scholarly journals On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

2022 ◽  
Vol 2022 ◽  
pp. 1-16
Author(s):  
Qian Wang ◽  
Yu Wei ◽  
Yao Wang ◽  
Yuntong Liu
Keyword(s):  
Stock Markets ◽  
Spillover Effects ◽  
Asset Markets ◽  
External Shocks ◽  
Safe Haven ◽  
Index Method ◽  
International Stock Markets ◽  
Financial Speculation ◽  
Market Turbulence ◽  
Developed Stock Markets

Stock market is susceptible to various external shocks for its tight dependence on economic fundamentals, financial speculation, and fragile emotions in massive traders, making it a very risky market for investors. In this paper, we aim to identify whether commonly recognized safe-haven assets, that is, bitcoin, gold, and commodities, can provide investors with effective hedging utility in international stock markets, especially during periods of extreme market turbulence. By using the spillover index method based on the TVP-VAR model, we find that firstly, bitcoin, gold, and commodities can only offer weak hedging effects on stock markets. Furthermore, their abilities to act as a safe haven are ranked as: commodities > gold > bitcoin. Secondly, in general, we have observed the increasing hedging ability of these safe-haven assets in times of extreme market turmoil. Thirdly, among international stock and safe-haven asset markets, the world and the developed stock markets act as the net spillover transmitters, while bitcoin, gold, and commodities are the net recipients. Lastly, the total spillover effects are time-varying and increase significantly after the outbreak of extreme events.

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.

scholarly journals INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY

2020 ◽  
Vol 21 (6) ◽  
pp. 1561-1592
Author(s):  
Cristi Spulbar ◽  
Jatin Trivedi ◽  
Ramona Birau
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Financial Integration ◽  
Global Financial Crisis ◽  
Spillover Effects ◽  
Garch Models ◽  
Asymmetric Garch ◽  
Developed Stock Markets ◽  
The Impact

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents, respectively North America, Europe and Asia. We also investigate whether selected emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical analysis is focused on seven developed stock market indices, i.e. IBEX35 (Spain), DJIA (USA), FTSE100 (UK), TSX Composite (Canada), NIKKEI225 (Japan), DAX (Germany), CAC40 (France) and five emerging stock market indices, i.e. BET (Romania), WIG20 (Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework includes symmetric and asymmetric GARCH models i.e. EGARCH and GJR which are performed in order to capture asymmetric volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH models revealed that all selected financial markets are highly volatile, including the presence of leverage effect. The stock markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis.

scholarly journals Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India

2014 ◽  
Vol 4 (1) ◽  
pp. 33-42 ◽  
Author(s):  
Menggen Chen
Keyword(s):  
Stock Markets ◽  
Stock Price ◽  
Transmission Mechanism ◽  
External Shocks ◽  
Price Shocks ◽  
International Financial Crisis ◽  
International Stock Markets ◽  
Shock Transmission ◽  
The Impact ◽  
Domestic Stock

Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.

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