Weitere Artikel dieser Ausgabe durch Wischen aufrufen
In this paper, we examine the price discovery and volatility spillovers between eight mature market economies (MMEs) and eight emerging market economies (EMEs) from January 2003 to July 2014, covering three sub-periods—prior to the 2007–09 global financial crisis (GFC), during the crisis, and post-crisis. The results of price discovery indicate that MMEs lead EMEs in the pre-crisis and post-crisis periods. All MMEs are cointegrated with China in the pre-crisis period but not in the post-crisis period. Dynamic cointegration results reconfirm our findings from Johansen’s co-integration test. The asymmetric dynamic conditional correlation (ADCC-GARCH) coefficients suggest a regional pattern among MMEs and EMEs, except in the case of European MMEs with South Africa. Employing BEKK-GARCH model, we find that volatility spillovers of MMEs with China and of Italy with EMEs weakened in the post-crisis period as compared to the pre-crisis period implying that the GFC damaged the information transmission process, particularly for China and Italy. While China is a large economy with strong trade linkages with the rest of the world, Italy is one of the larger European economies which was in relatively greater distress during the EDC. The findings have implications for policy makers and investors.
Bitte loggen Sie sich ein, um Zugang zu diesem Inhalt zu erhalten
Sie möchten Zugang zu diesem Inhalt erhalten? Dann informieren Sie sich jetzt über unsere Produkte:
Ahmad, W., S. Sehgal, and N. Bhanumurthy. 2013. Eurozone Crisis and BRIICKS stock markets: Contagion or Market Interdependence? Economic Modelling 33: 209–225. CrossRef
Ajayi, R. A., S. Mehdian, and M. J. Perry. 2010. The relative influence of the East and the West on Middle Eastern emerging stock markets: an empirical investigation. Applied Financial Economics, 407-415.
Angelini, P., A. Nobili, and C. Picillo. 2011. The Interbank Market after August 2007: What Has Changes, and Why? Journal of Money, Credit and Banking 43 (5): 923–958. CrossRef
Asongu, S. A. 2011 April. Globalization, financial crisis and contagion: time-dynamic evidence from financial markets of developing countries. African Governance and Development Institute Working Paper, 1-13.
Awartani, B., A. I. Maghyereh, and M. Al Shiab. 2013. Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries. Journal of International Financial Markets, Institutions and Money, 224-242.
Baba, Y., R. Engle, D. Kraft, and K. Kroner (n.d.). Multivariate Simultaneous Generalized ARCH. Unpublished Manuscript.
Barba, F. G., and P. S. Ceretta. 2011. Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 crisis. Economics Bulletin, 1025-1037.
Caporale, G. M., N. Pittis, and N. Spagnolo. 2006. Volatility Transmission and Financial Crisis. Journal of Economics and Finance, 376-390.
Cappiello, L., R. Engle, and K. Sheppard. 2006. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. Journal of Financial Econometrics, 537-572.
Chan-Lau, J. A., and I. Ivaschenko. 2003. Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia. Journal of Multinational Financial Management, 303-322.
Chuang, I.-Y., J.-R. Lu, and K. Tswei. 2007. Interdependence of international equity variances: Evidence from East Asian markets. Emerging Markets Review, 311-327.
Didier, T., C. Hevia, and S. L. Schmukler. 2012. How resilient and countercyclical were emerging economies during the global financial crisis? Journal of International Money and Finance?, 31, 2052-77.
Egert, B., and E. Kocenda. 2011. Time-varying synchronization of European stock markets. Empir Econ, 393-407.
Engle, R. F. 2002. Dynamic conditional correlation: a simple class of multivariate generalised autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 339-350.
Engle, R. F., and K. F. Kroner. 1995. Multivariate Simultaneous Generalized ARCH. Econometric Theory, 122-150.
Fadhlaoui, K., M. Bellalah, A. Dherry, and M. Zouaouii. 2009. An Empirical Examination of International Diversification Benefitsin Central European Emerging Equity Markets. International Journal of Business, 163-173.
Fernandez-Serrano, J. L., and S. Sosvilla-Revero. 2003. Modelling the linkages between US and Latin American stock markets. Applied Economics, 1423-1434.
Fung, L. K.-p., C.-s. Tam, and I.-w. Yu. 2008, October. Assessing the integration of Asia’s equity and bond markets. BIS Paper No. 42. doi: 10.2139/ssrn.1331277
Gilmore, C. G., B. M. Lucey, and G. M. McManus. 2008. The dynamics of Central European equity market comovements. The Quarterly Review of Economics and Finance, 605-622.
