scholarly journals Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices

2021 ◽  
Vol 9 ◽  
Author(s):  
Xin Liu ◽  
Elie Bouri ◽  
Naji Jalkh
Keyword(s):  
United States ◽  
Market Integration ◽  
The United States ◽  
Chinese Stock Market ◽  
Stock Market Index ◽  
United States Dollar ◽  
Outbreak Period ◽  
Market Index ◽  
Stock Indices ◽  
Daily Data

We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.

scholarly journals Granger Causality Approach to Examining Stock Market Integration in West Africa

2019 ◽  
pp. 838-845
Author(s):  
Eseosa David Obadiaru ◽  
Adebayo John Oloyede ◽  
Alex Ehimare Omankhanlen ◽  
Olusegun Barnabas Obasaju
Keyword(s):  
Stock Market ◽  
West Africa ◽  
Granger Causality ◽  
Market Integration ◽  
The United States ◽  
Stock Market Index ◽  
Causality Test ◽  
Stock Market Integration ◽  
The United Kingdom ◽  
Market Index

Stock markets have been found to be increasingly interdependent overtime due to activities related to internationalization, diversification, integration, and globalization. This study assesses the lead/lag interactions between equity markets in the West Africa viz a viz the United States (US) and the United Kingdom (UK) markets. Stock market index data were analyzed from 2008 - 2016 using the Granger causality test. Findings from the study indicates both uni-directional and bi-directional causality between most of the market pairs implying that none of the market exists in autarky.

scholarly journals Granger Causality Approach to Examining Stock Market Integration in West Africa.

2018 ◽  
pp. 563-570
Author(s):  
Eseosa David Obadiaru ◽  
Adebayo John Oloyede ◽  
Alex Ehimare Omankhanlen ◽  
Olusegun Barnabas Obasaju
Keyword(s):  
Stock Market ◽  
West Africa ◽  
Granger Causality ◽  
Market Integration ◽  
The United States ◽  
Stock Market Index ◽  
Causality Test ◽  
Stock Market Integration ◽  
The United Kingdom ◽  
Market Index

Stock markets have been found to be increasingly interdependent overtime due to activities related to internationalization, diversification, integration, and globalization. This study assesses the lead/lag interactions between equity markets in the West Africa viz a viz the United States (US) and the United Kingdom (UK) markets. Stock market index data were analyzed from 2008 - 2016 using the Granger causality test. Findings from the study indicates both uni-directional and bi-directional causality between most of the market pairs implying that none of the market exists in autarky.

Local Stock Market Integration with International Gold and Oil Price

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Kanon Kumar Sen ◽  
◽  
Md. Thasinul Abedin ◽  
Ratan Ghosh ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Oil Price ◽  
Policy Implications ◽  
Bounds Testing ◽  
Stock Market Index ◽  
Data Set ◽  
Stock Market Integration ◽  
Market Index ◽  
Short Run

We look for the integration of Bangladesh Stock Market with international gold and oil price using most recent monthly data set from January 2003 to December 2020 (2003m1-2020m12). We employ the bounds-testing approach to cointegration between stock market index (DSEX) and international gold and oil price and eventually find an integration and dynamic significant impact of international gold and oil price on DSEX in the long and short-run. We discuss the important policy implications of the dynamic impact of international gold and oil price on stock market index.

scholarly journals On the factors of Bitcoin’s value at risk

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Ji Ho Kwon
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Trading Volume ◽  
Corporate Bond ◽  
Policy Uncertainty ◽  
Chinese Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
The Us ◽  
Search Index

AbstractThis study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively significant, but these effects were attenuated when new samples were added. The 5% VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index. For the 1% VaR, variables related to the macroeconomy play a key role. The consumer sentiment index exerts a strong positive effect on the 1% VaR. I also find that the 1% VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index.

Wage Shocks and North American Labor-Market Integration

2000 ◽  
Vol 90 (4) ◽  
pp. 742-764 ◽  
Author(s):  
Raymond Robertson
Keyword(s):  
United States ◽  
Labor Market ◽  
North American ◽  
Market Integration ◽  
Wage Differential ◽  
Trade Agreement ◽  
Rates Of Convergence ◽  
The United States ◽  
Border Region ◽  
Labor Market Integration

This study uses household-level data from the United States and Mexico to examine labor-market integration. I consider how the effects of shocks and rates of convergence to an equilibrium differential are affected by borders, geography, and demographics. I find that even though a large wage differential exists between them, the labor markets of the United States and Mexico are closely integrated. Mexico's border region is more integrated with the United States than is the Mexican interior. Evidence of integration precedes the North American Free Trade Agreement (NAFTA) and may be largely the result of migration. (JEL F15, F20, J61)

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