An empirical analysis of stock market interdependence and volatility spillover in the stock markets of Africa and Middle East region

2019 ◽  
Vol 10 (3) ◽  
pp. 314-335 ◽  
Author(s):  
Ajaya Kumar Panda ◽  
Swagatika Nanda ◽  
Rashmi Ranjan Paital
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Markets ◽  
Volatility Spillover ◽  
Causality Test ◽  
Content Type ◽  
East Region ◽  
Long Run ◽  
International Investors ◽  
Middle East Region

Purpose The purpose of this paper is to examine the short-term and long-term interdependence among the stock markets of Africa and Middle East region. It also attempts to analyze the pattern of volatility spillover among the regional stock markets. Design/methodology/approach The study has used Granger causality test, variance decomposition test of vector auto-regression (VAR) model, vector error correction model (VECM), multivariate generalized conditional heteroskedasticity (MGARCH-BEKK) models and Johansen and Juselius multivariate cointegration techniques. Findings The study finds that the interlinkages of the stock markets are not uniform across all the countries of the region. The stock market of Israel, South Africa and Jordan are found to be highly connected stock market of the region followed by Egypt and Botswana. The study also finds significant spillover of lagged standardized volatility across the stock markets of the region. But the magnitude of the response of volatility spillover and its persistence is very minimum. However, the stock markets are found to be co-integrated and expected to share long-run equilibrium relationships among each other. Research limitations/implications The study has the scope to be extended to capture the time-varying integration of market returns with transmission of monetary policy and exchange rate changes within the region. The results obtained from this study may assist the firm managers and international investors to understand the key drivers of market connectedness. Originality/value Empirically investigating the pattern of stock market connectedness in Africa and Middle East region with advanced methodology over a long study period is the originality of this study.

scholarly journals Integration In Middle East Stock Markets: Determinants, Effects And Evolutions

2013 ◽  
Vol 29 (5) ◽  
pp. 1301 ◽  
Author(s):  
Khaled Guesmi ◽  
Mohamed Hedi Arouri ◽  
Jean-Yves Moisseron ◽  
Frederic Teulon
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Empirical Work ◽  
Stock Market Integration ◽  
Emerging Stock Markets ◽  
East Region ◽  
Local Risk ◽  
Middle East Region

This article investigates the stock market integration within the Middle East region. We develop a regional dynamic version of the CAPM and estimate it using a multivariate GARCH methodology. We contribute to the financial literature by proposing the first empirical work that addresses the following three questions for emerging stock markets from Middle East region: (i) What factors determine Middle East regional stock market integration? (ii) Is exchange rate risk priced in Middle East emerging stock markets? And (iii) what are the relative contributions of regional and local risk factors to the total risk premium in Middle East emerging stock markets?

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.

scholarly journals Balancing deterrence: Iran-Israel relations in a turbulent Middle East

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nora Maher
Keyword(s):  
Middle East ◽  
National Security ◽  
Design Methodology ◽  
Main Approach ◽  
Content Type ◽  
East Region ◽  
Regional Dynamics ◽  
Central Argument ◽  
The Arab Spring ◽  
Middle East Region

Purpose This paper aims to examine the regional dynamics that further consolidated Israel’s national security in the Middle East in the aftermath of the Arab Spring, reflecting upon the nuclear challenge between Iran and Israel and Iran's expanding activities in the region. Design/methodology/approach To prove the central argument, the study uses a conceptual framework that centers on deterrence as the main approach used by states to consolidate their influence in the Middle East region. Findings Iran's nuclear progress and influence in the region has strengthened Israel’s security and fostered an unprecedented open rapprochement led by USA efforts with the Gulf regimes. Originality/value The paper draws particular attention to the Iran–Israel nuclear competency, and the Israeli preferred policy options regarding Iranian activities in the region amid turbulent Middle East. In addition, the paper offers insight to the regional dynamics that further consolidated Israel’s national security in the region while maintaining a status of Arab vulnerability and backwardness.