Glick, R., and M. Hutchison. 2013. China’s financial linkages with Asia and the global financial crisis. Journal of International Money and Finance 39: 186–206. CrossRef
Hashmi, A., and L. Xingyun. 2001. Interlinkages among South East Asian stock markets (A comparison between pre- and post-1997-crisis periods). Working Paper presented at the 10th International Tor Vergata Financial Conference, December 2001. Retrieved from http://www.chass.utoronto.ca/~ahashmi/pdffiles/HashmiECO2401.pdf
Hemche, O., F. Jawadi, S. B. Maliki, and A. I. Cheffou. 2014. On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation-multivariate GARCH approach. Economic Modelling. Retrieved from http://dx.doi.org/10.1016/j.econmod.2014.09.004
Horvath, R., and D. Petrovski. 2013. International stock market integration: Central and South Eastern Europe compared. Economic Systems(37), 81-91.
Johansen, S. 1991. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica 59 (6): 1551–1580. CrossRef
Kenourgios, D., and P. Padhi. 2012. Emerging Markets and Financial Crises: Regional, Global or Isolated Shocks? Journal of Multinational Financial Management, 24-38.
Kim, S.-j. 2005. Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the U.S. and Japan. Journal of the Japanese and International Economies, 338-365.
Li, H. 2012. The impact of China’s stock market reform on its international stock China’s stock market reform on its international stock 358-368.
Li, Y., and D. E. Giles. 2015. Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets. International Journal of Finance & Economics(20), 155-177. doi: 10.1002/ijfe.1506
Manning, N. 2002. Common trends and convergence? South East Asian equity markets 1988-1999. Journal of International Money and Finance, 183-202.
Miyakoshi, T. 2003. Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Insitutions and Money, 383-399.
Morsy, H., and S. Sgherri. 2010. After the Crisis: Assessing the Damage in Italy. IMF Working Paper WP/10/244 .
Mukherjee, K. n., R. K. Mishra. 2010. Stock market integration and volatility spillover: India and its major Asian counterparts. Research in International Business and Finance, 235-251.
Mylonidis, N., and C. Kollias. 2010. Dynamic European Stock Market Convergence: Evidence from rolling cointegration analysis in the first euro-decade. Journal of Banking & Finance, 2056-2064.
Nelson, D. 1991. Conditional Heteroskedasticity in Asset Returns. Econometrica, 347-370.
Ng, A. 2000. Volatility spillover effects from Japan and the US to the Pacific-Basin. Journal of International Money and Finance, 207-233.
Nikkinen, J., V. Piljak, and J. Aijo. 2012. Baltic stock markets and the financial crisis of 2008-2009. Research in International Business and Finance, 398-409.
Olusi, O., and H. Abdul-Majid. 2008. Diversification prospects in Middle East and North Africa (MENA) equity markets: a synthesis and an update . Applied Financial Economics, 1451-1463.
Pascual, A.G. 2003. Assessing European stock markets (co)integration. Economics Letters 78: 197–203. CrossRef
Phylaktis, K., and F. Ravazzolo. 2005. Stock Market Linkages in Emerging Markets: Implications for International Portfolio Diversification. Journal of International Financial Markets, Institutions and Money, 91-106.
Quirico, R. D. 2010. Italy and the Global Economic Crisis. Bulletin of Italian Politics, 3-19.
Reinhart, C. M., and V. R. Reinhart. 2008, September. Capital Flow Bonanzas: An Encompassing View of the Past and the Present. National Bureau of Economic Research Working Paper 14321, 1-68. http://www.nber.org/papers/w14321
Sakthivel, P., N. Bodkhe, and B. Kamaiah. 2012. Correlation and Volatility Transmission across International Stock Markets: A Bivariate GARCH Analysis. International Journal of Economics and Finance, 253-264.
Sehgal, S., P. Pandey, and F. Deisting. 2016b. Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region. Working Paper, Department of Financial Studies, University of Delhi. Retrieved from http://ssrn.com/abstract=2768106
Trichet, J.-C. 2010. State of the Union: The Financial Crisis and the ECB’s Response between 2007 and 2009. Journal of Common Market Studies 48: 7–19. CrossRef
Wang, P., and P. Wang. 2010. Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan. Global Finance Journal, 304-317.
Wei, K.J., Y.-J. Liu, C.-C. Yang, and G.-S. Chaung. 1995. Volatility and price change spillover effects across the developed and emerging markets. Pacific-Basin Finance Journal 3: 113–136. CrossRef
Yang, J., C. Hsiao, Q. Li, and Z. Wang. 2006. The Emerging Market Crisis and Stock Market Linkages: Further Evidence. Journal of Applied Econometrics, 727-744.
Yang, J., J.W. Kolari, and I. Min. 2003. Stock market integration and financial crises: the case of Asia. Applied Financial Economics 477–486: doi: 10.1080/09603100210161965.
Yarovaya, L., J. Brzeszczynski, and C. K. Marco Lau. 2016. Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. International Review of Financial Analysis, 96-114.
- Information Transmission between Mature and Emerging Equity Markets During Normal and Crisis Periods: An Empirical Examination
- Springer India
Neuer Inhalt/© Stellmach, Neuer Inhalt/© BBL, Neuer Inhalt/© Maturus, Pluta Logo/© Pluta, Neuer Inhalt/© hww, Best Practices zu agiler Qualität