Article
Publication date: 20 January 2023

Ujjawal Sawarn and Pradyumna Dash

This study aims to examine the uncertainty spillover among eight important asset classes (cryptocurrencies, US stocks, US bonds, US dollar, agriculture, metal, oil and gold) using…

Abstract

Purpose

This study aims to examine the uncertainty spillover among eight important asset classes (cryptocurrencies, US stocks, US bonds, US dollar, agriculture, metal, oil and gold) using weekly data from 2014 to 2020. This study also examines the US macro uncertainty and US financial stress spillover on these assets.

Design/methodology/approach

The authors use time–frequency connectedness method to study the uncertainty spillover among the asset classes.

Findings

This study’s findings revealed that the uncertainty spillover is time-varying and peaked during the 2016 oil supply glut and COVID-19 pandemic. US stocks are the highest transmitter of uncertainty to all other assets, followed by the US dollar and oil. US stocks (US dollar and oil) transmit uncertainty in long (short) term. Furthermore, US macro uncertainty is the net transmitter of uncertainty to the US stocks, industrial metals and oil markets. In contrast, US financial stress is the net transmitter of uncertainty to the US bonds, cryptocurrencies, the US dollar and gold markets. US financial stress (US macro uncertainty) has long (short)-term effects on asset price volatility.

Originality/value

This study complements the studies on volatility spillover among the important asset classes. This study also includes recently financialized asset classes such as cryptocurrencies, agricultural and industrial commodities. This study examines the macro uncertainty and financial stress spillover on these assets.

Details

Studies in Economics and Finance, vol. 40 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 13 May 2020

Umm E. Habiba, Shen Peilong, Wenlong Zhang and Kashif Hamid

The purpose of this paper is to investigate the cointegration and volatility spillover dynamics between the USA and South Asian stock markets, namely, India, Pakistan and Sri…

Abstract

Purpose

The purpose of this paper is to investigate the cointegration and volatility spillover dynamics between the USA and South Asian stock markets, namely, India, Pakistan and Sri Lanka. The main objective of this study is to provide the knowledge about integration of financial market and volatility spillovers before, during and after global financial crisis to investors, fund managers and policy-makers.

Design/methodology/approach

The Johansen and Juselius cointegration test, Granger Causality test and bivaraite EGARCH model have been applied in this study to examine integration and volatility spillovers between selected stock markets.

Findings

The findings show that long-term integration between the USA market and South Asian emerging stock markets. It is found that USA stock market has causal relationship with emerging stock markets in short-term. The findings of EGARCH model reveal that asymmetric volatility spillover effects significant in all selected stock markets in pre, during and post-crisis periods. Furthermore, significant volatility spillover is found from stock markets of USA to all selected South Asian markets during and post-crisis periods. However, volatility spillovers from USA to India and Sri-Lanka markets are significant, while insignificant in case of Pakistani market in pre-crisis period. Overall, we find that returns and volatility spillover effects are higher in financial crisis period as compared to non-financial crisis period.

Practical implications

The findings of this paper have important implications for investors, portfolio managers and policy-makers. They can take potential benefits from international portfolio diversification by considering all these facts. The understanding and knowledge of across volatility transmission help them to maximize the gains from diversification and minimize the risk. Policy-makers can develop such strategies which protect the markets of these economies from future financial crisis.

Originality/value

Although in finance literature numerous studies have been conducted on integration between different stock markets, most of the studies investigated the integration and volatility spillovers between developed stock markets. However, many studies also analyzed the integration among emerging stock markets in literature review but it is hard to find studies in the context of South Asian stock markets on the effect of global financial crisis on stock markets. The main contribution of this study is to investigate the stock markets integration and volatility transmission between the USA and South Asia by considering the effect of recent 2007 US subprime financial crisis.

Details

Journal of Asia Business Studies, vol. 14 no. 5
Type: Research Article
ISSN: 1558-7894

Keywords

Article
Publication date: 31 October 2023

Siong Min Foo, Nazrul Hisyam Ab Razak, Fakarudin Kamarudin, Noor Azlinna Binti Azizan and Nadisah Zakaria

This study comprehensively aims to review the key influential and intellectual aspects of spillovers between Islamic and conventional financial markets.

Abstract

Purpose

This study comprehensively aims to review the key influential and intellectual aspects of spillovers between Islamic and conventional financial markets.

