Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the Korean stock market. Empirical results suggest that shocks and volatility in Dubai oil prices are significantly transmitted into twent...
In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside a...
In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous aut...
We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow o...
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empi...
28 August 2020
This study contributes to the scant finance literature on information flow from international economic policy uncertainty to emerging stock markets in Africa, using daily US economic policy uncertainty as a proxy and the daily stock market index for...
A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant...
The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we...
We investigate whether oil-price uncertainty helps forecast the international stock returns of ten advanced and emerging countries. We consider an out-of-sample period of August 1925 to September 2021, with an in-sample period between August 1920 and...
Investors and practitioners are increasingly concerned with financial assets within the scope of corporate social responsibility (CSR) meaning that, in recent times, such assets have become enshrined in the preferences of the new generations of inves...
This research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the Americ...
Against the backdrop of the “dual circulation” development pattern and the in-depth advancement of the Regional Comprehensive Economic Partnership (RCEP), the interconnection between China and global financial markets has significantly in...
As the core of sustainable development strategy, corporate social responsibility (CSR) is a concept that influences business missions, management, operations, finance, and marketing. Studies of the economic consequences of CSR have focused on the the...
With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on...
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member natio...
The accuracy of contagion prediction has been one of the most widely investigated and challenging problems in economic research. Much effort has been devoted to investigating the key determinant of contagion and enhancing more powerful prediction mod...
This study examines the dynamic interrelationship and volatility spillover among stainability stock indices (SSIs), international crude oil prices and major stock returns of European oil-importing countries (UK, Germany, France, Italy, Switzerland an...
This paper analyzes the connectedness between gold, wheat, and crude oil futures, Bitcoin, carbon emission futures, and international stock markets in the G7, BRICS, and Gulf regions with the outbreak of exogenous and unexpected shocks related to hea...
In this study, we contribute to the rapidly growing climate-finance literature by shedding light on the question of whether climate risks have predictive value for stock market returns. We measure climate risks in terms of both the change in the nort...
The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or mom...
The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to...
Using the volatility spillover index method based on the quantile vector autoregression (QVAR) model, this paper systematically examines structural changes and corresponding spillover effects within 20 major stock markets under both extreme and norma...
In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run r...
This study seeks to quantify the rising financial linkages between mainland China, Australia, Hong Kong, New Zealand, and the six largest Association of Southeast Asian Nations (ASEAN group). Stock market co-movements would be consistent with growing...
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis i...
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant...
Structural change tests aim to identify evidence of a structural break or change in the underlying generating process of a time series. The BDS test has its origins in chaos theory and seeks to test, using the correlation integral, the hypothesis tha...
This paper applies the Multivariate Stochastic Volatility (MSV) model, alongside its extended DGC-t-MSV model, and integrates Bayesian methods with MCMC techniques to develop the DGC-t-MSV-BN model. This model is specifically designed to analyze the...
In this article, we investigate the market efficiency of global stock markets using the multifractal detrended fluctuation analysis methodology and analyze the results by dividing them into developed, emerging, and frontier groups. The static analysi...
The Chinese refined oil pricing reform in 2013 has brought its refined oil price to be more aligned with the international oil price, helping to mitigate prior distorted pricing mechanisms. Its impact on the correlation, tail risks, and spillover eff...
The development of a methodology for the growth of the stock market through a deep transformation of the economic development system and introduction of digital technologies. The article is devoted to the study of the development of stock markets&rsq...
This study investigates the integration of the Indonesian stock market with eight major trading partner countries, namely, China, Japan, the United States, Malaysia, India, Singapore, the Philippines, and South Korea. The analysis of the stock-market...
This study investigates whether the merger of NASDAQ and OMX could reduce the portfolio diversification possibilities for stock market investors and whether it is necessary to implement national policies and international treaties for the sustainable...
Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understandi...
In order to address a series of issues, including energy security, global warming, and environmental protection, China has ranked first in global renewable investment for the seventh consecutive year. However, developing a renewable energy industry r...
This study examines the linkages between Brazil, Russia, India, and China (BRICS) stock market returns, country risk ratings, and international factors via Non-linear Auto Regressive Distributed Lags models (NARDL) that allow for testing the asymmetr...
Stock markets serve as a conduit for money and liquidity, which are necessary for economic growth and stability. This study aimed to determine whether stock market impacts are communicated in an economically unstable environment, characterised by vol...
Analysis of the relationships among global stock markets is crucial for international investors, regulators, and policymakers, particularly during a crisis. Complex network theory was applied to analyze the relationship between global stock markets d...
Current integration and co-movement among international stock markets has been boosted by increased globalization of the world economy, and profit-chasing capital surfing across borders. With a reputation as the fastest growing economy in the world,...
The issue of co-movements is still crucial and arguable in international finance. An optimum and significant level of co-movement is highly desirable to investors, and it mostly depends on investors’ decisions (behavior and psychology). We use...
The expectile-based Value at Risk (EVaR) has gained popularity as it is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). This paper applies the expectile regression approach to evaluate the EVaR of st...
From the 1994 bailout policies to the 2015 Shanghai-Hong Kong Stock Connect, the policy impact on the Chinese stock market has changed over time. By May 2015, global investors can directly invest in a more legalized and normalized Chinese stock marke...
This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed inter...
The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the...
Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of d...
We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust...
The extent of correlation or co-movement among the returns of developed and emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economi...
The purpose of this study is to analyze the impacts of some prominent macroeconomic factors on the Turkish Stock Market index, BIST-100 (Borsa Istanbul-100). For centuries, and mostly since the 20th century, stock markets are at the heart of economie...
This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 m...
In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicat...
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