scholarly journals Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach

2021 ◽  
pp. 1-14
Author(s):  
Guglielmo Maria Caporale ◽  
Luis A. Gil-Alana ◽  
Kefei You
Keyword(s):  
Stock Market ◽  
Fractional Integration ◽  
Market Linkages ◽  
The Us ◽  
Asean Countries

scholarly journals Stock Market Linkages: Evidence From The US, China And India During The Subprime Crisis

2015 ◽  
Vol 8 (1) ◽  
pp. 137-162 ◽  
Author(s):  
Amanjot Singh ◽  
Parneet Kaur
Keyword(s):  
Stock Market ◽  
Subprime Crisis ◽  
Volatility Spillover ◽  
Indian Market ◽  
Chinese Market ◽  
Stock Market Returns ◽  
Market Linkages ◽  
Time Period ◽  
The Us ◽  
Risk Parameters

AbstractThe Subprime crisis spillovered the returns and volatility from the US stock market to the other integrated economies. The present study attempts to analyze the stock market linkages between the US, India and China, especially during the US subprime Crisis. The technique of Tri-Variate Vector Autoregression and the Spillover Index has been employed so as to analyze the relations during the time period 2007 to 2009. To estimate the time varying risk parameters, the technique of Threshold Generalized Autoregressive Conditional Heteroskedastic [TGARCH (1,1)] model has been used. A uni-directional causality has been observed from the US market to the Indian and Chinese market, whereas another unidirectional causality has also been spotted running from the Chinese market to the Indian market in the context of stock market returns during the crisis period. A unidirectional volatility spillover from the US to the Indian market and from the Indian to the Chinese market has been found to be significant. As per the volatility Spillover Index, the cross market impact on the volatility reduces over a time period 2007-2009, due to the increased impact of the past volatility and the presence of 'leverage effect'. The falling returns added to the volatility in the respective markets. The efficient tests of causality inspired by Hill (2007) reported an indirect impact of the US market volatility on the Chinese market via Indian. The portfolio managers should discount this information well ahead of time to maintain the portfolio values by taking positions in futures and options market.

FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES

2002 ◽  
Vol 05 (08) ◽  
pp. 775-783 ◽  
Author(s):  
LUIS A. GIL-ALANA
Keyword(s):  
Stock Market ◽  
Fractional Integration ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
The Us ◽  
The Uk

In this article we model the stock market volatility in the US, the UK, France, Germany and Japan by means of using fractionally integrated techniques. The results, based on the tests of Robinson [24] show that the volatility series can be well described in terms of I(d) statistical processes, with d higher than 0.5 but smaller than 1, implying thus nonstationary but mean-reverting behaviour.

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

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