scholarly journals Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data

2020 ◽  
Vol 51 ◽  
pp. 100846 ◽  
Author(s):  
Qiang Ji ◽  
Bing-Yue Liu ◽  
Juncal Cunado ◽  
Rangan Gupta
Keyword(s):  
Stock Markets ◽  
Markov Switching ◽  
Time Varying ◽  
The Us

Analysing time varying comovements among the US and BRICS stock markets

2022 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Lakshmi P ◽  
S. Visalakshmi ◽  
Jeevananthan Manickavasagam
Keyword(s):  
Stock Markets ◽  
Time Varying ◽  
The Us

Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach

2019 ◽  
Vol 20 (4) ◽  
pp. 962-980 ◽  
Author(s):  
Shegorika Rajwani ◽  
Dilip Kumar
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Tail Dependence ◽  
Time Varying ◽  
The Us ◽  
Asian Economies ◽  
Copula Approach

During the past few years, many of the financial markets have gone through devastating effects due to the crisis in one or the other economy of the world. The recent global financial crisis has triggered dramatic movements in various stock markets which may arise from interdependence or contagion between the markets. This article attempts to measure the contagion between the equity markets of Asia and the US stock market. The countries considered in the Asian group are China, India, Indonesia, South Korea, Taiwan, Hong Kong, Malaysia and Japan. Most of the Asian economies have experienced drastic higher volatility and uncertainty in the financial markets. If the markets are contagious, then the investors will be unable to reap benefits through international diversification of the portfolio. In such a case, the policymakers will further frame policies so that they can insulate themselves from inflicting heavy damage from various crises. To achieve our goal, we make use of the time-varying copula approach which helps us to study the joint behaviour of the series based on their marginal distribution. Time-varying copula approach can also capture the non-linear dependence in the series and exhibits a rich pattern of tail behaviour. Our findings support the contagion between the Asian stock markets and the US stock market during the global financial crisis. This article also highlights that the increased tail dependence is an important factor for the contagion between the Asian stock markets and the US market.

scholarly journals Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis

2015 ◽  
Vol 2 (1) ◽  
pp. 029
Author(s):  
Muhammad Rizky Prima Sakti
Keyword(s):  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Time Varying ◽  
Foreign Investors ◽  
Volatility Spillovers ◽  
The Us ◽  
Conditional Correlations ◽  
Multivariate Garch Models ◽  
Empirical Design

This study examines the conditional correlations and volatility spillovers between the US and ASEAN Islamic stock markets. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic indexes as it adopted stringent restriction to include companies in sharia list. By using a three multivariate GARCH models (BEKK, diagonal VECH, and CCC model), we find evidence of returns and volatility spillovers from the US to the ASEAN Islamic stock markets. However, as the estimated time-varying conditional correlations and volatilities indicate there is still a room for diversification benefits, particularly in the single markets. The Islamic MSCI of Thailand, Indonesia, and Singapore are less correlate to the US MSCI Islamic index. The implication is that foreign investors may benefit from the reduction of risk by adding the Islamic stocks in those countries.

scholarly journals The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity: Time-Varying Evidence from the US and Europe

2021 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Abdurrahman Nazif Catik ◽  
Mohamad Husam Helmi ◽  
Coskun Akdeniz ◽  
Ali Ilhan
Keyword(s):  
Stock Markets ◽  
Economic Activity ◽  
Time Varying ◽  
Activity Time ◽  
The Us

Re-examining covariance risk dynamics in international stock markets using quantile regression analysis

2011 ◽  
Vol 61 (1) ◽  
pp. 33-59 ◽  
Author(s):  
M. Li ◽  
S. Yen
Keyword(s):  
Quantile Regression ◽  
Stock Markets ◽  
Markov Switching ◽  
Garch Models ◽  
Time Varying ◽  
Bear Market ◽  
Markov Switching Models ◽  
International Stock Markets ◽  
Switching Models ◽  
Risk Dynamics

This investigation is one of the first to adopt quantile regression (QR) technique to examine covariance risk dynamics in international stock markets. Feasibility of the proposed model is demonstrated in G7 stock markets. Additionally, two conventional random-coefficient frameworks, including time-varying betas derived from GARCH models and state-varying betas implied by Markov-switching models, are employed and subjected to comparative analysis. The empirical findings of this work are consistent with the following notions. First, the beta smile (beta skew) curve for the Italian, U.S. and U.K. (Canadian, French and German) markets. That is, covariance risk among global stock markets in extremely bull and/or bear market states is significantly higher than in stable periods. Additionally, the Japanese market provides a special case, and its beta estimate at extremely bust state is significantly lower, not higher than that at the middle region. Second, the quantile-varying betas are identified as possessing two key advantages. Specifically, the comparison of the system with quantile-varying betas against that with time-varying betas implied by GARCH models provides meaningful implications for correlation-volatility relationship among international stock markets. Furthermore, the quantile-varying beta design in this study relaxes a simple dual beta setting implied by Markov-switching models of Ramchand — Susmel (1998) and can identify dynamics of asymmetry in betas.

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