scholarly journals The Discovery of Information Spillover Effect Between SSFs and Spot According to Market Amount

2013 ◽  
Vol 10 (1) ◽  
pp. 71-88
Author(s):  
Gyu-Hyen Moon
Keyword(s):  
Spillover Effect ◽  
Information Spillover

scholarly journals Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-12
Author(s):  
Xiaofei Wu ◽  
Shuzhen Zhu ◽  
Suxue Wang
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Spillover Effect ◽  
Dependence Structure ◽  
Chinese Stock Market ◽  
Single Currency ◽  
Rmb Exchange Rate ◽  
The Exchange Rate ◽  
Information Spillover ◽  
Vine Copula

This paper studies the dependence structure and information spillover effect between the RMB exchange rate and the Chinese stock market based on the R-vine copula model and spillover index model. The results show that due to the occurrence of the trade war, the correlation between the three RMB exchange rate indicators and the two stock market indicators increases in varying degrees. In the intensity of spillover, the information spillover of the stock market to the RMB exchange rate is significantly enhanced, and the information spillover intensity of the RMB Index to the stock market increases, but the information spillover of the US dollar and Hong Kong dollar exchange rates to the stock market is significantly weakened. In the direction of spillover, the spillover of the RMB Index and stock market shows the characteristics of alternating transformation, while the exchange rate of a single currency and the stock market shows a one-way transmission from the stock market to the exchange rate. Additionally, the information spillover between the RMB exchange rate and the stock market is closely related to the degree of market openness. The RMB Index contains more information than the exchange rate of a single currency.

Government governance, executive networks and corporate investment efficiency

2018 ◽  
Vol 8 (2) ◽  
pp. 122-139 ◽  
Author(s):  
Xin Jin ◽  
Junli Yu
Keyword(s):  
Design Methodology ◽  
Spillover Effect ◽  
Corporate Investment ◽  
Investment Behavior ◽  
Investment Efficiency ◽  
Conduction Path ◽  
Content Type ◽  
Informal Institution ◽  
Government Governance ◽  
Information Spillover

PurposeOwing to the importance of the investment behavior in China, the purpose of this paper is to find the influence of executive network and government governance on investment efficiency.Design/methodology/approachThe paper use China’s listed companies as sample to make an investment efficiency determinant model.FindingsIn this article, the authors find that larger executive network and higher government governance will lead to more corporate investment efficient. Furthermore, the informal institution – executive network, is not only an effective way to alleviate financing constraints, but also can solve underinvestment problem. While the improvement of local government governance can provide institutional protection, it will also be more conducive to restrain overinvestment behavior.Research limitations/implicationsThe authors have not explored conduction path. Especially, the authors have not examined whether information spillover effect or the release of resources constraints in executive network plays a more important role to ease investment insufficient.Originality/valueUnder the Chinese circumstance, relationship governance can not only promote companies to improve investment efficiency, but also provide an important guarantee for sustained macroeconomic growth.

Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices

GIS Business ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 57-67
Author(s):  
Falguni H. Pandya
Keyword(s):  
Granger Causality ◽  
Spillover Effect ◽  
Correlation Coefficients ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Index ◽  
International Investors ◽  
Basic Characteristics ◽  
Highly Correlated ◽  
Information Spillover

It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.

Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices

GIS Business ◽  
2017 ◽  
Vol 12 (2) ◽  
pp. 57-67
Author(s):  
Falguni H. Pandya
Keyword(s):  
Granger Causality ◽  
Spillover Effect ◽  
Correlation Coefficients ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Index ◽  
International Investors ◽  
Basic Characteristics ◽  
Highly Correlated ◽  
Information Spillover

It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.

Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices

GIS Business ◽  
2017 ◽  
Vol 12 (1) ◽  
pp. 57-67
Author(s):  
Falguni H. Pandya
Keyword(s):  
Granger Causality ◽  
Spillover Effect ◽  
Correlation Coefficients ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Index ◽  
International Investors ◽  
Basic Characteristics ◽  
Highly Correlated ◽  
Information Spillover

It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.

Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices

2016 ◽  
Vol 6 (3) ◽  
Author(s):  
Falguni H. Pandya
Keyword(s):  
Granger Causality ◽  
Spillover Effect ◽  
Correlation Coefficients ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Index ◽  
International Investors ◽  
Basic Characteristics ◽  
Highly Correlated ◽  
Information Spillover

It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.

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