scholarly journals Dynamic correlation analysis in the ASEAN equity markets during 2009–2018

2019 ◽  
Vol 16 (2) ◽  
pp. 249-259
Author(s):  
Vesarach Aumeboonsuke
Keyword(s):  
Equity Markets ◽  
Multivariate Garch ◽  
Policy Makers ◽  
Dynamic Correlation ◽  
Dynamic Correlations ◽  
Vec Model ◽  
The Us ◽  
Trading Partners ◽  
International Investors ◽  
Mean Variance Portfolio

This study examines the static and dynamic correlations in the ASEAN equity markets. The importance of this research appears from the fact that practitioners can get the benefit if their investments yield the same or higher returns given lower or the same risk in their portfolio. Firstly, this advantage comes from including the assets that decrease volatility of the portfolio. Hence, the correlation between the ASEAN markets should be examined. Secondly, co-movements in market realizations may increase global financial instability. Its existence is important for international investors, financial institutions, and policy makers. The study locates the relationship between ASEAN and its major trading partners, including Japanese, US, and UK markets, in order to find more rational results. This study utilizes alternative multivariate GARCH forms to provide useful information on the dynamic evolution and implications of return volatilities. The results show that the volatilities of all the equity markets under study are persistent over time. The estimates from VEC model indicate that the movements of the US and UK equity market returns have some degree of influence on several of the ASEAN equity markets. The results imply that, first, most of the developing ASEAN equity markets work by its own information with small relation to the developed world. Second, it is still convincing to state that investing in ASEAN equity markets should provide investors a better mean-variance portfolio. And, third, buy-and-hold strategy seems to be more beneficial than readjusting the ASEAN equities portfolio.

scholarly journals Transmission Of The Subprime Crisis: Evidence From Industrial And Financial Sectors Of BRIC Countries

2013 ◽  
Vol 29 (5) ◽  
pp. 1469 ◽  
Author(s):  
Jussi Nikkinen ◽  
Kashif Saleem ◽  
Minna Martikainen
Keyword(s):  
Equity Markets ◽  
Industrial Sector ◽  
Multivariate Garch ◽  
Subprime Crisis ◽  
Economic Sectors ◽  
Crisis Period ◽  
Bric Countries ◽  
Industrial Sectors ◽  
Contagion Effects ◽  
The Us

Although, there is an apparent consensus about the contagion effects of the current US subprime crisis. However, the transmission and repercussions of US subprime crisis, as well as the nature of the transformation suffered by different economic sectors between the US and other markets are such empirical questions that have not been dealt with comprehensively, yet. In this paper, by utilizing the multivariate GARCH analysis of Engle and Kroner (1995) for which a BEKK representation is adopted, we examine the transmission of the US subprime crisis across BRIC financial markets. Moreover, to identify the extent of contagion, we also inspect the diffusion of US subprime crisis to BRIC equity markets financial and industrial sectors. We found interesting evidence of volatility spillovers from US financial sector to all the BRIC markets financial sectors both in the full sample and crisis period. Similarly, except Chinese industrial sector, we observe contagion effects from US to Brazilian, Russian and Indian equity markets industrial sectors. Our results exhibit direct linkage for both returns and volatility between the US equity market and the BRIC markets. Equity markets of Russia and India, however, were found hardly hit during the crisis period among the BRIC countries. Finally, we found no support for the decoupling view while investigating the fastest growing emerging markets, the BRIC countries.

scholarly journals Global Portfolio Diversification and Equity Market: Evidence from Trading Partners of Pakistan

2018 ◽  
Vol 6 (1) ◽  
pp. 20-34
Author(s):  
Muhammad Husnain ◽  
◽  
Ume Habiba ◽  
Shahnaz Arifullah ◽  
Izhar Muhammad ◽  
...  
Keyword(s):  
Portfolio Management ◽  
Equity Markets ◽  
Equity Market ◽  
Portfolio Diversification ◽  
Weekly Basis ◽  
Policy Makers ◽  
Trading Partners ◽  
Portfolio Managers ◽  
Asset Classes