Design/methodology/approach

The study uses the bibliometric and content analysis methods using the VOSviewer software to analyse 52 academic documents derived from the Web of Sciences (WoS) between 2015 and June 2022.

Findings

The results demonstrate the influential aspects of spillovers between Islamic and conventional financial markets, including the leading authors, journals, countries and institutions and the intellectual aspects of literature. These aspects are synthesised into four main streams: research between stock indexes; studies between stock indexes, oil and precious metal; works between Sukuk, bond and indexes; and empirical studies review. The authors also propose future research directions in spillovers between Islamic and conventional financial markets.

Research limitations/implications

Our study is subject to several limitations. Firstly, the authors only used the WoS database. Secondly, the study only includes papers and reviews written in English from the WoS. This study assists academic scholars, practitioners and regulatory bodies in further exploring the suggested issues in future studies and improving and predicting economic and financial stability.

Originality/value

To the best of the authors’ knowledge, no extant empirical studies have been conducted in this area of research interest.

Details

Journal of Islamic Accounting and Business Research, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 29 November 2022

Menggen Chen and Yuanren Zhou

The purpose of this paper is to explore the dynamic interdependence structure and risk spillover effect between the Chinese stock market and the US stock market.

Abstract

Purpose

The purpose of this paper is to explore the dynamic interdependence structure and risk spillover effect between the Chinese stock market and the US stock market.

Design/methodology/approach

This paper mainly uses the multivariate R-vine copula-complex network analysis and the multivariate R-vine copula-CoVaR model and selects stock price indices and their subsector indices as samples.

Findings

The empirical results indicate that the Energy, Materials and Financials sectors have leading roles in the interdependent structure of the Chinese and US stock markets, while the Utilities and Real Estate sectors have the least important positions. The comprehensive influence of the Chinese stock market is similar to that of the US stock market but with smaller differences in the influence of different sectors of the US stock market on the overall interdependent structure system. Over time, the interdependent structure of both stock markets changed; the sector status gradually equalized; the contribution of the same sector in different countries to the interdependent structure converged; and the degree of interaction between the two stock markets was positively correlated with the degree of market volatility.

Originality/value

This paper employs the methods of nonlinear cointegration and the R-vine copula function to explore the interactive relationship and risk spillover effect between the Chinese stock market and the US stock market. This paper proposes the R-vine copula-complex network analysis method to creatively construct the interdependent network structure of the two stock markets. This paper combines the generalized CoVaR method with the R-vine copula function, introduces the stock market decline and rise risk and further discusses the risk spillover effect between the two stock markets.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 16 May 2016

Yu Wang and Lei Liu

The purpose of this paper is to provide a method for computing the spillover index first proposed by Diebold and Yilmaz (2009), with empirical application on Asian stock markets…

2146

Abstract

Purpose

The purpose of this paper is to provide a method for computing the spillover index first proposed by Diebold and Yilmaz (2009), with empirical application on Asian stock markets.

Design/methodology/approach

It is based on a VAR-structural-GARCH model.

Findings

The results clearly show that the main driver of fluctuations in Asian financial markets is the USA, with China having little connection with other markets. Further, evidence of financial contagion is found during both the 1997 Asian financial crisis and the 2008 global financial crisis.

Originality/value

The method has two advantages: it is both uniquely determined and dynamic.

Details

China Finance Review International, vol. 6 no. 2
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 15 March 2023

Imran Khan

BRICS (Brazil, Russia, India, China, and South Africa) a group of five emerging nations that are expected to lead the global economy by the year 2050. The growth potential of…

Abstract

Purpose

BRICS (Brazil, Russia, India, China, and South Africa) a group of five emerging nations that are expected to lead the global economy by the year 2050. The growth potential of these nations attracts investors from all over the world who are in search of maximizing the return on their investments and limiting the losses to the lowest possible level. The purpose of this research study is to determine whether or not Indian stock market investors can diversify their stock market portfolios into other BRICS economies.

Design/methodology/approach

A daily frequency of stock market closing data for the BRICS nations over a period of 2013–2021 has been considered and several econometric techniques have been applied. Starting with the Granger causality test for checking the direction of causality. The VAR technique is applied to find out whether the movement in the Indian stock market is influenced by its own past values or the past values of the other BRICS nations, and lastly, the DCC-MGARCH technique is applied to check the degree of integration or the volatility spillover from the Indian stock market to the stock markets of other BRICS nations.

