scholarly journals Modelling spillover effects between the UK and the US stock markets over the period 1935–2020

2020 ◽  
Vol 49 (2) ◽  
pp. 132-148
Author(s):  
Olalekan Aladesanmi
Keyword(s):  
Stock Markets ◽  
Spillover Effects ◽  
The Us ◽  
The Uk

Volatility Spillover and Contagion Effects on Stock Markets: Global and Local Leaders Determination (part 1)

2014 ◽  
Vol 2014 (5) ◽  
pp. 3-26
Author(s):  
Konstantin Asaturov ◽  
Tamara Teplova
Keyword(s):  
Stock Markets ◽  
German Economy ◽  
Equity Markets ◽  
Spillover Effects ◽  
Detailed Examination ◽  
Stock Index ◽  
European Region ◽  
Volatility Spillover ◽  
The Us ◽  
The Uk

The study focuses on the identification of stable relations between the stock markets of three geographic regions, including pre- and post-crisis periods. The paper demonstrates the applicability of the ARMA-DCC-GARCH model, allowing to provide a detailed examination of the dynamic correlation between 26 stock markets in the three regions (America, Europe and Asia) over the period of 1995-2012. We examine the volatility spillover effects and conditional correlations among the international equity markets. The country stock index is considered as an indicator of market dynamics. The results show that the US market (S&P500 index) is the main volatility transmitter worldwide, whereas the UK, German and French markets are the sources of volatility for the European developed and emerging European equity markets. However, the German DAX index, contrary to some studies, cannot be considered as a dominant one in the European region, in spite of the leadership of the German economy. The study shows that the role of “exporting volatility” or volatility transmitter belongs to the UK stock market. We also found that the US, the UK, Germany and France have a greater influence on emerging markets rather than on developed ones. Between the two markets in the North and East European region (Russia and Poland) the dominant transmitter role belongs to Russia.

scholarly journals The effects of volatility and changes in conditional correlations in the stock markets of Russia and developed countries

2020 ◽  
Vol 65 (227) ◽  
pp. 67-94
Author(s):  
Oleg Salmanov ◽  
Natalia Babina ◽  
Marina Samoshkina ◽  
Irina Drachena ◽  
Irina Salmanova
Keyword(s):  
Stock Markets ◽  
Statistical Significance ◽  
Developed Countries ◽  
Investment Strategies ◽  
Russian Market ◽  
The Us ◽  
The Usa ◽  
International Portfolios ◽  
Russian Stock Market ◽  
The Uk

The aim of this article is to identify patterns of profitability volatility and to establish the degree of dynamic conditional correlation between the stock markets of developed countries and those of Russia. This issue is important for investment strategies and the international diversification of investments. We use the BEKK-GARCH, CCC-GARCH, and DCCGARCH models and show that the correlation between the Russian stock market and the markets of the USA, UK, Germany, and France has decreased significantly in recent years. We find that while the correlation between the Russian market and the mature European markets is bidirectional, the relationship between the US market and the Russian market is unidirectional. An assessment of the transfer of volatility from all of the mature markets to the Russian market establishes its statistical significance and shows that feedback from the Russian market to the UK and German markets is insignificant. Diversification of international portfolios in the Russian market is recommended.

The spillover effects of economic policy uncertainty on financial markets: a time-varying analysis

2020 ◽  
Vol 37 (3) ◽  
pp. 513-543 ◽  
Author(s):  
Canh Phuc Nguyen ◽  
Thanh Dinh Su ◽  
Udomsak Wongchoti ◽  
Christophe Schinckus
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effects ◽  
Policy Uncertainty ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Bear Market ◽  
The Usa ◽  
Negative Impacts ◽  
The Uk

Purpose This study aims to examine the spillover effects of trans-Atlantic macroeconomic uncertainties on the local stock market returns in the USA and eight selected European countries, namely, Germany, France, Spain, Italy, Greece, Ireland, Sweden and the UK, during the 2000-2019 period. Design/methodology/approach This paper applies the dynamic conditional correlation multivariate GARCH model (i.e. multivariate generalized autoregressive conditional heteroskedasticity model or DCC MGARCH) to examine the potential existence of the spillover from the uncertainty of the USA to EU stock markets and vice versa. To capture different dynamic relationships between multiple time-series variables following different regimes, this paper applies the Markov switching model to the stock returns of both the USA and the eight major stock markets. Findings The increases in US uncertainty have significant negative impacts on all EU stock returns, whereas only the increases in the uncertainties of Spain, Ireland, Sweden and the UK have significant negative impacts on US stock returns. Notably, the economic policy uncertainty (EPU) in the USA has a dynamic effect on the European stock markets. In a bear market (State 1), the increases in the EPU of the USA and EU have significant negative impacts on EU stock returns in most cases. However, only the increase in US EPU has significant negative impacts on EU stock returns in bull markets (State 2). Reciprocally, the increases in the EU EPUs of Germany, Spain and the UK have significant impacts on US stock returns in bear market. Originality/value The observations challenge the conventional wisdom according to which only larger economies can lead the smaller counterparts. The findings also highlight the stronger dependence of the US stock market on international macroeconomic uncertainty.

