scholarly journals Exploring Return Transmission in Asian Stock Markets

2019 ◽  
Vol 11 (4) ◽  
pp. 48
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Vector Autoregression ◽  
The Other ◽  
Var Model ◽  
Chinese Stock Market ◽  
Transmission Effect ◽  
Cross Country ◽  
Japanese Stock Market

This paper investigates the return transmission between four Asian stock markets in Japan, China, Korea, and Taiwan. Specifically, applying a vector autoregression (VAR) model, this study derives the following interesting findings and interpretations. First, our results reveal that (1) rapid cross-country and autoregressive return transmission between the four Asian stock markets recently decreased, and (2) recently, the effects from the Japanese stock market to the other three Asian stock markets became weaker. Furthermore, our results clarify that (3) the return transmission effect from the Chinese stock market to the other three Asian stock markets is generally weak, also meaning that the Chinese stock market evolves autonomously.

scholarly journals Lessons for Euro markets from the first wave of COVID-19

2021 ◽  
Vol 18 (1) ◽  
pp. 285-298
Author(s):  
Costas Siriopoulos ◽  
Argyro Svingou ◽  
Jagadish Dandu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Impulse Response Function ◽  
Decomposition Methods ◽  
Var Model ◽  
Stock Exchanges ◽  
Panel Var ◽  
Chinese Stock Market ◽  
European Stock Markets ◽  
The Impact

Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.

scholarly journals The Impact of North Korea’s Nuclear Tests on Asian Stock Markets

2021 ◽  
Vol 14 (27) ◽  
pp. 77-90
Author(s):  
Chung BAEK ◽  
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
North Korea ◽  
Stock Return ◽  
Chinese Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Nuclear Tests ◽  
Japanese Stock Market ◽  
The Impact

This study investigates the impact of North Korea’s nuclear tests on Asian stock markets. Two approaches are used separately in order to identify how stock market returns and volatilities change immediately after the nuclear tests. We find that the Chinese stock market tends to be more sensitive to unexpected shocks from North Korea’s nuclear tests than other Asian stock markets. However, relatively, the Japanese stock market is little influenced by the nuclear tests though Japan is not only geographically close to North Korea but also politically vigilant to North Korea’s nuclear threats. Also, we find that strengthened return correlations (linearity) do not necessarily increase stock return volatilities.

scholarly journals The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

2021 ◽  
Vol 14 (3) ◽  
pp. 122
Author(s):  
Maud Korley ◽  
Evangelos Giouvris
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Regime Switching ◽  
Markov Switching ◽  
Sub Saharan Africa ◽  
Var Model ◽  
High Volatility ◽  
Sub Saharan ◽  
The Relationship ◽  
Fx Market

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

scholarly journals Unemployment and COVID-19 Impact in Greece: A Vector Autoregression (VAR) Data Analysis

2021 ◽  
Vol 5 (1) ◽  
pp. 41
Author(s):  
Christos Katris
Keyword(s):  
Data Analysis ◽  
Response Function ◽  
Unemployment Rate ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Youth Unemployment ◽  
The Other ◽  
Var Model ◽  
Unemployment Rates ◽  
The Impact

In this paper, the scope is to study whether and how the COVID-19 situation affected the unemployment rate in Greece. To achieve this, a vector autoregression (VAR) model is employed and data analysis is carried out. Another interesting question is whether the situation affected more heavily female and the youth unemployment (under 25 years old) compared to the overall unemployment. To predict the future impact of COVID-19 on these variables, we used the Impulse Response function. Furthermore, there is taking place a comparison of the impact of the pandemic with the other European countries for overall, female, and youth unemployment rates. Finally, the forecasting ability of such a model is compared with ARIMA and ANN univariate models.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

scholarly journals Analysis on the Impact of Short-Term International Capital Flows on Chinese Stock Market on the Basis of VAR Model

2018 ◽  
Vol 10 (8) ◽  
pp. 77
Author(s):  
Ning Wu
Keyword(s):  
Stock Market ◽  
Capital Flows ◽  
Composite Index ◽  
International Capital Flows ◽  
Capital Inflows ◽  
Var Model ◽  
Chinese Stock Market ◽  
International Capital ◽  
Short Term ◽  
The Impact

With the continuous development of global economic integration and financial markets, international capital flows more and more frequently, the frequent flow of international capital will inevitably affect the yield of Chinese stock market. This article uses short-term international capital inflows SS and Shanghai composite index R as research objects. Based on monthly data from January 2002 to October 2017, VAR model was constructed using Eviews8.0 to study the impact of short-term international capital flows on Chinese stock market. Empirical studies have found that short-term international capital flow is the granger cause of changes in the Shanghai composite index yield, while the yield of Chinese stock market will not affect short-term international capital flows. At the end of this paper, relevant suggestions are put forward according to the conclusions.

scholarly journals An Analysis of Stock Return Transmission in North and Latin America

2019 ◽  
Vol 10 (6) ◽  
pp. 14
Author(s):  
Chikashi Tsuji
Keyword(s):  
Latin America ◽  
Stock Returns ◽  
Latin American ◽  
Stock Markets ◽  
Stock Return ◽  
The Other ◽  
Var Model ◽  
Recent Period ◽  
The Us ◽  
Standard Vector

This study empirically examines the return transmission effects between the four North and Latin American stock markets in the US, Canada, Brazil, and Mexico. More specifically, applying a standard vector autoregression (VAR) model, we obtain the following interesting findings. First, (1) the return transmission effects between the four North and Latin American stock markets became much tighter in our second subsample period. Second, (2) in particular, US and Mexican stock markets are strong return transmitters in the recent period. Furthermore, (3) both in our first and second subsample periods, Brazilian stock returns do not transmit to the other three stock returns, although the other three North and Latin American stock markets affect the Brazilian stock market.

Stock prices' long memory in China and the United States

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhengxun Tan ◽  
Yao Fu ◽  
Hong Cheng ◽  
Juan Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Markets ◽  
Information Disclosure ◽  
Structural Breaks ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Chinese Stock Market ◽  
Content Type

PurposeThis study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.Design/methodology/approachThe authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.FindingsChina's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.Originality/valueThe authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.

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