Quantifying the effects of long-term news on stock markets on the basis of the multikernel Hawkes process

2021 ◽  
Vol 64 (9) ◽  
Author(s):  
Xiao Ding ◽  
Jihao Shi ◽  
Junwen Duan ◽  
Bing Qin ◽  
Ting Liu
Keyword(s):  
Stock Markets ◽  
Hawkes Process

COMMON FEATURES IN EAST ASIAN STOCK MARKETS: LONG-TERM AND SHORT-TERM COMOVEMENTS BETWEEN CHINA AND KOREA

2013 ◽  
Vol 58 (03) ◽  
pp. 1350018
Author(s):  
HAHN SHIK LEE ◽  
SOO IN KIM
Keyword(s):  
Stock Markets ◽  
East Asian ◽  
International Investment ◽  
Cointegration Analysis ◽  
Chinese Stock Market ◽  
Short Term ◽  
Financial Firms ◽  
Contemporaneous Correlation ◽  
East Asian Stock Markets

As increasing attention has been given in recent literature to the potential of the Chinese financial market, we investigate the strength of shared dynamics among East Asian stock markets, by examining both the long-term and short-term comovements. In doing so, the cointegration analysis is used to assess the long-term relationship, whereas the notions of cofeature as well as contemporaneous correlation are employed to discuss the short-term relationship. The basic finding is that evidence for short-term comovement between the Korean and Chinese stock markets appears to be strong, while evidence for long-term relationship is rather weak. Empirical results from subsamples suggest that both the long-term and short-term relationships have strengthened since the acquisition of QFII qualification by Korean financial firms. These observations indicate that the international linkage between the two countries has strengthened along with increasing opportunities for international investment in the Chinese stock market.

After 2008 Global Financial Crisis, Short-Term Dynamics of CDS, Bond, and Stock Markets in South Eastern European Economies

2013 ◽  
pp. 181-194
Author(s):  
Ali Sabri Taylan ◽  
Hüseyin Tatlidil
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Stock Markets ◽  
European Countries ◽  
Stock Index ◽  
Bond Markets ◽  
Eastern European ◽  
South Eastern ◽  
Eastern European Countries

Credit risk pricing is perhaps an understudied topic in comparisons to its profound impact on the world’s financial markets and economies. This study uses established price discovery techniques to develop a method of price discovery for credit risk in three financial markets: equity, debt, and credit derivative. This chapter is motivated by the development of credit-related instruments and signals of stock price movements of South-Eastern European countries—Bulgaria, Croatia, Greece, Hungary, Romania, Slovenia, Slovakia, and Turkey—during the recent financial crisis. In this study, the authors evaluate the dynamics of fiscal risk or country risk measured by sovereign Credit Default Swap (CDS), liquidity risk measured bond markets, and stock markets for the monthly based September 2008 – February 2011 period. The study examines monthly data observing 38 months and 8 countries. A panel vector autoregression model is proposed for changes in Long-Term Interest Rate (LTIR), changes in CDS spreads (CDS), and changes in stock index. In conclusion, CDS markets and stock markets are more significant than bond markets in explaining the post-crisis relationship among developing South-Eastern European countries. The analysis displays that long-term monetary policy did not affect CDS premium and stock index level. A strong relationship is found between the CDS spread and stock market. During financial crisis and after the crisis, the correlations among CDS, stock, and bond markets are collapsed by panicked investors’ rapid movement and wild speculators. This risk perception can explain the difference between the finance theory and practices in the market.

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 Determinants of the Long-Term Correlation between Crude Oil and Stock Markets

Energies ◽  
2019 ◽  
Vol 12 (21) ◽  
pp. 4123 ◽  
Author(s):  
Lu Yang ◽  
Lei Yang ◽  
Kung-Cheng Ho ◽  
Shigeyuki Hamori
Keyword(s):  
Crude Oil ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Panel Data Analysis ◽  
Mixed Data ◽  
Data Sampling ◽  
Conditional Correlation ◽  
Macroeconomic Factors

This study employed a dynamic conditional correlation–mixed-data sampling (DCC–MIDAS) approach and panel data analysis to examine the factors that influence the long-term correlation between crude oil and stock markets. Our study shows that there is a positive long-term conditional correlation between oil prices and stock markets, except during the 2008 global financial crisis and the 2011 European debt crisis. We also found that macroeconomic factors have a significant impact on this correlation. Specifically, risk-free rate has a positive effect, whereas economic activity and credit risk has a negative effect. Our results provide useful information for investors and monetary authorities.

Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs

2001 ◽  
Vol 04 (02) ◽  
pp. 235-264 ◽  
Author(s):  
Abul M. M. Masih ◽  
Rumi Masih
Keyword(s):  
Hong Kong ◽  
Stock Prices ◽  
Stock Markets ◽  
The Other ◽  
Substantial Contribution ◽  
Exogenous Shocks ◽  
Leading Role ◽  
Equilibrium Relationship ◽  
Short Run

This article examines the patterns of dynamic linkages among national stock prices of Australia and four Asian NIC stock markets namely, Taiwan, South Korea, Singapore and Hong Kong. By employing recently developed time-series techniques results seem to consistently suggest the relatively leading role of the Hong Kong market in driving fluctuations in the Australian and other NIC stock markets. In other words, given the generality of the techniques employed, Hong Kong showed up consistently as the initial receptor of exogenous shocks to the (long-term) equilibrium relationship whereas the Australian and the other NIC markets, particularly the Singaporean and Taiwanese markets had to bear most of the brunt of the burden of short-run adjustment to re-establish the long term equilibrium. Furthermore, given the dominance of the Hong Kong market in the region, the study also brings to light the substantial contribution of the Australian market in explaining the fluctuations to the other three markets, particularly Singapore and Taiwan. Finally, in comparison to all other NIC markets, Taiwan and Singapore appear as the most endogenous, with the former providing significant evidence of its short-term vulnerability to shocks from the more established market such as Australia.

scholarly journals THE INFLUENCE OF THE COVID 19 ON THE BET AND WIG20 INDICES. COMPARATIVE ASPECTS

2021 ◽  
Vol 6 (1) ◽  
pp. 87-95
Author(s):  
Catalin Florin Barnut
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
Sustainable Growth ◽  
Long Term Effects ◽  
Negative Effects ◽  
State Institutions ◽  
Medical Sector ◽  
Starting Point ◽  
Warsaw Stock Exchange

The aim of the paper is to assess the effects of the coronavirus pandemic (COVID – 19) on two stock market indices: BET index for Bucharest Stock Exchange and WIG20 index for Warsaw Stock Exchange. The negative effects of the pandemic have had an influence on the performance of the stock markets since its debut. Many companies as well as sectors have ceased their activity during the outbreak, causing devastating financial losses worldwide. By comparing indices evolution during 2020 using the data available on the stock markets’ websites, as well as analyzing in part the companies that make up the indices portfolio, we will try to present the sectors most affected by the pandemic as well as their evolution during the analysis period. The results of this research can be a starting point for future empirical analysis on the long-term effects of the pandemic on stock markets’ performance for Romania and Poland. The results could be a source of information for state institutions, companies, investors, analysts but also representatives of the medical sector (responsible for crisis management) - in order to observe the severity and magnitude of the negative effects of the coronavirus pandemic on the financial markets and also help develop and ensue their long-term sustainable growth.

scholarly journals Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets

Energies ◽  
2020 ◽  
Vol 13 (18) ◽  
pp. 4641
Author(s):  
Jingran Zhu ◽  
Qinghua Song ◽  
Dalia Streimikiene
Keyword(s):  
Crude Oil ◽  
Time Scale ◽  
Stock Markets ◽  
Spillover Effect ◽  
Oil Price ◽  
Time Varying ◽  
Price Fluctuation ◽  
The Impact ◽  
Oil Price Fluctuation

With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on China’s stock markets increasingly attracts the attention of the public. In order to explore the impact of international oil price fluctuation on China’s stock markets and the time-varying spillover differences of industry sectors, this study proposes three research hypotheses and constructs a multi-time scale analysis framework based on wavelet analysis and a time-varying t-Copula model. In this paper, we use the Shanghai Composite Index as the representative of a general trend of the stock market, and we use the stock index of the China Securities Industry as the counterpart of industrial sectors. Based on the data from 5 January 2005 to 31 May 2020, this paper measures and analyzes the spillover effect of international oil price fluctuation on China’s stock markets, under different volatility periods. The results show that, firstly, the spillover effect of international oil price fluctuation on the Chinese stock markets is different. In the short and medium volatility period, the changes in international oil price are ahead of the changes in the Chinese stock markets, while the latter is ahead of the former under long-term fluctuations. Secondly, the spillover effect of international oil price fluctuation on China’s industry stock indexes is persistent. As the time scale increases, the tail dependency will increase. Finally, the impact of risk events aggravates the volatility of the stock markets in the short-term, while the mid- to long-term impact mainly affects the volatility trend. Investment risk control can make overall arrangement on the basis of the characteristics of oil price impact under different fluctuation stages.

Sign in / Sign up

Export Citation Format

Share Document