Measuring Dynamics of Financial Integration on the Euro Area Stock Markets, 2000–2016

2018 ◽  
pp. 129-142 ◽  
Author(s):  
Elzbieta Majewska ◽  
Joanna Olbrys
Keyword(s):  
Euro Area ◽  
Stock Markets ◽  
Financial Integration

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Analyzing Long-Term Dynamic Causal Linkages and Financial Integration Between the Capital Markets in Romania and Hungary

2019 ◽  
pp. 215-228
Keyword(s):  
Stock Markets ◽  
Financial Integration ◽  
Financial Contagion ◽  
Emerging Stock Markets ◽  
International Portfolio Diversification ◽  
Contagion Effects ◽  
Long Run ◽  
International Portfolio ◽  
The Empirical Analysis

This chapter aims to investigate long-term dynamic causal linkages between stock markets in Hungary and Romania in order to obtain additional benefits based on international portfolio diversification, especially in terms of globalization. Emerging stock markets are generally considered to be more attractive for both institutional and individual financial investors due to certain stylized facts. The volatility transmission patterns, financial contagion effects, international interdependence and long-run causal linkages between international stock markets highlight the importance of a functional and stable financial environment. Technically, the structure of this subchapter includes both theoretical developments and additional empirical results. Moreover, the empirical analysis provides a quantitative perspective on global interdependencies between Romania and Hungary.

scholarly journals Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets

2021 ◽  
Vol 36 (2) ◽  
pp. 185-202
Author(s):  
Guglielmo Maria Caporale ◽  
Luis A. Gil-Alana ◽  
Kefei You
Keyword(s):  
Stock Markets ◽  
Financial Integration

scholarly journals Expectations or macroeconomic innovations: What drives the stakeholders’ decisions? Evidence from the euro area

2015 ◽  
Vol 12 (3) ◽  
pp. 185-189
Author(s):  
S. Ali Shah Syed ◽  
Hélène Syed Zwick
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Euro Area ◽  
Stock Markets ◽  
Empirical Relationship ◽  
Equity Market ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Long Run ◽  
New Evidence

This study brings new evidence supporting the existence of the linkage between equity market and macroeconomic variables in the Euro area. Using the monthly data from January 1999 to September 2014 we show empirical relationship between stock returns and interest rate in the 19 countries using the euro. The results confirm that in Euro Area stock markets, the stockowners decisions are significantly influenced by the macroeconomic expectations, particularly the long run interest rate

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