Post‐spillover effects of China's integration on Pakistan Stock Exchange

2021 ◽  
Vol 30 (6) ◽  
pp. 581-588
Author(s):  
Abdul Wahid ◽  
Muhammad Zubair Mumtaz ◽  
Oskar Kowalewski ◽  
Iftikhar Hussain Adil
Keyword(s):  
Stock Exchange ◽  
Spillover Effects

Mitigating Negative Spillovers from Categorization of Foreign-Listed Firms: The Role of Host-Country Independent Directors

2019 ◽  
Vol 15 (4) ◽  
pp. 773-807
Author(s):  
Eugene Kang ◽  
Asda Chintakananda
Keyword(s):  
Financial Reporting ◽  
Host Country ◽  
Home Country ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Independent Directors ◽  
Fiduciary Duties ◽  
Listed Firms ◽  
Or Task

ABSTRACTThis study examines how cognitive categorization by host-country investors give rise to negative spillovers among host-country foreign-listed firms from the same home country when one of these foreign-listed firms discloses a financial reporting irregularity. This study further examines how attributes of host-country independent directors mitigate such negative spillover effects through signaling fulfilment of their fiduciary duties. Our results based on Chinese foreign-listed firms on the Singapore Stock Exchange from 2007–2014 reveal that host-country independent directors increase spillover effects among foreign-listed Chinese firms from financial reporting irregularities. However, such increase is attenuated when these directors signal fulfilment of their fiduciary duties through home-country, industry, or task-related experiences, and the observed mitigating effect is stronger when they possess a combination of these experiences.

How Does COVID-19 Affect the Volatility Spillover Between the Exchange Rate and the Export-oriented Businesses in Iran?

2022 ◽  
pp. 097215092110606
Author(s):  
Zahra Honarmandi ◽  
Samira Zarei
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Garch Models ◽  
Volatility Spillover ◽  
Exogenous Shocks ◽  
Risk Period ◽  
Before And After ◽  
The Exchange Rate ◽  
Fractal Market Hypothesis

This study concentrates on examining the volatility spillover effects between the exchange rate (IRR to USD) and the leading export-oriented industries (i.e., petrochemical, basic metals and minerals) in Tehran Stock Exchange before and after the COVID-19 pandemic. Using DCC- and asymmetric DCC-GARCH approaches, the data sample (from 15 December 2018 to 24 April 2021) has been partitioned into two sub-samples: before and after the official announcement of COVID-19 outbreak. The results demonstrate that from the pre- to post-COVID-19 periods, first, the average returns of all industries have sharply fallen; second, the volatility of all variables has been significantly augmented in different horizons; third, for all industries, not only has the fractal market hypothesis approved in both separated periods, but also analysing the values of the fractional difference parameter, together with the outcomes of GARCH models, supports in the higher-risk post-COVID-19 period, wherein the effects of exogenous shocks last longer than their impacts in the alternative lower-risk period. Furthermore, our investigations demonstrate that the asymmetric spillover (based on the ADCC-GARCH models) in both pre- and post-COVID-19 periods are confirmed in all three industries, except for minerals after the novel coronavirus.Ultimately, the results not only corroborate the increase in the volatility spillover effects right after the COVID-19 but also substantiate that the exchange rate contributes most of the spillover effects into the petrochemical and minerals industries, which have been almost twice as much as those of the basic metals.

Return and volatility spillover effects between the Turkey and the Russia stock market

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Melih Kutlu ◽  
Aykut Karakaya
Keyword(s):  
Stock Exchange ◽  
Spillover Effects ◽  
Stock Exchanges ◽  
Volatility Spillover ◽  
Full Sample ◽  
Content Type ◽  
Crisis Period ◽  
Volatility Spillovers ◽  
Volatility Analysis ◽  
Economic Developments

PurposeThis study aimed to investigate return and volatility spillover between the Borsa Istanbul (BIST) and the Moscow Stock Exchange (RTS).Design/methodology/approachThis study used generalized autoregressive conditionally heteroscedasticity (GARCH) model for volatility and the Aggregate Shock (AS) model for return and volatility spillover. The data are divided into six sub-periods. Period events take place between Turkey and Russia.FindingsBIST investors considered the return and volatility of the RTS, it is observed that Moscow Stock Exchange investors considered only the return of BIST at the full sample. It is only a return spillover from BIST to RTS and neither the return nor the volatility of the RTS is spillover to BIST in the pre-crisis period. No evidence of return and volatility spillover between the BIST and the RTS in the post-crisis period. The returns and volatility spillovers between Russia and Turkey are mutual feedback in the jet crisis period.Practical implicationsEconomic developments between Turkey and Russia is growing rapidly in recent years. The return and volatility analysis between the stock exchanges of these two countries is important for investment decisions.Originality/valueThere are many studies in the literature about emerging markets. There are also Turkish and Russian stock exchanges in these studies. However, this study only examined return and volatility spillover analysis between the Turkish and Russian stock exchanges and prevents the results from being overlooked among other countries.

