scholarly journals The Asian crisis contagion: A dynamic correlation approach analysis

2009 ◽  
Vol 56 (2) ◽  
pp. 241-260 ◽  
Author(s):  
Essahbi Essaadi ◽  
Jamel Jouini ◽  
Wajih Khallouli
Keyword(s):  
Structural Change ◽  
Stock Market ◽  
Structural Break ◽  
Asian Crisis ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Work Shift ◽  
Dynamic Correlation ◽  
Break Points

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

scholarly journals Co-movements in stock market returns, Ireland and London 1869–1929

2017 ◽  
Vol 24 (2) ◽  
pp. 167-184 ◽  
Author(s):  
Rebecca Stuart
Keyword(s):  
Stock Market ◽  
Capital Gains ◽  
Free State ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Monthly Data ◽  
Volatility Spillovers ◽  
Bivariate Garch Model ◽  
The Relationship

This article studies the relationship between the Irish and London stock markets over the period 1869 to 1929, using monthly data on capital gains. A bivariate GARCH model shows that there were significant volatility spillovers from the London to the Irish market, but not vice versa. This suggests that shocks originating in London were transmitted to Ireland, but that the reverse did not occur. Furthermore, the time-varying correlation indicates that the co-movement between London and Ireland declined during the Irish independence struggle and the establishment of the Irish Free State. The correlation appears to stabilise in the late 1920s.

Does investor sentiment predict Mexican equity returns?

2018 ◽  
Vol 14 (4) ◽  
pp. 484-502 ◽  
Author(s):  
Daniel Liston-Perez ◽  
Patricio Torres-Palacio ◽  
Sidika Gulfem Bayram
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Equity Returns ◽  
Multivariate Garch ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Dynamic Correlation ◽  
Predictive Regressions ◽  
Multivariate Garch Models

Purpose The purpose of this paper is to test whether investor sentiment is a significant predictor of future Mexican stock market returns. It also estimates the dynamic correlation between investor sentiment and equity returns. Finally, it examines if investor sentiment innovations impact unexpected returns for a variety of portfolios. Design/methodology/approach This study utilizes predictive regressions to determine if sentiment can predict Mexican equity returns. Multivariate GARCH models are estimated to examine the time-varying correlations between investor sentiment and equity returns. Findings The results show that Mexican investor sentiment is a significant predictor of Mexican equity returns for up to 24 months ahead. The findings show that high levels of sentiment today are associated with lower equity returns over the near term. Furthermore, multivariate GARCH estimations indicate that the correlation between investor sentiment and equity returns is not static and varies considerably over time. Finally, the findings indicate that sentiment innovations are significantly correlated with unexpected returns, reinforcing the notion that unexplained sentiment fluctuations lead to unexplained changes in stock market returns. Overall, these results suggest that investor sentiment is a significant source of risk for the Mexican stock market. Originality/value This study seeks to further our understanding of how behavioral factors influence and predict Mexican equity returns.

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