Dynamic Stock Market Integration and Financial Crisis: The Case of China, Japan and Korea

2012 ◽  
Author(s):  
Jinho Jeong
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Market Integration ◽  
Stock Market Integration

Financial crisis and African stock market integration

2003 ◽  
Vol 10 (9) ◽  
pp. 527-533 ◽  
Author(s):  
Z. Wang ◽  
J. Yang ◽  
D. A. Bessler
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Market Integration ◽  
Stock Market Integration

scholarly journals Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach

2019 ◽  
Vol 11 (2) ◽  
pp. 303 ◽  
Author(s):  
Ahmed Shafique Joyo ◽  
Lin Lefen
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Global Financial Crisis ◽  
The United States ◽  
Positive Sign ◽  
Stock Market Integration ◽  
Trading Partners ◽  
T Distribution

A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant of stock market interdependence. The objective of this study is to analyze the co-movements and the portfolio diversification between the stock markets of Pakistan and its top trading partners, namely China, Indonesia, Malaysia, the United Kingdom, and the United States. We employed Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methodology with student t-distribution to examine time-varying correlation and volatilities of stock markets of Pakistan and its trading partners. We used Morgan Stanley capital international (MSCI) daily returns data of developed and emerging markets for the period 2005 to 2018. The results of the study highlighted that stock markets of Pakistan and its trading partners were closely integrated during the financial crisis of 2008, while the integration among stock markets decreased substantially after the period of financial crises. Furthermore, the results showed the slow decay process. Therefore, it is a positive sign for the Pakistani and international investors to diversify their portfolio among the stock markets of Pakistan and its trading partners.

Sign in / Sign up

Export Citation Format

Share Document