The Study On Co Movement Of Selected Stock Markets

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The Study on Co-Movement of Selected Stock Markets

Author : Dr. Ashwin G. Modi
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Study on Co-Movement of Selected Stock Markets by : Dr. Ashwin G. Modi

Download or read book The Study on Co-Movement of Selected Stock Markets written by Dr. Ashwin G. Modi and published by . This book was released on 2015 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The twenty-first century may well be the time when the balance of power shifts to Brazil, Russia, India and China, nations collectively referred to as BRICs economies. These nations constitute the shape of the future, giving rise to a new world economy. Leaders in BRICs are frenetically laying the groundwork for decades of new growth. Foreign Investors are investing considerably in the emerging economies with mainly two objectives; (1) To enhance the portfolio growth and; (2) To reduce portfolio risk through efficient international portfolio diversification. This paper studies various alternative techniques for recognizing co-movement resulting among the selected developed stock markets and the emerging stock markets of the world. The leading indices of the selected stock markets are considered as proxies of the markets. Using the daily Index data from July 1, 1997 to June 30, 2008, authors examine the stock market indices of India (SENSEX), Hong Kong (HANGSENG), Mexico (MXX), Russia (RTS), Brazil (BVSP), UK (FTSE-100) and US (DJIA and NASDAQ). Co-integration technique has been employed to study the short term and long-term relationships between the market pairs. The paper explores the issues like contributions of national market volatilities, external world market volatility, and some other factors influencing the correlation between stock market returns.

Volatility and Co-Movement

Author : Sarod Khandaker
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Volatility and Co-Movement by : Sarod Khandaker

Download or read book Volatility and Co-Movement written by Sarod Khandaker and published by . This book was released on 2015 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and three developed economies from January 2001 to December 2012. We find evidence that the sample of emerging economies exhibits higher stock market volatility during the study period and these volatilities increases during the global financial crisis (GFC). There is also evidence that our sample of the emerging economies exhibit higher level of stock market co-movement behaviour during the study period, for example Indonesia and Malaysia exhibit higher R-square values during 2007-2012. However, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and the co-movement measures for our sample developed and emerging countries, except for Indonesia. Therefore, it is concluded that both these market models capture different aspects of stock market behaviour.

A Study of Co Movement and Interdependence of Indian Stock Market with Selected Stock Markets

Author : Mitesh Patel
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis A Study of Co Movement and Interdependence of Indian Stock Market with Selected Stock Markets by : Mitesh Patel

Download or read book A Study of Co Movement and Interdependence of Indian Stock Market with Selected Stock Markets written by Mitesh Patel and published by . This book was released on 2015 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bombay stock exchange, Hong Kong Stock Exchange, Tokyo Stock Exchange & Shanghai Stock Exchange are among the oldest exchanges in Asia. The Study was carried out with objective to examine the causal linkages among equity markets to better understand how shocks in one market are transmitted to other markets. The study was done by taking data from 1/3/2000 to till 4/6/2011. The study was done by taking stock price data of BSE, HANGSENG, TSE & SSE. Various analytical tools such as correlation, unit root test (ADF test) and granger causality test were applied in study to find co movement & dependency of Indian market over selected markets. The correlation of daily prices gives an outcome that BSE is highly correlated with Hangseng & SSE. The granger causality test reveals an outcome that BSE is not granger cause by any of the selected market. Over all it can conclude that the selected markets are not much depending on each other.

Asia-Pacific Financial Markets

Author : Suk-Joong Kim
Publisher : Elsevier
ISBN 13 : 0762314710
Total Pages : 537 pages
Book Rating : 4.7/5 (623 download)

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Book Synopsis Asia-Pacific Financial Markets by : Suk-Joong Kim

Download or read book Asia-Pacific Financial Markets written by Suk-Joong Kim and published by Elsevier. This book was released on 2007-12-12 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.

A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India

Author : Dr GangineniDhanaiah
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9386501899
Total Pages : pages
Book Rating : 4.3/5 (865 download)

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Book Synopsis A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India by : Dr GangineniDhanaiah

Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Co-Movement and Causality Between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains

Author : Tsangyao Chang
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Co-Movement and Causality Between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains by : Tsangyao Chang

Download or read book The Co-Movement and Causality Between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains written by Tsangyao Chang and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study applies wavelet analysis to examine the relationship between the U.S. real estate and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings provide robust evidence that co-movement and causality vary across frequencies and evolve with time. Examining market co-movement in the time domain, the two markets exhibit positive co-movement over recent past decades, exception for 1998-2002 when a high negative co-movement emerged. In the frequency domain, the two markets correlate with each other mainly at low frequencies (longer term), except in the second half of the 1900s as well as in 1998-2002, when the two markets correlate at high frequencies (shorter term). In addition, we find that the causal effects between the markets in the frequency domain occur generally at low frequencies (longer term). In the time-domain, the time-varying nature of long-run causalities implies structural changes in the two markets. These findings provide a more complete picture of the relationship between the U.S. real estate and stock markets over time and frequency, offering important implications for policymakers and practitioners.