scholarly journals Accumulation of Antibiotic Resistance Genes in Carbapenem-Resistant Acinetobacter baumannii Isolates Belonging to Lineage 2, Global Clone 1, from Outbreaks in 2012–2013 at a Tehran Burns Hospital

mSphere ◽  
2020 ◽  
Vol 5 (2) ◽  
Author(s):  
Masoumeh Douraghi ◽  
Johanna J. Kenyon ◽  
Parisa Aris ◽  
Mahla Asadian ◽  
Sedighe Ghourchian ◽  
...  
Keyword(s):  
Middle East ◽  
Acinetobacter Baumannii ◽  
Resistance Genes ◽  
Carbapenem Resistance ◽  
Antibiotic Resistant ◽  
Content Type ◽  
Carbapenem Resistant ◽  
East Region ◽  
Lineage 2 ◽  
Middle East Region

ABSTRACT The worldwide distribution of carbapenem-resistant Acinetobacter baumannii (CRAB) has become a global concern, particularly in countries where antibiotic prescription is not tightly regulated. However, knowledge of the genomic aspects of CRAB from many parts of the world is still limited. Here, 50 carbapenem-resistant A. baumannii isolates recovered at a single hospital in Tehran, Iran, during several outbreaks in 2012 and 2013 were found to be resistant to multiple antibiotics. They were examined using PCR mapping and multilocus sequence typing (MLST). All Iranian strains belonged to sequence type 328 in the Institut Pasteur MLST scheme (ST328IP), a single-locus variant of ST81IP, and all Iranian strains contained two carbapenem resistance genes, oxa23 and oxa24. The oxa23 gene is in the transposon Tn2006 in AbaR4, which interrupts the chromosomal comM gene. Phylogenetic analysis using whole-genome sequence (WGS) data for 9 isolates showed that they belonged to the same clade, designated the ST81/ST328 clade, within lineage 2 of global clone 1 (GC1). However, there were two groups that included either KL13 or KL18 at the K locus (KL) for capsular polysaccharide synthesis and either a tet39 or an aadB resistance gene, respectively. The genetic context of the resistance genes was determined, and the oxa24 (OXA-72 variant) and tet39 (tetracycline resistance) genes were each in a pdif module in different plasmids. The aadB gene cassette (which encodes gentamicin, kanamycin, and tobramycin resistance) was harbored by pRAY*, and the aphA6 gene (which encodes amikacin resistance) and sul2 gene (which encodes sulfamethoxazole resistance) were each harbored by a different plasmid. The sequences obtained here will underpin future studies of GC1 CRAB strains from the Middle East region. IMPORTANCE Carbapenem-resistant Acinetobacter baumannii strains are among the most critical antibiotic-resistant bacteria causing hospital-acquired infections and treatment failures. The global spread of two clones has been responsible for the bulk of the resistance, in particular, carbapenem resistance. However, there is a substantial gap in our knowledge of which clones and which specific lineages within each clone are circulating in many parts of the world, including Africa and the Middle East region. This is the first genomic analysis of carbapenem-resistant A. baumannii strains from Iran. All the isolates, from a single hospital, belonged to lineage 2 of global clone 1 (GC1) but fell into two groups distinguished by genes in the locus for capsule biosynthesis. The analysis suggests a potential origin of multiply antibiotic-resistant lineage 2 in the Middle East region and highlights the ongoing evolution of carbapenem-resistant GC1 A. baumannii strains. It will enhance future studies on the local and global GC1 population structure.

Intensity of shock transmission amid US-BRICS markets

2015 ◽  
Vol 10 (3) ◽  
pp. 311-328 ◽  
Author(s):  
P. Lakshmi ◽  
S. Visalakshmi ◽  
Kavitha Shanmugam
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Subprime Mortgage ◽  
Content Type ◽  
Brics Countries ◽  
Long Run ◽  
The Us ◽  
The Usa ◽  
Short Run

Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings – The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets. Research limitations/implications – The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications – Changes from the US index easily affect these stock markets in the short-run, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value – This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

Relationship between developed, European and South Asian stock markets: a multivariate analysis

