Emerging stock markets, portfolio capital flows and long-term economie growth: Micro and macroeconomic perspectives

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.

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Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows

Journal of International Money and Finance ◽

10.1016/j.jimonfin.2020.102258 ◽

2020 ◽

Vol 109 ◽

pp. 102258

Author(s):

Deven Bathia ◽

Christos Bouras ◽

Riza Demirer ◽

Rangan Gupta

Keyword(s):

Capital Flows ◽

Stock Markets ◽

Cross Border ◽

Emerging Stock Markets ◽

Return Dynamics

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Testing Weak-Form Efficiency and Long-Term Causality of the Emerging Capital Markets in Romania, India, Poland, and Hungary

Emerging Research on Monetary Policy, Banking, and Financial Markets - Advances in Finance, Accounting, and Economics ◽

10.4018/978-1-5225-9269-3.ch008 ◽

2019 ◽

pp. 177-197

Keyword(s):

Empirical Analysis ◽

Capital Markets ◽

Stock Markets ◽

Weak Form ◽

Empirical Results ◽

Emerging Stock Markets ◽

Emerging Capital Markets ◽

The Empirical Analysis ◽

Weak Form Efficiency

The main purpose of this chapter is testing weak-form efficiency and long-term causality of the emerging capital markets in Romania, India, Poland and Hungary. According to Spulbar and Birau, the empirical analysis is focused on BET index (Romania), WIG 20 index (Poland), BSE index (India) and BUX index (Hungary) from January 2000 to July 2018. The empirical results revealed that there is no long-term causality between the selected emerging stock markets analyzed during the period of January 2000 to July 2018. The book chapter provides additional empirical evidence of emerging capital markets behavior since the empirical analysis revealed that ADF t statistics rejected the null hypotheses of a unit root, so the selected financial data series are stationary in all selected cases. Moreover, the empirical results have revealed that the efficient market hypothesis has not been validated and there is no long-term causality between the selected emerging stock markets during the sample period from January 2000 to July 2018.

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