Co-movement Between Oil Prices and Stock Markets

Author : Danilo Pavlićević
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.8/5 (34 download)

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Book Synopsis Co-movement Between Oil Prices and Stock Markets by : Danilo Pavlićević

Download or read book Co-movement Between Oil Prices and Stock Markets written by Danilo Pavlićević and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ever since crude oil became a lifeline to the world economy, there is no doubt that oil is the most traded commodity in the world’s stock markets. There have been numerous articles and research papers written about the relationship between oil prices and stock markets, and the correlation between the two. Vast majority of them have shown that there is a correlation between them, and that changes in one affect the other. However, very few have examined the determinants of co-movements between oil prices and stock markets using a vector autoregressive (VAR) model. This thesis examines determinants of co-movements between three oil importing countries stock market indices, as well as three oil exporting countries stock indices and the crude oil prices. What makes this study relevant is that it is not only examining stock indices of randomly selected countries, but it shows indices of three chosen oil importing and oil exporting countries. For the purpose of this research the oil importing countries used to demonstrate the effects in changes in determinants of co-movements between oil prices and stock markets are USA, China, and Germany. Each is chosen to represent certain parts of the world. For the oil exporting countries, we excluded countries whose entire GDP or at least huge portion of it, is only consistent of oil exports. Therefore, Norway, the European largest oil exporter, Russia, the world's second largest oil exporter, and Canada, largest North American oil exporter, are taken in order to reflect the effects of changes in determinants of co-movements in their respective stock markets. Economic policy uncertainty Index (EPU), Geopolitical Risk Index (GPR), the exchange rate between US dollar and all the other countries’ currencies. These are the factors affecting both oil prices and stock markets. EPU Index shows how often do national newspaper articles in a certain country write about issues pertaining to the economy uncertainty and policy-related matters. When it comes to GPR Index, it is based on measuring the frequency of words related to geopolitical tensions in leading international newspapers. The US dollar is the world’s most important currency; therefore, all the other countries in the world strive to maintain steady exchange rate between the US dollar and currencies of their own. By using vector autoregressive (VAR) model, this study will show the effects of each determinant on stock markets of US, Germany, China, Russia, Norway, and Canada.

The Dynamics of Stock Market Volatility An Analysis of Spillover Effect in Asian Market

Author : Shah Arjun
Publisher : Arjun Shah
ISBN 13 : 9784939733451
Total Pages : 0 pages
Book Rating : 4.7/5 (334 download)

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Book Synopsis The Dynamics of Stock Market Volatility An Analysis of Spillover Effect in Asian Market by : Shah Arjun

Download or read book The Dynamics of Stock Market Volatility An Analysis of Spillover Effect in Asian Market written by Shah Arjun and published by Arjun Shah. This book was released on 2023-02-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock markets serve as the economic barometers. The relationship between the two capital markets can be studied as a proxy to understand the relation between the two economies. The movement of stock market not only reflects the nation's economic condition but also the confidence level the domestic and foreign investors have in an economy. The increase in integration between the global economies has resulted in convergence and co movement. The purpose of this study is to examine the presence of volatility and test the uniformity in the extent of volatility, to investigate the possible contagion effect between the selected developed and emerging market, to check for the spillover effect between the Indian stock market and the other five sampled markets and finally inspect the relationship between the volume and volatility in the capital markets of Hong Kong, Japan, Singapore, India, China and Philippines. Stratified- convenience sampling technique is used to pick the samples and daily index values are taken from the major index of these countries for a period of seven years. The time series data were tested for stationarity and normality using ADF, PP tests and Jarque-Bera test. Returns, SD, ARIMA, ARCH, GARCH, BEKK-GARCH, Granger causality test, VAR model and Variance decomposition techniques are used for the analysis.

Co-Movement Behaviour of Stock Prices of Shanghai Stock Exchange

Author : Sarod Khandaker
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Co-Movement Behaviour of Stock Prices of Shanghai Stock Exchange by : Sarod Khandaker

Download or read book Co-Movement Behaviour of Stock Prices of Shanghai Stock Exchange written by Sarod Khandaker and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the Shanghai Stock Exchange (SSE) co-movement behaviour from January 2001 till December 2011. The study used 699 listed companies from the SSE and compares its co-movement behaviour during and after the global financial crisis. It is found that stocks in the SSE were highly synchronous during the global financial crisis; though this tendency is not visible before the GFC.The study also used the NYSE time-series data and compare with the SSE and, found evidence that time-series variables of these stock markets are negatively correlated. However, there are no statistically significant macroeconomics events to support the tendency of the Shanghai Stock Exchange synchronous behaviour during the sample period. It seems the global financial event is one of the denominators for this co-movement behaviour of the SSE.