2016 ◽  
Vol 5 (3) ◽  
pp. 385-402 ◽  
Author(s):  
Syed Jawad Hussain Shahzad ◽  
Memoona Kanwal ◽  
Tanveer Ahmed ◽  
Mobeen Ur Rehman
Keyword(s):  
South Asian ◽  
Portfolio Management ◽  
Stock Markets ◽  
Content Type ◽  
International Portfolio Diversification ◽  
Long Run ◽  
International Portfolio ◽  
Short Run ◽  
International Investors ◽  
European Stock Markets

Purpose The assessment of interdependence between stock markets is an important aspect of international portfolio management. The purpose of this paper is to examine and highlight the diversification potential of South Asian stock markets vis-à-vis developed and European stock markets. Design/methodology/approach The developed stocks markets include USA and UK, and South Asian stock markets include India, Pakistan and Sri Lanka while DJ STOXX 600 index is used to represent the European stock markets. Monthly data are used to examine long-run relationship through ARDL bound testing approach and estimates are obtained using DLOS. Short-term dynamics are captured through vector error correction-based Granger causality. Findings South Asian stock markets are closely linked with each other; similarly, developed/European markets are interlinked. US stock market not only impacts European stock markets, it also Granger cause South Asian stock markets. The findings suggest increase in comovement of South Asian stock markets with the global markets after financial crises of 2007-2008. Practical implications The diversification benefits of South Asian stock markets for international investors are still evident due to their low relationship (in both long and short run) with developed/European stock markets. Originality/value Given the emergence of South Asian stock markets, new insight on their relationship with developed stock markets can provide interesting findings for international portfolio diversification. The South Asian equity markets are an important source of investment because of their immense growth and weak correlation with international markets.

scholarly journals A note on the relationship between COVID-19 and stock market return: evidence from South Asia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Md Arafat Rahman ◽  
Md Mohsan Khudri ◽  
Muhammad Kamran ◽  
Pakeezah Butt
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Stock Markets ◽  
Asian Countries ◽  
Causality Test ◽  
Stock Market Returns ◽  
Content Type ◽  
Market Return ◽  
Stock Market Return ◽  
The Impact

Purpose The transformation of coronavirus disease (COVID-19) from a regional health crisis in a Chinese city to a global pandemic has caused severe damage not only to the natural and economic lives of human beings but also to the financial markets. The rapidly pervading and daunting consequences of COVID-19 spread have plummeted the stock markets to their lowest levels in many decades especially in South Asia. This concern motivates us to investigate the stock markets’ response to the COVID-19 pandemic in four South Asian countries: Bangladesh, India, Pakistan and Sri Lanka. This study aims to investigate the causal impact of the number of confirmed COVID-19 cases on stock market returns using panel data of the countries stated above. Design/methodology/approach This study collects and analyzes the daily data on COVID-19 spread and stock market return over the period May 28, 2020 to October 01, 2020. Using Dumitrescu and Hurlin panel Granger non-causality test, the empirical results demonstrate that the COVID-19 spread measured through its daily confirmed cases in a country significantly induces stock market return. This paper cross-validates the results using the pairwise Granger causality test. Findings The empirical results suggest unidirectional causality from COVID-19 to stock market returns, indicating that the spread of COVID-19 has a dominant short-term influence on the stock movements. To the best of the knowledge, this study provides the first empirical insights into the impact of COVID-19 on the stock markets of selected South Asian countries taking the cross-sectional dependence into account. The results are also in line with the findings of other existing literature on COVID-19. Moreover, the results are robust across the two tests used in this study. Originality/value The findings are equally insightful to the fund managers and investors in South Asian countries. Taking into account the possible impact of COVID-19 on stock markets’ returns, investors can design their optimal portfolios more effectively. This study has another important implication in the sense that the impact of COVID-19 on the stock markets of South Asian countries may have spillover effects on other developing or even developed countries.