The influential work of Markowitz (1952, 1959) provides foundation to modern investment philosophy. Investors can reap the potential benefit of portfolio diversification only if the involved asset classes in investment basket are not perfectly correlated. Objective of this study is to empirically investigate the cointegration among equity market of Pakistan and its major trading partners (China, France, Germany, Hong Kong, Japan, Korea, Malaysia, UK and USA). Sample period of study starts from 2004 to 2015, on weekly basis. Bivariate cointegration (Johansen, 1991, 1995) analysis reveals that equity market of Pakistan has no long term relationship with any of the equity markets of its major trading partners. Therefore, we recommend to potential investors, portfolio managers, and policy makers that prospective benefit of portfolio diversification can be achieved by investing in the equity markets of major trading partners of Pakistan. Further, they should be vigilant regarding the co-movement among equity markets during portfolio management decisions.

scholarly journals Analysis of financial contagion in influential African stock markets

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Oluwatosin Mary Aderajo ◽  
Oladotun Daniel Olaniran
Keyword(s):  
Stock Prices ◽  
Variance Estimation ◽  
Global Financial Crisis ◽  
Multivariate Garch ◽  
Financial Contagion ◽  
African Countries ◽  
Crisis Period ◽  
Dynamic Correlation ◽  
Multivariate Garch Model ◽  
The Us

AbstractDrawing from the experience of the global financial crisis that sprang forth from the US stock market, an empirical assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African, Nigeria, Egypt, Kenya, Tunisia) is presented. Monthly stock prices indices from 2004 to 2018 was analyzed using the dynamic conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By analyzing the correlation coefficient series, three phases of the crisis periods were identified {pre-crisis (2004–2007); crisis (2007–2009) and post-crisis (2009–2018), respectively}. The study revealed that a significant relationship exists between the returns of the US market and the African markets. The inspection of the pre-crisis, crisis, post-crisis mean and variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the shock experienced in the US posed a threat to the African markets being examined. Further, evidence revealed that in the crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post-crisis period.

Contagion effects on stock and FX markets

2014 ◽  
Vol 31 (3) ◽  
pp. 246-254 ◽  
Author(s):  
Dimitrios I. Dimitriou ◽  
Theodore M. Simos
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Equity Markets ◽  
Specific Pattern ◽  
Multivariate Garch ◽  
Level Shift ◽  
Subprime Crisis ◽  
Content Type ◽  
Contagion Effects ◽  
The Us

Purpose – This paper aims to investigate the contagion effects of stock and FX markets for the USA and european monetary union (EMU) during the US subprime crisis of 2007-2009. Design/methodology/approach – The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for US and EMU equity markets, as well as EUR/USD exchange rate and 3-month US and EMU interest rate indices. The authors model, simultaneously, the dynamic conditional correlations (DCC) for the triplet: US, EMU equity markets and euro – USD uncovered interest rate parity (UIP) via a multivariate GARCH(1,1)-DCC model. The authors also test for a level shift increase of DCCs during the crisis period by incorporating a dummy variable in a GARCH(1,1) model. Findings – Our results suggest the presence of contagion for the US stock market and UIP. These results indicate that possibilities for portfolio diversification exist even in periods of severe financial turmoil. This can be explained by the different monetary policies that followed during the crisis. While USA increased liquidity through stimulus packages in early 2009, EMU preferred a strict monetary policy and fiscal austerity measures. Consequently, the EUR/USD exchange rate was less volatile than the EMU equities, resulting in their weak co-movement. Originality/value – These findings confirm a specific pattern of contagion that provide important implications for international investors and policy-makers.

