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The Structure Of Interdependence In International Stock Markets
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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 Structure and Performance : Global Interdependence of Stock Markets Around the Crash of October 1987 by : Elisabetta Bertero
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:
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 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 Price Interdependence Among Equity Markets in the Asia-Pacific Region: Focus on Australia and ASEAN by : Eduardo D Roca
Download or read book Price Interdependence Among Equity Markets in the Asia-Pacific Region: Focus on Australia and ASEAN written by Eduardo D Roca and published by Routledge. This book was released on 2018-01-18 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.
Book Synopsis Economic Growth, Capital Structures, and Market Interdependence by : Sumit Agarwal
Download or read book Economic Growth, Capital Structures, and Market Interdependence written by Sumit Agarwal and published by . This book was released on 1999 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Some Evidence on the Interdependence of National Stock Markets from International Portfolio Diversification by : J. D. Byers
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:
Book Synopsis International Stock Market Interdependence by : Lu Liu
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.
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 Some Evidence on the Interdependence of National Stock Markets and the Gains from International Portfolio Diversification by : J. D. Byers
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:
Book Synopsis The Interdependence Between Stock Markets of BRIC and Developed Countries and the Impact of Oil Prices on this Interdependence by : Ruslan Grigoryev
Download or read book The Interdependence Between Stock Markets of BRIC and Developed Countries and the Impact of Oil Prices on this Interdependence written by Ruslan Grigoryev and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 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 The Interdependence of United States and Western Europe Stock Markets by : Donald Turner Van Wart
Download or read book The Interdependence of United States and Western Europe Stock Markets written by Donald Turner Van Wart and published by . This book was released on 1967 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cross-national Stock Market Interdependence by : Gyorgy Konda
Download or read book Cross-national Stock Market Interdependence written by Gyorgy Konda and published by . This book was released on 1997 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