Impact of terrorism on stock markets across the world and stock returns

2019 ◽  
Vol 26 (3) ◽  
pp. 793-807 ◽  
Author(s):  
Laila Memdani ◽  
Guruprasad Shenoy
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Performance Measure ◽  
Short Term ◽  
Content Type ◽  
Global Indices ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Affected Country

Purpose The purpose of this paper is to study the following: short-run and long-run associations between the terror-affected country’s stock market index and other global countries’ equity indices and gold; the volatility of stock market indices when one of the countries is affected by a terrorist attack; and the linkages between terrorism and the returns in the selected stock markets. Design/methodology/approach To study the impact of the Taj attack on other global indices, the authors selected top five countries’ stock market indices, namely, FTSE, DJI, NIKKEI, SSEC and DAX. The short-run and long-run associations are also compared with gold. The authors used the autoregressive distributed lag model, LM test and bounds test for analyzing the short-run and long-run impact; ARCH family models to study the volatility impact; and the MAR model to study the impact on returns. Findings The authors found that all the global indices had a short-run association with the terror-affected country’s benchmark index, i.e. BSE. Gold moved as expected, with it having a short-run impact on the terror-affected country. All the global indices except DJI have volatility of share price movement either positively or negatively. As the benchmark of the terror-affected country fell, NIKKEI, HSI, IXIC, DAX and CAC also fell; that is, it had a positive influence on the terror-affected country’s index. Post the Mumbai attacks, DJI, NIKKEI, SSEC, DAX, BSE and CAC performed well in performance measure returns compared with the pre-attack period. Whereas, FTSE and GOLD performed well in performance measure returns in the pre-attack period compared with the post-attack period. GOLD proved that it is the best avenue to invest in, as it has only a short-term association with the terror-affected country’s index. Research limitations/implications The authors studied the short-run and long-run associations with only five countries’ benchmark indices. Practical implications The authors found that all the global indices had long- and short-run associations with the terror-affected country’s benchmark index, i.e. BSE. Global indices like DJI, NIKKEI, SSEC, DAX and FTSE had a short-term association with the affected country’s index. Gold moved as expected, with it having a short-run impact on the terror-affected country. All the global indices except DJI have volatility of share price movement either positively or negatively. As the benchmark of the terror-affected country fell, NIKKEI, HSI, IXIC, DAX, TSX, BVSP and CAC also fell; i.e., it had a positive influence on the terror-affected country’s index. Post the Mumbai attacks, DJI, NIKKEI, SSEC, DAX, BSE and CAC performed well in performance measure returns compared with the pre-attack period. Whereas, FTSE and GOLD performed well in performance measure returns in the pre-attack period compared with the post-attack period. GOLD proved that it is the best avenue to invest in, as it has only a short-term association with the terror-affected country’s index. In all the relationships were mixed with respect to terror attacks, and GOLD took the lead run out of all the associations it had in the 16-year time span from 2000 to 2016. Social implications The research has got an important implication to the investors. It shows that patience is the key, as all the indices had only short-term associations with the BSE. It implies that investors’ returns will be negative in the short run, but if they continue investing, in the long run, the impact of terrorism tapers out and the returns will increase. Originality/value There is a lot of research done on the impact of the US attacks on the stock markets of other countries, but on the impact of the Taj attack in India, there is hardly any research.

Cointegration of Asian Stock Markets: Empirical Evidence from India

2016 ◽  
Vol 6 (2) ◽  
Author(s):  
Beeralaguddada Srinivasa Veerappa
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Causality Test ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
Auto Regressive ◽  
Global Stock Markets ◽  
Indian Stock Market

At present stock return is significantly related to other global stock markets. The present paper empirically investigates the short run and long run equilibrium relationship between the stock market of India, Japan Hong Kong, Singapore, Malaysia, China, and Australia monthly data during January 1995 to December 2013. Researcher employs correlation test, multivariate co-integration framework, Vector Auto Regressive error-correction model and Granger causality test with reference to financial up evils in Asia and world viz., Asian crisis (1997/98), financial crisis (2008) Inflation conditions, Natural disasters, financial up evils etc. of long run relationship. Results find that the Indian stock market return is significantly co-integrated with long run and short run situations/causalities in Asian Stock returns.

Dynamic linkages among international crude oil, exchange rate and Norwegian stock market: evidence from ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

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