International Equity Markets Co-movements And Contagion: A Novel Perspective

Our paper conducts an asset pricing perspective to investigate OECD equity markets co-movements and contagion during different crises. The paper aims at distinguishing between changes in cross-markets linkages during a crisis, on the one hand, and strong but stable cross-markets linkages and permanent shifts in these linkages, on the other hand. Our empirical setting relies on the three factor model of Bekeart and al. (2005, 2011) and differs by testing the co-movements in their double dimensions: interdependence and contagion during the Asian, the European Exchange Rate Mechanism (ERM) and the Global Financial crises in different regions. Our results highlight the existence of cross-sectional patterns both in regional and USA market correlations with OECD equity markets. Evidence of contagion exists during the ERM and the Global Financial crisis, but no contagion caused by the Asian crisis. Our findings lead to an international diversification opportunity and suggest that contagion effects are not strongly related to high levels of global integration.

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The Determinants of the KOSPI200 Index Option Returns

Journal of Derivatives and Quantitative Studies ◽

10.1108/jdqs-01-2016-b0003 ◽

2016 ◽

Vol 24 (1) ◽

pp. 65-96

Author(s):

Byung Jin Kang

Keyword(s):

Cross Section ◽

Global Financial Crisis ◽

Factor Model ◽

Related Factor ◽

Related Factors ◽

Cross Sectional ◽

Option Returns ◽

The Cross ◽

The Global Financial Crisis ◽

Index Option

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

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Global integration of the Gulf cooperation council markets

Journal of Economic and Administrative Sciences ◽

10.1108/jeas-06-2020-0109 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Xiaobing Zhao

Keyword(s):

Structural Breaks ◽

Equity Markets ◽

Gulf Cooperation Council ◽

Time Varying ◽

Sample Period ◽

Global Integration ◽

Content Type ◽

International Equity Markets ◽

International Equity ◽

Global Investors

PurposeThis paper investigates the global financial integration of the Gulf Cooperation Council markets, which is important for financial economists, global investors and policymakers.Design/methodology/approachThe first step is to estimate a benchmark one-factor model and multifactor models over the entire sample period to obtain the time-invariant global integration estimates for the Gulf Cooperation Council markets. Because the global integration of the Gulf Cooperation Council markets may be time varying, the second step is to use 24-month rolling regressions to estimate the time-varying integration estimates. To explicitly test for structural breaks in global integration, this study applies a supremum Wald test to endogenously search for structural breaks.FindingsEmpirically, consistent evidence suggests that the Gulf Cooperation Council markets are increasingly integrated with international equity markets at different levels of financial development and from different regions. However, compared to other emerging and frontier markets, the global integration of the Gulf Cooperation Council markets is still relatively low, suggesting that these markets still offer significant diversification benefits for global investors.Originality/valueThis study contributes to the literature by systematically investigating the global integration of the Gulf Cooperation Council markets with monthly data (to account for the gradual information diffusion in international equity markets) and a longer sample period (to more robustly identify the trend in the global integration).

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FOREX and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the Global Financial Crisis

Journal of Finance and Accounting Research ◽

10.32350/jfar/0201/03 ◽

2020 ◽

Vol 2 (1) ◽

pp. 1-1

Author(s):

Konstantinos Tsiaras ◽

Theodore Simos

Keyword(s):

Multinational Corporations ◽

Financial Crises ◽

Global Financial Crisis ◽

Equity Markets ◽

Spillover Effects ◽

Financial Assets ◽

Contagion Effects ◽

Daily Data ◽

Movement Effect ◽

The Global Financial Crisis

In this paper, we investigate the spillover effects of forex and equity markets in USA, Brazil, Italy, Germany, and Canada using daily data. Using AR-dialog BEKR model we tested for the contagion & co-movement effect in equity markets during the post financial crises period of 2010-2018. The estimated dynamic conditional correlations show the strongest contagion effects for the pairs of markets as follows: S&P500-BOVESPA, S&P500-FTSEMIB, S&P500-DAX30 and S&P500-S&PTSX. For institutions, multinational corporations, and active investors, a portfolio consisting of financial assets from the above markets is extremely risky.

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Stock Index Futures Trading and Volatility in International Equity Markets

CFA Digest ◽

10.2469/dig.v31.n1.832 ◽

2001 ◽

Vol 31 (1) ◽

pp. 71-72

Author(s):

William H. Sackley

Keyword(s):

Equity Markets ◽

Stock Index ◽

Stock Index Futures ◽

Futures Trading ◽

Index Futures ◽

International Equity Markets ◽

International Equity

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Financial distress determinants among SMEs: empirical evidence from Sweden

Journal of Economic Studies ◽

10.1108/jes-01-2019-0030 ◽

2020 ◽

Vol 47 (3) ◽

pp. 547-560 ◽

Cited By ~ 1

Author(s):

Darush Yazdanfar ◽

Peter Öhman

Keyword(s):

Financial Crisis ◽

Financial Distress ◽

Large Scale ◽

Global Financial Crisis ◽

Binary Logistic Regression ◽

Data Availability ◽

Cross Sectional ◽

Data Set ◽

Content Type ◽

The Global Financial Crisis

PurposeThe purpose of this study is to empirically investigate determinants of financial distress among small and medium-sized enterprises (SMEs) during the global financial crisis and post-crisis periods.Design/methodology/approachSeveral statistical methods, including multiple binary logistic regression, were used to analyse a longitudinal cross-sectional panel data set of 3,865 Swedish SMEs operating in five industries over the 2008–2015 period.FindingsThe results suggest that financial distress is influenced by macroeconomic conditions (i.e. the global financial crisis) and, in particular, by various firm-specific characteristics (i.e. performance, financial leverage and financial distress in previous year). However, firm size and industry affiliation have no significant relationship with financial distress.Research limitationsDue to data availability, this study is limited to a sample of Swedish SMEs in five industries covering eight years. Further research could examine the generalizability of these findings by investigating other firms operating in other industries and other countries.Originality/valueThis study is the first to examine determinants of financial distress among SMEs operating in Sweden using data from a large-scale longitudinal cross-sectional database.

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