Determinants of Brazilian Exports by Levels of Technological Intensity: A Gravity Model Analysis Using the PPML Estimator

2019 ◽  
Vol 10 (9) ◽  
pp. 861-879
Author(s):  
Edson Roberto Vieira ◽  
◽  
Daniel Henrique Alves Reis ◽  
Keyword(s):  
International Market ◽  
Positive Influence ◽  
Gravity Models ◽  
Transport Costs ◽  
Consumer Market ◽  
Technology Products ◽  
The Us ◽  
Trading Partners ◽  
Negative Impacts ◽  
Technological Intensity

The objective of this study is to analyze the determinants of Brazilian exports by levels of technological intensity in the period 2000-2015. Gravity models were estimated for total of the exports and for each type of exports by levels of technological intensity, using the PPML-estimator. The study indicates that there is a process of concentration of Brazilian exports in low technology and medium-low technology products, at the same period in which China's share of total Brazilian shipments abroad grew. Estimates of empirical gravity models have shown that the income and size of the consumer market of Brazil’s trading partners seem to have the greatest positive influence on the Brazilian exports. Indications of this study are that the Brazil should continue to diversify its trading partners to minimize the impacts of a possible reduction of the economic growth of large trading partners (such as China and the US) on its exports and increase its exports of products with greater technological intensity. The results also highlight the need for Brazil to make greater efforts to increase its competitiveness in the international market to reduce the negative impacts of transport costs on the final prices of products exported by the country.

Reluctant Cold Warriors

2019 ◽  
Author(s):  
Vladimir Kontorovich
Keyword(s):  
Cold War ◽  
National Security ◽  
Soviet Economy ◽  
Accurate Analysis ◽  
Policy Makers ◽  
Large Numbers ◽  
The Us ◽  
Comprehensive Survey ◽  
The Cold War ◽  
The Military

The academic study of the Soviet economy in the US was created to help fight the Cold War, part of a broader mobilization of the social sciences for national security needs. The Soviet strategic challenge rested on the ability of its economy to produce large numbers of sophisticated weapons. The military sector was the dominant part of the economy, and the most successful one. However, a comprehensive survey of scholarship on the Soviet economy from 1948-1991 shows that it paid little attention to the military sector, compared to other less important parts of the economy. Soviet secrecy does not explain this pattern of neglect. Western scholars developed strained civilian interpretations for several aspects of the economy which the Soviets themselves acknowledged to have military significance. A close reading of the economic literature, combined with insights from other disciplines, suggest three complementary explanations for civilianization of the Soviet economy. Soviet studies was a peripheral field in economics, and its practitioners sought recognition by pursuing the agenda of the mainstream discipline, however ill-fitting their subject. The Soviet economy was supposed to be about socialism, and the military sector appeared to be unrelated to that. By stressing the militarization, one risked being viewed as a Cold War monger. The conflict identified in this book between the incentives of academia and the demands of policy makers (to say nothing of accurate analysis) has broad relevance for national security uses of social science.

scholarly journals Associations between Google Search Trends for Symptoms and COVID-19 Confirmed and Death Cases in the United States

2021 ◽  
Vol 18 (9) ◽  
pp. 4560
Author(s):  
Mostafa Abbas ◽  
Thomas B. Morland ◽  
Eric S. Hall ◽  
Yasser EL-Manzalawy
Keyword(s):  
Functional Data ◽  
Time Series Data ◽  
Principal Component ◽  
State Level ◽  
The United States ◽  
Functional Principal Component Analysis ◽  
Series Data ◽  
Dynamic Correlation ◽  
The Us ◽  
Google Search

We utilize functional data analysis techniques to investigate patterns of COVID-19 positivity and mortality in the US and their associations with Google search trends for COVID-19-related symptoms. Specifically, we represent state-level time series data for COVID-19 and Google search trends for symptoms as smoothed functional curves. Given these functional data, we explore the modes of variation in the data using functional principal component analysis (FPCA). We also apply functional clustering analysis to identify patterns of COVID-19 confirmed case and death trajectories across the US. Moreover, we quantify the associations between Google COVID-19 search trends for symptoms and COVID-19 confirmed case and death trajectories using dynamic correlation. Finally, we examine the dynamics of correlations for the top nine Google search trends of symptoms commonly associated with COVID-19 confirmed case and death trajectories. Our results reveal and characterize distinct patterns for COVID-19 spread and mortality across the US. The dynamics of these correlations suggest the feasibility of using Google queries to forecast COVID-19 cases and mortality for up to three weeks in advance. Our results and analysis framework set the stage for the development of predictive models for forecasting COVID-19 confirmed cases and deaths using historical data and Google search trends for nine symptoms associated with both outcomes.

