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Intraday Interdependence Of International Stock Markets
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Book Synopsis Intraday Interdependence of International Stock Markets by : Ulrich Carl
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.
Book Synopsis Interdependence of International Stock Markets by : Barry O'Driscoll
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:
Book Synopsis The Structure of Interdependence in International Stock Markets by : David Bessler
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.
Book Synopsis Interdependence Between Eastern and Western European Stock Markets by : Balázs Égert
Download or read book Interdependence Between Eastern and Western European Stock Markets written by Balázs Égert and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European (BUX, PX-50, WIG-20) stock markets. The novelty of our paper rests mainly on the use of five-minute tick intraday price data from mid-2003 to early 2005 for stock indices and on the wide range of econometric techniques employed. We find no robust cointegration relationship for any of the stock index pairs or for any of the extended specifications. There are signs of short-term spillover effects both in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short-term relationships among the stock markets.
Book Synopsis Exchange Rate Movements and International Interdependence of Stock Markets by : Jagdeep S. Bhandari
Download or read book Exchange Rate Movements and International Interdependence of Stock Markets written by Jagdeep S. Bhandari and published by International Monetary Fund. This book was released on 1989-05-12 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Book Synopsis International Transmission of Stock Market Movements by : Cheol S. Eun
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:
Book Synopsis The Intraday Interdependence Structure Between U.S. and Japanese Equity Markets by : Kent G. Becker
Download or read book The Intraday Interdependence Structure Between U.S. and Japanese Equity Markets written by Kent G. Becker and published by . This book was released on 1990 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Dynamic Interdependence of International Stock Markets by : Dušan Isakov
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:
Book Synopsis On the Dynamic Interdependence of International Stock Markets by : Christophe Perignon
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.
Book Synopsis The Interdependence of International Equity Markets by : Louis Kenneth Fadner
Download or read book The Interdependence of International Equity Markets written by Louis Kenneth Fadner and published by . This book was released on 1969 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-varying Nature of Stock Market Interdependence by : Avishek Bhandari
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.
Book Synopsis Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007 by : Boulis Maher Ibrahim
Download or read book Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007 written by Boulis Maher Ibrahim and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we analyse the evolution of interdependence and relative influence of major international stock markets in the three main geographical regions of USA, Europe and Asia around the Global Financial Crisis (GFC) of 2007. Using the framework of the Foreign Information Transmission (FIT) model of Ibrahim and Brzeszczyński (2009) we first investigate changes around the crisis in the direct channels of information transmission (meteor showers) across the three major markets of New York, London and Tokyo in these regions. We then investigate changes in the indirect channels of information transmission by analysing the influence of certain factors that are expected to impact the relations between these stock trading centres. These factors are the differential in trading volume, the differential in stock price volatility and the interest rate differential. The results are robust to different models' specifications, and indicate that the role of the USA market as the influencer of stock price movements in other markets has weakened after the GFC, while the role of the other two trading centres of the UK and Japan has strengthened. Our findings are consistent with the explanation related to the shift in balance of economic powers between countries.
Book Synopsis Interdependence between International Stock Returns--News or Contagion Effect? by : Wenling Lin
Download or read book Interdependence between International Stock Returns--News or Contagion Effect? written by Wenling Lin and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Does the increasing trend of the globalization of equity markets increase price volatility and correlations of international stock returns by propagating a mistake in one market to another market? This paper provides new insights into this issue by examining whether such a transmission of international stock returns has any link to economic news. A one-period model of a competitive security market with heterogeneous information is set up to explain how domestic investors process foreign economic announcements and foreign price changes. The relative importance of U.S. economic announcements and price changes on Japanese stock returns is empirically tested to examine the implications of the model. Empirical results show that U.S. economic announcements-- money supply, wholesale and consumer price indices, and industrial production--have an effect on Japanese stock returns and trading volume. The results suggest that the market perception of Federal Reserves policy is globally communicable across borders.
Book Synopsis International Capital Flows by : Martin Feldstein
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Book Synopsis Intra-day Transmission of International Stock Prices by : Cheol S. Eun
Download or read book Intra-day Transmission of International Stock Prices written by Cheol S. Eun and published by . This book was released on 1996 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Book Synopsis Emerging Markets and the Global Economy by : Mohammed El Hedi Arouri
Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
