COMMON FEATURES IN EAST ASIAN STOCK MARKETS: LONG-TERM AND SHORT-TERM COMOVEMENTS BETWEEN CHINA AND KOREA

2013 ◽  
Vol 58 (03) ◽  
pp. 1350018
Author(s):  
HAHN SHIK LEE ◽  
SOO IN KIM
Keyword(s):  
Stock Markets ◽  
East Asian ◽  
International Investment ◽  
Cointegration Analysis ◽  
Chinese Stock Market ◽  
Short Term ◽  
Financial Firms ◽  
Contemporaneous Correlation ◽  
East Asian Stock Markets

As increasing attention has been given in recent literature to the potential of the Chinese financial market, we investigate the strength of shared dynamics among East Asian stock markets, by examining both the long-term and short-term comovements. In doing so, the cointegration analysis is used to assess the long-term relationship, whereas the notions of cofeature as well as contemporaneous correlation are employed to discuss the short-term relationship. The basic finding is that evidence for short-term comovement between the Korean and Chinese stock markets appears to be strong, while evidence for long-term relationship is rather weak. Empirical results from subsamples suggest that both the long-term and short-term relationships have strengthened since the acquisition of QFII qualification by Korean financial firms. These observations indicate that the international linkage between the two countries has strengthened along with increasing opportunities for international investment in the Chinese stock market.

scholarly journals VECM and Variance Decomposition: An Application to the Consumption-Wealth Ratio

2017 ◽  
Vol 9 (6) ◽  
pp. 188
Author(s):  
Francois De Paul Silatchom
Keyword(s):  
Variance Decomposition ◽  
Cointegration Analysis ◽  
Financial Assets ◽  
Decomposition Technique ◽  
Quarterly Data ◽  
Contemporaneous Correlation ◽  
Tangible Assets ◽  
Permanent Shocks ◽  
Transitory Variance

This study uses a variance decomposition technique, which doesn’t rely on the underlying economic theory, in order to implement a permanent-transitory variance decomposition of the consumption-wealth ratio. We break down the wealth variable into financial assets, tangible assets, and human assets. Using quarterly data over the last six decades, we rely on cointegration analysis as the framework for the study, in order to assess the long-term interrelation between consumption shocks, and those from each of the above mentioned wealth components. Our results indicate that wealth components tend to exhibit permanent shocks, while consumption shocks appear to be transitory. Moreover, the results also indicate a low contemporaneous correlation between shocks in consumption and the ones from financial assets, and also between shocks in consumption and the ones from tangible assets. In addition, the variance decomposition of consumption shocks seems to indicate that, over the time a significantly increasing proportion of consumption shocks is explained by financial assets.

scholarly journals Effect of Carbon Dioxide Concentration on Cereal Yield in Sudan

2019 ◽  
Vol 5 ◽  
pp. 1
Author(s):  
Ibrahim A. Onour ◽  
Keyword(s):  
Carbon Dioxide ◽  
Positive Impact ◽  
Carbon Dioxide Concentration ◽  
Cointegration Analysis ◽  
Short Term ◽  
Time Duration ◽  
Yield Increase ◽  
Research Findings ◽  
Bound Test

To estimate the long-term effect of carbon dioxide (CO2) emission on cereal yield in Sudan, we employed an autoregressive distributed lagged (ARDL) bound test for cointegration analysis. The ARDL results reveal evidence of cointegration between the dependent variable (cereals yield) and two independent variables (CO2 emission) and agricultural GDP. The estimation results of the error correction model indicate that change in CO2 has a positive and significant impact on the cereal yield in the long and short terms, as 1% increase in CO2 leads to a cereal yield increase by 3% in the short term and by 0.7% in the long term. This result adds two important findings to the existing literature: First, the positive impact of CO2 on cereal yield in Sudan supports previous research findings in other countries of warm and arid climates. Second, the effect of CO2 on cereal yield differs from short to long term, as our finding indicates that CO2 has a greater positive effect in the short term compared to that in the long term, implying that the effect of CO2 on cereal yields is not linear, as commonly perceived, but it decreases as time duration extends to longer periods. This may be due to the CO2 effect on global warming that emanates from cumulative CO2 concentration, which leaves a disproportionate impact on crops over time.

scholarly journals Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

Energies ◽  
2020 ◽  
Vol 13 (2) ◽  
pp. 294 ◽  
Author(s):  
Xiaojing Cai ◽  
Shigeyuki Hamori ◽  
Lu Yang ◽  
Shuairu Tian
Keyword(s):  
Risk Management ◽  
Crude Oil ◽  
Stock Markets ◽  
East Asian ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Time Varying ◽  
Risk Hedging ◽  
Long Run ◽  
East Asian Stock Markets

This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

Sign in / Sign up

Export Citation Format

Share Document