Universality, Quality & Economics: Finding a Balance in Ontario and British Columbia

1994 ◽  
Vol 20 (1-2) ◽  
pp. 203-229
Author(s):  
John D. Blum
Keyword(s):  
Health Reform ◽  
New Ventures ◽  
The United States ◽  
High Price ◽  
Social Programs ◽  
Policy Makers ◽  
High Expectations ◽  
The Us ◽  
Acceptable Model ◽  
National Economies

National economies worldwide are in disarray, evidenced by escalating debts and growing deficits. As countries struggle with their faltering economies they are hard pressed to fulfill commitments of social programs made in more prosperous times, much less take on new government initiatives. The current experiences in health reform in the United States present an interesting example of the dilemmas governments now face when they embark on new ventures. While great political pressures have been launched and high expectations abound, the reality of American health reform quickly reveals that expanded access will come at a high price that won't be offset easily by conventional cost containment or market forces.In the search for an acceptable model for health reform, it was popular for policy makers and academics to turn their attentions to the health systems of other nations. Recommendations were made that the US should adopt a German or Canadian solution for our health problems.

scholarly journals Regional trade and food security challenges: The case of SAARC countries

2020 ◽  
Vol 66 (No. 7) ◽  
pp. 335-344
Author(s):  
Muhammad Waqas Khalid ◽  
Ashar Sultan Kayani ◽  
Jamal Mohammed Alotaibi ◽  
Muhammad Muddassir ◽  
Bader Alhafi Alotaibi ◽  
...  
Keyword(s):  
Food Security ◽  
Regional Cooperation ◽  
Negative Impact ◽  
Positive Impact ◽  
Regional Trade ◽  
Policy Makers ◽  
Long Run ◽  
Security Challenges ◽  
Trading Partners ◽  
Trade Partners

Higher consumption and increased import requirements for the South Asian Association for Regional Cooperation (SAARC) region can be catered through neighboring trade partners if resources are optimally utilized. The purpose of this research is to analyze the connection between regional trade of SAARC countries and the food security challenges faced by the region. The study uses data from 1990–2018 for Pakistan, India, Sri Lanka, and Bangladesh to econometrically analyze the determinants of the volume of food trade. The results show that the gross domestic product of importing or exporting countries and foreign direct investment (FDI) have positive impact on regional trade. The bilateral exchange rate between trading partners has a negative impact on the trade volume. The results also showed the absence of a long-run relationship between volume of trade and food security using Johansen’s cointegration test. Our analysis suggests that policy makers should focus on the means for creating favorable environment in Pakistan and India to not only meet the increasing global demands for food but also increasing their competitiveness for high-quality and low-quality priced products in major exports markets.

Ecuador prison crisis threatens to escalate

2021 ◽  
Keyword(s):  
Human Rights ◽  
International Human Rights ◽  
Prison Violence ◽  
Content Type ◽  
The Us ◽  
International Coordination ◽  
Drug Cartels ◽  
International Human ◽  
International Investors

Significance The attack, which involved drones, illustrates the evolving tactics of crime groups, and follows a string of violent, sometimes coordinated, incidents at prisons this year. These have resulted in the deaths of over 120 inmates. Prison violence comes alongside rising crime and growing concerns over the strengthening of transnational drug cartels. Impacts Lasso will face increasing pressure from international human rights groups to protect prisoners and improve prison conditions. Rising violence and crime will increase concerns among international investors about the security of investments and risks of extortion. Lasso might seek to exploit improved relations with the US and Colombian governments to strengthen international coordination.

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