scholarly journals Volatility of Dhaka Stock Exchange

2016 ◽  
Vol 8 (5) ◽  
pp. 220
Author(s):  
Md. Noman Siddikee ◽  
Noor Nahar Begum
Keyword(s):  
Standard Deviation ◽  
Emerging Markets ◽  
Stock Exchange ◽  
Research Work ◽  
Spillover Effects ◽  
Market Volatility ◽  
Factors Affecting ◽  
Daily Return ◽  
Market Return ◽  
General Index

We apply GARCH (p, q) and ARCH(m) model to the daily return of DSE general index (DGEN) ranging from 1<sup>st</sup> January, 2002 to 30<sup>th</sup> July 2013 for examining market volatility. Besides, we calculate year wise standard deviation of daily return of DGEN for the same period. The result of GARCH (1, 1) process and standard deviation of the daily return confirms an abnormal volatility episode from 2009 to 2012. The highest per day volatility was observed in the first half of 2011 in both investigations. The volatility rate found in GARCH (1, 1) process is 2.44% in 2011 followed by 2.00% and 1.99% in 2009 and 2012 respectively. The highest standard deviation of return is 2.99% in 2011 followed by 2.08% in 2012 authenticate the highest volatile periods of the study. We apply ARCH (m) model in 2004 and 2013 for volatility estimate due to inapplicability of GARCH (p, q) process in those market return. The results of ARCH (m) model confirm reliable estimates of market volatility, 1.10% and 1.46% respectively. This is a part of our total research work where our main focus is to detect the factors affecting market volatility and its spillover effects in emerging markets.

scholarly journals The Spillover Effects of Fed’s Policies with Emphasis to the Fragile Five

2014 ◽  
Vol 6 (12) ◽  
pp. 1011-1020
Author(s):  
Mehmet ORHAN ◽  
Halil İbrahim ÇELİKEL .
Keyword(s):  
Interest Rates ◽  
Foreign Exchange ◽  
Federal Reserve ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Wall Street ◽  
Federal Reserve Bank ◽  
Reserve Bank ◽  
Almost All

Since the Bretton Woods Agreement, the U.S. dollar has played the role of dominant global currency. As a result, the Federal Reserve Bank has many privileges such as the ability to run trade deficits without foreign exchange reserves. In the world, foreign exchange rates of currencies are quoted against the dollar, and majority of currency trading involves the dollar. Besides, international trade in primary commodities, such as oil, wheat, gold and coffee are bought and sold in U.S. dollar. The central banks of countries hold major positions of their international reserves in dollars. Any changes in its interest rates automatically alter the revenues of all world assets. With deregulated financial markets, the spillover effects of the Federal Reserve Bank’s decisions have increased. In this paper, we examine the impacts of Federal Reserve Bank policies over the Fragile Five that is a sub group of the weaker emerging markets namely Brazil, India, Indonesia, South Africa and Turkey. We are mainly focusing on the consequences of changes in Fed’s policies on the fragile five’s basic indicators; exchange rate, interest rate, and the stock exchange indices. All Fragile Five currencies have been depreciated by about 10 to 25% after the Fed tapering decisions. In addition we test for mean and volatility spillover of Wall Street on stock exchange indices of the Fragile Five in GARCH in mean framework and document the existence of such spillovers in almost all cases.

scholarly journals Spillover effects in the financial year cycle for Indian markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Parul Bhatia
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Ordinary Least Squares ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Content Type ◽  
Year Effect ◽  
Autoregressive Conditional Heteroskedasticity

PurposeThe stock market anomalies have been studied across the globe with intermingled results for individual markets. The present study has investigated the financial year effect for Indian stock markets by testing month-of-the-year-effect anomalies.Design/methodology/approachThe oldest stock exchange's index returns (Bombay Stock Exchange [BSE]) have been tested using ordinary least squares (OLS) and autoregressive conditional heteroskedasticity in mean (ARCH-M) models with Student's t and Student's t-fixed distributions for the period between 1991 and 2019. The Glosten, Jagannathan and Runkle-generalised autoregressive conditional heteroskedasticity (GJR-GARCH) model has been further used to find out existence of the leverage effect in returns.FindingsThe findings indicated no evidence for anomalies in the Indian stock market which may be used by investors for making unusual returns. However, the volatility in returns has shown weak but significant results due to the financial year impact. The leverage effect has not been found in the financial year cycle change over. The Indian market may be said to be moving towards a state of efficiency, leaving no scope for investors to gauge bizarre profits.Research limitations/implicationsThe study has incorporated the Indian context for testing anomalies during the start and end of the financial year cycle. The model may be extended further to developed and developing nations’ markets for testing efficiency in their stock markets during the same cycle.Originality/valueThe paper may be the first of its kind to test for the financial year effect on standalone basis for Indian markets. The paper also adds to the existing literature on testing events’ effect.

