Short-run and long-run dynamic linkages among international stock markets

1996 ◽  
Vol 5 (4) ◽  
pp. 387-405 ◽  
Author(s):  
M.Kabir Hassan ◽  
Atsuyuki Naka
Keyword(s):  
Stock Markets ◽  
International Stock Markets ◽  
Long Run ◽  
Short Run ◽  
Dynamic Linkages

scholarly journals International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study

2016 ◽  
Vol 8 (6) ◽  
pp. 100
Author(s):  
Ranjan Dasgupta
Keyword(s):  
Emerging Economies ◽  
Stock Markets ◽  
Portfolio Diversification ◽  
Data Set ◽  
International Portfolio Diversification ◽  
Long Run ◽  
International Portfolio ◽  
The Us ◽  
Short Run ◽  
Dynamic Linkages

<p>This paper presents a comprehensive research by studying the cointegration and dynamic linkages of emerging economies all over the world with special emphasis to the US and India to point out the most attractive of them for international portfolio diversification with a lengthy data set of 2003-12 by using appropriate methodologies. It is found that the Indian stock market has short-run granger relationships with most of its BRIC counterparts and some others. In the long-run, nine co-integration relationships are found. It implies that all these stock markets are cointegrated. The US dominance on most markets and dynamic linkages with them has been proved, at least in the short-run. Overall, this study has found that the emerging economies stock markets and Russia don’t provide any portfolio diversification opportunity for the US and other investors.</p>

The Linkage between Chittagong Stock Market and Dhaka Stock Market

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Muhammad Shahidullah Tasfiq ◽  
◽  
Nasrin Jahan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

2015 ◽  
Vol 77 (20) ◽  
Author(s):  
Siok Kun Sek ◽  
Zhan Jian Ng ◽  
Wai Mun Har
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Oil Price ◽  
Multivariate Garch ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Long Run ◽  
Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

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