scholarly journals INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS

2005 ◽  
Vol 08 (05) ◽  
pp. 603-622 ◽  
Author(s):  
ADEL SHARKASI ◽  
HEATHER J. RUSKIN ◽  
MARTIN CRANE
Keyword(s):  
Hong Kong ◽  
Wavelet Transform ◽  
Stock Market ◽  
Stock Markets ◽  
Spillover Effects ◽  
Data Series ◽  
Testing Method ◽  
International Stock Markets ◽  
The Us ◽  
European Markets

In this paper, we investigate the price interdependence between seven international stock markets, namely Irish, UK, Portuguese, US, Brazilian, Japanese and Hong Kong, using a new testing method, based on the wavelet transform to reconstruct the data series, as suggested by Lee [11]. We find evidence of intra-European (Irish, UK and Portuguese) market co-movements with the US market also weakly influencing the Irish market. We also find co-movement between the US and Brazilian markets and similar intra-Asian co-movements (Japanese and Hong Kong). Finally, we conclude that the circle of impact is that of the European markets (Irish, UK and Portuguese) on both American markets (US and Brazilian), with these in turn impacting on the Asian markets (Japanese and Hong Kong) which in turn influence the European markets. In summary, we find evidence for intra-continental relationships and an increase in importance of international spillover effects since the mid 1990s, while the importance of historical transmissions has decreased since the beginning of this century.

Stock market co-movement, domestic economic policy and the macroeconomic trilemma: the case of the UK (1922–2016)

2019 ◽  
Vol 26 (3) ◽  
pp. 295-320 ◽  
Author(s):  
German Forero-Laverde
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Time Series ◽  
Policy Regimes ◽  
Long Run ◽  
Advanced Economies ◽  
The Us ◽  
Short Run ◽  
The Uk

This article explores the global cycle hypothesis by testing whether the US stock market serves as an explanatory variable for the evolution of expansions and contractions in the UK stock market from 1922 until 2016. Alternatively, it tests an index that groups the stock markets of advanced economies to identify whether this driving force is international. Second, regarding co-movement with the US, the article explores whether its time-varying nature is contingent on the domestic and international economic policy regimes. I find evidence that there is a strong and contemporaneous co-movement between the US and UK stock markets. Additionally, through a VAR model, I identify that the movements in the UK stock market cause, in the Granger sense, changes in the index for advanced economies up to two years later. Furthermore, in the short-run co-movement between the US and UK stock markets is contingent on the macroeconomic trilemma while, in the long run, both domestic and international policy regimes affect the relationship. A final contribution is the design of a new methodology for describing the evolution of financial time series as risk-adjusted above or below average returns to different time horizons: the Local Bull Bear Indicators (LBBIs).

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.

scholarly journals To What Extent are Stock Returns Driven by Mean and Volatility Spillover Effects? – Evidence from Eight European Stock Markets

2013 ◽  
Vol 13 (1) ◽  
pp. 3-29 ◽  
Author(s):  
Abdulla Alikhanov
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Volatility Spillovers ◽  
The Us ◽  
Variance Ratios ◽  
Market Shocks ◽  
European Stock Markets ◽  
The U.S

Abstract The paper investigates mean and volatility spillover effects from the U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from the US-global, EU-regional, and the world factor oil towards individual stock markets. While both mean and volatility spillover transmissions from the US are found to be significant, EU mean spillover effects are negligible. To evaluate the magnitude of volatility spillovers, the variance ratios are also computed and the results draw to attention that the individual emerging countries’ stock returns are mostly influenced by the U.S volatility spillovers rather than EU or oil markets. Additionally, examination of only global and regional stock markets spillover transmissions into European stock markets also confirms the dominating presence of the U.S spillover transmissions. Furthermore, I also implement asymmetric tests on stock returns of eight markets. The stock market returns of Hungary, Poland, Russia and the Ukraine are found to respond asymmetrically to negative and positive shocks in the US stock returns. The weak evidence of asymmetric effects with respect to oil market shocks is found only in the case of Russia and the quantified variance ratios indicate that presence of oil market shocks are relatively higher for Russia. Moreover, a model with dummy variable confirms the effect of European Union enlargement on stock returns only for Romania. Finally, a conditional model suggests that the spillover effects are partially explained by instrumental macroeconomic variables, out of which exchange rate fluctuations play the key role in explaining the spillover parameters rather than total trade to GDP ratios in most investigated countries.

Sign in / Sign up

Export Citation Format

Share Document