scholarly journals Transmission Effects between Uncertainty and Stocks: From S&P to BIST100

2020 ◽  
Author(s):  
Mine Gerni ◽  
Hatıra Sadeghzadeh Emsen ◽  
Ziya Çağlar Yurttançıkmaz ◽  
Ömer Selçuk Emsen
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Point Of View ◽  
Political Uncertainty ◽  
Us Economy ◽  
Istanbul Stock Exchange ◽  
The Us ◽  
Macroeconomic Indicators ◽  
The Exchange Rate

The economic political uncertainty (EPU) index developed by Berg et al. (2013) and the global economic political uncertainty (GEPU) index developed by Davids et al. (2016) revealed the existence of their strong relations with macroeconomic indicators in the US economy in general. Parallel to this power exhibited by the index, the interest towards it has started to be evaluated in terms of other countries. In this context, while the existence of studies investigating the relations between the index and the Istanbul Stock Exchange index is noteworthy, it has been determined that some of these researches have relations, and some of them not. The existence of spillovers from strong exchanges to stock markets of developing countries is defined as spillover effects in the literature. From this point of view, it is worth examining the existence of the relationship in question with indirect effects rather than investigating direct relationships between the GEPU and BIST100. Therefore, this study aims to investigate the existence of spillover effects from GEPU to S&P, from S&P to the exchange rate and from the exchange rate to the BIST100 index, respectively. According to the results of VAR analysis using four variables, it has been found that there are spillover effects from GEPU to S&P, from S & P to exchange rate and from exchange rate to BIST100. Consequently, it is observed that the changes in GEPU index that reflect the developments in the US economy affect Turkey’s stock market indirectly through spillover linkages.

scholarly journals Conditional Heteroskedasticity and Cross-sectional Dependence in Panel MGARCH: Exchange Rate and Stock Market Uncertainty

2021 ◽  
Author(s):  
Mansour Tour ◽  
Esmaiel Abounoori
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Cross Sections ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Jel Classification ◽  
Market Uncertainty ◽  
Stock Market Index ◽  
Cross Sectional ◽  
Panel Garch

Abstract Despite lots of research concerning different GARCH and Panel-GARCH as well as MGARCH models, we have not seen Panel MGARCH so far reviewing literatures. Though there are spillover effects between cross-sections for one variable, there may be spillover effects and cross-sections dependence for several variables too. The main aim in this research is to use the Panel MGARCH (P-MGARCH) model regarding weekly exchange rate and the stock market index across countries UK, Canada and China during 2010: 10 to 2020: 08. According to the results, the volatility spillover among cross-sections (UK, China and Canada) for variables (Exchange rates and Stock exchange returns) has been confirmed.JEL Classification: C33, C58, F30

scholarly journals Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey

2016 ◽  
Vol 6 (2) ◽  
pp. 343 ◽  
Author(s):  
Erick Lusekelo Mwambuli ◽  
Zhang Xianzhi ◽  
Zakayo S. Kisava
Keyword(s):  
Exchange Rates ◽  
Stock Prices ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Multinational Firm ◽  
Equal Weight ◽  
Volatility Spillover ◽  
Market Exchange ◽  
General Behaviour ◽  
Istanbul Stock Exchange

Volatility spillover effects between stock prices and exchange rates in emerging countries are a critical focus in the financial economics research arena. This paper focused to investigate the volatility spillover effects between stock prices and exchange rates of Istanbul stock exchange (ISE) by employing an exponential generalized autoregressive condition heteroskedasticity (EGARCH) model. The period of study covered 11 years (i.e. 2005 to 2015) inclusive a period of the global financial crises (i.e. from 2005 to 2009) which resulted out from subprime mortgage in United States of America (USA).Our results suggest an existence of short run relationship between stock prices and exchange rates in Istanbul stock exchange (ISE).This empirical evidence suggest that there is symmetric volatility spillover between stock prices and exchange rates of Istanbul stock exchange (ISE) for full sample employed as a result good and bad news has got a balanced effect to the market. The findings of the significant volatility spillover effects between exchange rates and stock prices suggest that, the markets are informationally efficient and one market exchange rate has significant predictive power of equal weight to another in case of two markets. Our study recommends investors and multinational firm managers to consider the general behaviour of the financial market before making decision whether to invest in or not since there is existence of relationship and volatility spillover between stock prices and exchange rates meanwhile economic policy makers both in Turkey and outside Turkey should consider these findings in their policy as one of the determinant to economic growth, as macroeconomic variable should be stable like exchange rates. Furthermore, this study may be extended after including of other variables which were not considered in this study like interest rate, inflation and agency theory.

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