Market Integration, Commodity VIXs, and the Return-Volatility Relation

2010 ◽  
Author(s):  
Robert T. Daigler ◽  
Chaiyuth Padungsaksawasdi
Keyword(s):  
Market Integration ◽  
Return Volatility

A GARCH Modelling of Volatility and M-GARCH Approach of Stock Market Linkages of North America

2018 ◽  
Vol 19 (6) ◽  
pp. 1538-1553 ◽  
Author(s):  
Ajaya Kumar Panda ◽  
Swagatika Nanda
Keyword(s):  
North America ◽  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Return Volatility ◽  
Sample Period ◽  
Market Returns ◽  
Stock Market Returns ◽  
Current Period ◽  
Highly Sensitive

The present study attempts to capture the return volatility and the extent of dynamic conditional correlation between the stock markets of North America region. The data contain weekly stock market returns spanning from the second week of 1995 to the fourth week of June 2016. Using univariate ARCH and GARCH approaches, the study finds evidence of return volatility and its persistence within the region. Mexican stock market neither reacts intensely to immediate market fluctuations nor the part of the realized past volatility spill over to the current period, whereas the stock markets of Canada and USA experience high persistence of return volatility and Bermuda stock market returns are highly sensitive to the immediate market fluctuations. Using MGARCH-DCC, this article finds that emerging markets are less linked to the developed market in terms of return and that there also exists a weak co-movement between the stock markets. There is no evidence of market integration throughout the sample period. Correlations tend to spread out equally throughout the sample period, but the co-variances were found to be more volatile during 2008–2010. This article reveals that changes in co-movement are not due to a change in the correlations between markets but is simply due to volatility.

Coevolution of Market Integration and Fairness Norms

PsycCRITIQUES ◽  
2015 ◽  
Vol 60 (4) ◽  
Author(s):  
Chi-Yue Chiu ◽  
Letty Yan-Yee Kwan
Keyword(s):  
Market Integration ◽  
Fairness Norms

Global Stock Market Integration

2016 ◽  
Author(s):  
Asma Mobarek ◽  
Sabur Mollah
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Stock Market Integration ◽  
Global Stock

China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration

2020 ◽  
Vol 22 (4) ◽  
pp. 338-361
Author(s):  
Xiaomeng Ma ◽  
Dong Zou ◽  
Chuanchao Huang ◽  
Shuliang Lv
Keyword(s):  
Stock Markets ◽  
Market Integration ◽  
Spillover Effects ◽  
Asia Pacific

Trends of Regional Integration on the Post-Soviet Space: Results of Quantitative Analysis

2010 ◽  
pp. 94-107 ◽  
Author(s):  
E. Vinokurov ◽  
A. Libman
Keyword(s):  
Regional Integration ◽  
Market Integration ◽  
Trade Integration ◽  
Economic Community ◽  
Small Countries ◽  
Economic Interaction ◽  
Leading Position ◽  
Soviet Space ◽  
And Migration ◽  
Post Soviet Space

The paper applies a new dataset of the System of Indicators of Eurasian Integration to evaluate the changes of level and direction of economic interaction of the post-Soviet states in the last decade. It analyzes the integration dynamics in the area of trade and migration as well as on three functional markets of agricultural goods, electricity and educational services. The paper concludes that the level of trade integration on the post-Soviet space continues declining, while there is a rapid increase of the labor market integration. Three largest countries of the Eurasian Economic Community - Russia, Belarus and Kazakhstan - demonstrate positive integration dynamics, but small countries maintain the leading position in the area of post-Soviet integration.

Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets

CFA Digest ◽  
2012 ◽  
Vol 42 (2) ◽  
pp. 56-58
Author(s):  
Johann U. de Villiers
Keyword(s):  
Emerging Markets ◽  
Stock Return ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Firm Level ◽  
Stock Return Volatility

Les savanes d'Afrique centrale entre enclavement et intégration aux marchés / Central African savannas : between isolation and market integration

2003 ◽  
Vol 112 (633) ◽  
pp. 471-494
Author(s):  
Y. Géraud Magrin ◽  
Jean-Yves Jamin ◽  
G. Faure ◽  
Guillaume Duteurtre
Keyword(s):  
Market Integration
Sign in / Sign up

Export Citation Format

Share Document