Measuring Co-movements Between US and European Stock Markets

Author : Alessandra Bonfiglioli
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.X/5 (6 download)

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Book Synopsis Measuring Co-movements Between US and European Stock Markets by : Alessandra Bonfiglioli

Download or read book Measuring Co-movements Between US and European Stock Markets written by Alessandra Bonfiglioli and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics

Author : Seungho Jung
Publisher : International Monetary Fund
ISBN 13 : 1557759677
Total Pages : 36 pages
Book Rating : 4.5/5 (577 download)

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Book Synopsis Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics by : Seungho Jung

Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

A Study of Correlation Between Selected Asian, European and American Stock Exchange Market

Author : Abhishek Tripathi
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis A Study of Correlation Between Selected Asian, European and American Stock Exchange Market by : Abhishek Tripathi

Download or read book A Study of Correlation Between Selected Asian, European and American Stock Exchange Market written by Abhishek Tripathi and published by . This book was released on 2014 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to Liberalization there will be emergence in stock markets. It has been observed that there has been increasing interdependence between most of the developed and emerging stock markets since the 1987 Stock Market Crash. This interdependence intensified after the 1997 Asian Financial Crisis. Objective of this paper is to examine the co-movement between selected stock market of different economies such as Asian, European and USA stock markets by using correlation technique. With the help of this technique we are able to identify the correlation between USA & European market, Asian & European market and Asian and USA markets. To examine the relationship among selected Asian countries, European and United States of America we are able to identify the correlation between return index of selected stock exchange.

No Contagion, Only Interdependence

Author : Kristin Forbes
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis No Contagion, Only Interdependence by : Kristin Forbes

Download or read book No Contagion, Only Interdependence written by Kristin Forbes and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

Author : Ramazan Gençay
Publisher : Elsevier
ISBN 13 : 0080509223
Total Pages : 383 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by : Ramazan Gençay

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

The Rise in Comovement Across National Stock Markets

Author : Robin Brooks
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Rise in Comovement Across National Stock Markets by : Robin Brooks

Download or read book The Rise in Comovement Across National Stock Markets written by Robin Brooks and published by International Monetary Fund. This book was released on 2002-09 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.

Dynamical Heterogeneities in Glasses, Colloids, and Granular Media

Author : Ludovic Berthier
Publisher : OUP Oxford
ISBN 13 : 0191621307
Total Pages : 464 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Dynamical Heterogeneities in Glasses, Colloids, and Granular Media by : Ludovic Berthier

Download or read book Dynamical Heterogeneities in Glasses, Colloids, and Granular Media written by Ludovic Berthier and published by OUP Oxford. This book was released on 2011-07-14 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most of the solid materials we use in everyday life, from plastics to cosmetic gels exist under a non-crystalline, amorphous form: they are glasses. Yet, we are still seeking a fundamental explanation as to what glasses really are and to why they form. In this book, we survey the most recent theoretical and experimental research dealing with glassy physics, from molecular to colloidal glasses and granular media. Leading experts in this field present broad and original perspectives on one of the deepest mysteries of condensed matter physics, with an emphasis on the key role played by heterogeneities in the dynamics of glassiness.

Cross-country Stock Market Comovement

Author : Alexis Anagnostopoulos
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (124 download)

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Book Synopsis Cross-country Stock Market Comovement by : Alexis Anagnostopoulos

Download or read book Cross-country Stock Market Comovement written by Alexis Anagnostopoulos and published by . This book was released on 2021 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We establish a link between two recent trends: (i) the rise in cross-country stock market correlations over the past three decades, and (ii) the increase in foreign direct investment (FDI) positions over the same period. We document the presence of these phenomena, both for the US versus developed economies, as well as for bilateral pairs of six developed economies with major stock markets, and show that the relation between FDI and stock market correlations survives controlling for other relevant factors. We then develop a two-country asset pricing model with multinational firms in order to inspect and quantify the mechanism underlying the increases in stock market correlations and FDI. We find that the increase in FDI positions in the calibrated model can account for approximately one third of the rise in the observed stock market correlations. We also extend the model to account for increases in trade and portfolio diversification and find that, in contrast to FDI, these two factors do not generate an increase in stock market correlations.