Findings

The results of the study indicated that in both the short term and long term, stock market volatility is spilling over from the Indian stock market to the stock markets of other BRICS nations. Hence, the study suggests that BRICS nations cannot be a destination for portfolio diversification for Indian stock market investors.

Originality/value

The stock markets of emerging nations experience high volatility, which creates confusion for investors as to whether to invest or to abstain from portfolio diversification. At present, there is a gap in the existing literature to capture the stock market volatility of BRICS nations. This research study fills this research gap and confirms that BRICS nations cannot be a destination for portfolio diversification. Moreover, equity market experts, portfolio managers and researchers can all take advantage of this study.

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1026-4116

Keywords

Article
Publication date: 14 July 2023

Yang Gao, Wanqi Zheng and Yaojun Wang

This study aims to explore the risk spillover effects among different sectors of the Chinese stock market after the outbreak of COVID-19 from both Internet sentiment and price…

128

Abstract

Purpose

This study aims to explore the risk spillover effects among different sectors of the Chinese stock market after the outbreak of COVID-19 from both Internet sentiment and price fluctuations.

Design/methodology/approach

The authors develop four indicators used for risk contagion analysis, including Internet investors and news sentiments constructed by the FinBERT model, together with realized and jump volatilities yielded by high-frequency data. The authors also apply the time-varying parameter vector autoregressive (TVP-VAR) model-based and the tail-based connectedness framework to investigate the interdependence of tail risk during catastrophic events.

Findings

The empirical analysis provides meaningful results related to the COVID-19 pandemic, stock market conditions and tail behavior. The results show that after the outbreak of COVID-19, the connectivity between risk spillovers in China's stock market has grown, indicating the increased instability of the connected system and enhanced connectivity in the tail. The changes in network structure during COVID-19 pandemic are not only reflected by the increased spillover connectivity but also by the closer relationships between some industries. The authors also found that major public events could significantly impact total connectedness. In addition, spillovers and network structures vary with market conditions and tend to exhibit a highly connected network structure during extreme market status.

Originality/value

The results confirm the connectivity between sentiments and volatilities spillovers in China's stock market, especially in the tails. The conclusion further expands the practical application and theoretical framework of behavioral finance and also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management across stock sectors.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 7 February 2022

Ahmed Ghorbel, Mohamed Fakhfekh, Ahmed Jeribi and Amine Lahiani

The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Abstract

Purpose

The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Design/methodology/approach

By using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic.

Findings

The results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs.

Originality/value

The paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Details

The Journal of Risk Finance, vol. 23 no. 2
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 6 January 2023

Biplab Kumar Guru and Inder Sekhar Yadav

This work investigates the volatility spillovers across stock markets and the nature of such spillovers through different periods of crises and tranquility.

405

Abstract

Purpose

This work investigates the volatility spillovers across stock markets and the nature of such spillovers through different periods of crises and tranquility.

Design/methodology/approach

Using daily stock return volatility data from June 2003 to June 2021, the generalized forecast error variance decomposition method (based on Diebold and Yilmaz, 2012 approach) is employed to measure the degree of volatility spillovers/connectedness among stock markets of 24 Asia–Pacific and 12 European Union (EU) economies.

Findings

The empirical results from static analysis suggested that about 28.1% (63.7%) of forecast error variance in return volatility for Asia–Pacific (EU) markets is due to spillovers. The evidence from dynamic analysis suggested that during mid of the global financial crisis, European debt crisis (EDC) and Covid-19, the gross volatility spillovers for Asia–Pacific (EU) was around 67% (80%), 65% (80%) and 73% (67%), respectively. The degree of net volatility transmission from Singapore (Denmark) to other Asia–Pacific (EU) markets was found to be highest.

Practical implications

The findings have crucial implications for the investors and portfolio managers in assessment of risk and optimum allocation of assets and investment decisions.

Originality/value

This study adds to the literature on risk management by systematically examining the impact of global financial crises, EDC and Covid-19 on the market interactions by capturing the magnitude, duration and pattern of the shock-specific market volatilities for a large sample of Asian and European markets using recent and large data set.

1 – 10 of over 10000