Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

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Does Intra-Regional Trade Matter in Regional Stock Markets?: New Evidence from Asia-Pacific Region

SSRN Electronic Journal ◽

10.2139/ssrn.2813957 ◽

2016 ◽

Author(s):

SeiWan Kim ◽

Moon Jung Choi

Keyword(s):

Stock Markets ◽

Asia Pacific ◽

Pacific Region ◽

Asia Pacific Region ◽

Regional Trade ◽

New Evidence

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Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

Journal of Asia Business Studies ◽

10.1108/jabs-02-2021-0050 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Yosuke Kakinuma

Keyword(s):

Southeast Asia ◽

Stock Markets ◽

Spillover Effect ◽

Spillover Effects ◽

Southeast Asian ◽

Series Data ◽

Financial Assets ◽

Volatility Spillover ◽

Content Type ◽

Asset Classes

Purpose This study aims to provide empirical evidence on the return and volatility spillover effects between Southeast Asian stock markets, bitcoin and gold in the periods before and during the COVID-19 pandemic. The interdependence among different asset classes, the two leading stock markets in Southeast Asia (Singapore and Thailand), bitcoin and gold, is analyzed for diversification opportunities. Design/methodology/approach The vector autoregressive-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity model is used to capture the return and volatility spillover effects between different financial assets. The data cover the period from October 2013 to May 2021. The full period is divided into two sub-sample periods, the pre-pandemic period and the during-pandemic period, to examine whether the financial turbulence caused by COVID-19 affects the interconnectedness between the assets. Findings The stocks in Southeast Asia, bitcoin and gold become more interdependent during the pandemic. During turbulent times, the contagion effect is inevitable regardless of region and asset class. Furthermore, bitcoin does not provide protection for investors in Southeast Asia. The pricing mechanism and technology behind bitcoin are different from common stocks, yet the results indicate the co-movement of bitcoin and the Singaporean and Thai stocks during the crisis. Finally, risk-averse investors should ensure that gold constitutes a significant proportion of their portfolio, approximately 40%–55%. This strategy provides the most effective hedge against risk. Originality/value The mean return and volatility spillover is analyzed between bitcoin, gold and two preeminent stock markets in Southeast Asia. Most prior studies test the spillover effect between the same asset classes such as equities in different regions or different commodities, currencies and cryptocurrencies. Moreover, the time-series data are divided into two groups based on the structural break caused by the COVID-19 pandemic. The findings of this study offer practical implications for risk management and portfolio diversification. Diversification opportunities are becoming scarce as different financial assets witness increasing integration.

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Stock Market Efficiency in South Eastern Europe

Regaining Global Stability After the Financial Crisis - Advances in Finance, Accounting, and Economics ◽

10.4018/978-1-5225-4026-7.ch011 ◽

2018 ◽

pp. 214-237

Author(s):

Vladimir Filipovski ◽

Dragan Tevdovski

Keyword(s):

Stock Markets ◽

Ratio Test ◽

Informational Efficiency ◽

Eastern European ◽

Dummy Variables ◽

Calendar Effects ◽

Random Walk Hypothesis ◽

South Eastern ◽

South Eastern Europe ◽

Day Of The Week

The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets.

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