scholarly journals On the time-varying correlations between oil-, gold-, and stock markets: The heterogeneous roles of policy uncertainty in the US and China

2021 ◽  
Author(s):  
Wen Zhao ◽  
Yu-Dong Wang
Keyword(s):  
Stock Markets ◽  
Policy Uncertainty ◽  
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.

Economic policy uncertainty and stock markets: Long-run evidence from the US

2016 ◽  
Vol 18 ◽  
pp. 136-141 ◽  
Author(s):  
Mohamed Arouri ◽  
Christophe Estay ◽  
Christophe Rault ◽  
David Roubaud
Keyword(s):  
Economic Policy ◽  
Stock Markets ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
The Us

scholarly journals Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Manel Youssef ◽  
Khaled Mokni ◽  
Ahdi Noomen Ajmi
Keyword(s):  
Economic Policy ◽  
Stock Markets ◽  
Investment Banks ◽  
Individual Investors ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Daily Data ◽  
The Us ◽  
Portfolio Managers ◽  
The Uk

AbstractThis study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR) model for daily data over the period spanning from 01/01/2015 to 05/18/2020. Results showed that stock markets were highly connected during the entire period, but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020. Moreover, we found that the European stock markets (except Italy) transmitted more spillovers to all other stock markets than they received, primarily during the COVID-19 outbreak. Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns. Also, findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset, indicating that information spillovers from a given market may signal either good or bad news for other markets, depending on the prevailing economic situation. These results have important implications for individual investors, portfolio managers, policymakers, investment banks, and central banks.

US economic policy uncertainty spillover on the stock markets of the GCC countries

2020 ◽  
Vol 47 (1) ◽  
pp. 36-50 ◽  
Author(s):  
Khandokar Istiak ◽  
Md Rafayet Alam
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Stock Markets ◽  
Risk Sharing ◽  
Financial System ◽  
Policy Uncertainty ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Gcc Countries ◽  
The Us

PurposeThis study aims to investigate the nature and degree of US economic policy uncertainty spillover on the stock markets of a group of non-conventional economies like the Gulf Cooperation Council (GCC) countries, where a risk-sharing-based financial system is prominent and foreign investment, risk-free interest, derivatives, etc. are not as widespread as in the western economies.Design/methodology/approachthe monthly data of 1992–2018, linear and nonlinear structural vector autoregression (VAR) model, and an impulse response-based test to explore the nature and degree of US economic policy uncertainty spillover on the stock markets of the GCC countries.FindingsThis study finds that an unexpected increase in the US economic policy uncertainty significantly decreases the stock market index of all the GCC countries. This study also gets this relationship symmetric, meaning that the GCC stock market indices decrease and increase by the same amount when the US economic policy uncertainty increases and decreases, respectively.Originality/valueThis study investigates the characteristics of economic policy uncertainty spillover from the biggest economy of the world to the stock markets of the GCC region, which is new to the literature. The study results provide the first evidence that a risk-sharing based financial system does not necessarily protect the stock market from US uncertainty shock. However, the abundance of local investors, risk-sharing investment activities, the absence of derivatives, etc. may be responsible for the symmetric behavior of a stock market.

Economic Policy Uncertainty and Stock Markets: A Multifractal Cross-Correlations Analysis

2021 ◽  
pp. 2150018
Author(s):  
Wei Jiang ◽  
Jianfeng Li ◽  
Guanglin Sun
Keyword(s):  
Economic Policy ◽  
Stock Markets ◽  
Composite Index ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Cross Correlation Analysis ◽  
The Us ◽  
Cross Correlations ◽  
The Cross ◽  
Underlying Mechanisms

We utilize the multifractal detrended cross-correlation analysis (MF-DCCA) to investigate the cross-correlations between the US economic policy uncertainty (EPU) and US stock markets in the framework of Fractal Market Hypothesis (FMH). The data contain daily closing values of EPU, and the returns of Dow Jones Industrial Average Index (DJI), S&P 500 index (GSPC) and NASDAQ Composite Index (IXIC). Our empirical results show that changes in EPU and fluctuations in the US stock markets interact in a nonlinear way. Furthermore, there exists significant multifractality in the cross-correlations between EPU and stock markets. The cross-correlations exhibit dynamics and are affected by major international events. We capture the underlying mechanisms such as multifractality and nonlinear relation that dominate EPU-US stock markets nexus by means of FMH. The findings add a new dimension to the existing literature, and are important for market participants to adjust investment decisions.

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
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