scholarly journals Asynchronous Signaling in Global Equity Markets：Based on Opening Times

2017 ◽  
Vol 10 (8) ◽  
pp. 173
Author(s):  
Huijian Dong
Keyword(s):  
Latin America ◽  
Global Financial Crisis ◽  
Equity Markets ◽  
Equity Market ◽  
Asia Pacific ◽  
Large Size ◽  
Daily Data ◽  
Cointegration Tests ◽  
Equity Indices ◽  
The Impact

This paper employs cointegration tests to identify the impacts of sequential opens of global equity market among the equity indices. We use the daily data of 31 major equity markets and explore the comovement relationship according to the sequence of the market open. This study also examines the impact of the 2008 global financial crisis to such comovement relationship. Our results indicate that the markets in Europe-Middle East, Asia-Pacific and Latin America, are less affected by the levels of earlier opens of other markets. After the end of 2007, the global equity market comovement pattern changed significantly, yet the interdependence of markets was not unanimously strengthened. The size of an equity market does not dictate its range and power of impact, as we find that a large size market can still be cointegrated with small size markets, while a small size market is almost always cointegrated with large size markets.

scholarly journals Investigating the impact of Covid-19 on stock markets

2021 ◽  
Vol 10 (7) ◽  
pp. 199-219
Author(s):  
Mustapher Faque ◽  
Umit Hacioglu
Keyword(s):  
Stock Markets ◽  
Equity Markets ◽  
Adverse Impact ◽  
Vector Error Correction ◽  
Vector Error ◽  
Clear Sign ◽  
Vector Error Correction Models ◽  
Equity Indices ◽  
The Impact ◽  
The Relationship

This paper aims to examine the impact of Covid-19 pandemic on stock markets. This paper also analyses the stock market cointegration of selected global equity indices that performed better and have a quick speed of recovery during the pandemic. This paper also questions how increasing uncertainty and volatility deters investors’ perception of the diversification of equity investments. The dataset for the selected 12 global equity indices has been used from Thompson Reuters’s EIKON database in a given period of time between 2010 and 2021. This paper employs Vector Error Correction Models to assess the relationship among the selected global equity indices. Findings demonstrate that (i) there is an adverse impact of Covid-19 on the Global Equity markets, (ii) there is a clear sign of cointegration in global equity indices, (ii) investors can benefit from investing in particular equity indices that have exhibited quick speed of recovery from the pandemic records lows. The findings finally provide a strong foundation for constructing a resilient equity portfolio in a highly uncertain market environment.

scholarly journals Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database

2018 ◽  
Vol 04 (03n04) ◽  
pp. 1950006
Author(s):  
Frédéric Bucci ◽  
Michael Benzaquen ◽  
Fabrizio Lillo ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Empirical Study ◽  
Time Scales ◽  
Equity Markets ◽  
Equity Market ◽  
Slow Decay ◽  
The Us ◽  
Long Time ◽  
Power Law Function ◽  
Short Time ◽  
The Impact

We present an empirical study of price reversion after the executed metaorders. We use a dataset with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends: while at the end of the same day, it is on average [Formula: see text] of the peak impact, the decay continues for the next few days, following a power-law function at short-time scales, and converges to a non-zero asymptotic value at long-time scales ([Formula: see text] days) equal to [Formula: see text] of the impact at the end of the first day, that is [Formula: see text] of peak impact. Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the observed impact must be performed to extract the estimate of the impact decay of isolated metaorders.

scholarly journals AN EMPIRICAL EXAMINATION OF LINKAGES AMONG KARACHI STOCK EXCHANGE AND EMERGING EQUITY MARKETS OF ASIA PACIFIC REGION

2013 ◽  
Vol 01 (02) ◽  
pp. 55-61
Author(s):  
Arshad Hassan ◽  
Khalid Mehmood Awan
Keyword(s):  
Hong Kong ◽  
Stock Exchange ◽  
Equity Markets ◽  
Asia Pacific ◽  
Pacific Region ◽  
Asia Pacific Region ◽  
Empirical Examination ◽  
Cointegration Tests ◽  
International Investors ◽  
Multivariate Cointegration

This study analyses weekly stock indices for ten equity markets of Asia pacific region for the period January 1, 2001 to June 30, 2013 to explore the long run relationship among Karachi stock exchange and Asia Pacific equity markets . These markets include Hong Kong, Singapore, Indonesia, Korea, Malaysia, Pakistan, Taiwan, India and china. Multivariate Cointegration and VAR procedures are performed to observe the long term dynamic relationships among these market Results show that Karachi stock exchange is best performing market for the period under study as it offers the highest return at relatively low risk level. Multivariate Cointegration analysis provides an evidence of a single cointegrating equation among the markets studied. The results of the bivariate Cointegration tests indicate that the Pakistani stock market is not individually integrated with any of the emerging Asia Pacific markets except Hong Kong and Taiwan. Granger causality tests reveal a casual flow from Korea, Hong Kong, Taiwan and Indian indices to Karachi stock exchange index. This unidirectional causality is indicator of lead-lag relationship amongst them. Variance decomposition analysis shows that Karachi Stock Exchange (KSE) is exogenous as most of its vibrations are explained by its own unique shocks. Above results explain that international investors can derive the benefits of portfolio diversification and any volatility in emerging Asia Pacific markets does not expose the international investors in Karachi stock exchange to any immediate threat of spill over effect.

Art and Money

2011 ◽  
Vol 101 (3) ◽  
pp. 222-226 ◽  
Author(s):  
William N Goetzmann ◽  
Luc Renneboog ◽  
Christophe Spaenjers
Keyword(s):  
Price Level ◽  
Art Market ◽  
Equity Market ◽  
Market Returns ◽  
Top Incomes ◽  
Market Index ◽  
Long Run ◽  
Cointegration Tests ◽  
The Impact ◽  
Art Prices

This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, we demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. We also find evidence that an increase in income inequality may lead to higher prices for art. Finally, the results of Johansen's cointegration tests strongly suggest the existence of a long-run relation between top incomes and art prices.

An Empirical Analysis of Market Segmentation on U.S. Equity Markets

2017 ◽  
Vol 52 (6) ◽  
pp. 2399-2427 ◽  
Author(s):  
Frank Hatheway ◽  
Amy Kwan ◽  
Hui Zheng
Keyword(s):  
Asymmetric Information ◽  
Market Segmentation ◽  
Equity Markets ◽  
Equity Market ◽  
Market Quality ◽  
International Equity Markets ◽  
National Market ◽  
International Equity ◽  
System Requirements ◽  
The Impact

We examine the impact of trading on markets partially exempt from National Market System requirements (“dark venues”) on equity-market quality. We find evidence consistent with the notion that dark venues rely on their special features to segregate order flow based on asymmetric information risk, which results in their transactions being less informed and contributing less to price discovery on the consolidated market. Except for the execution of large transactions and trading in small stocks, the effects of dark-venue order segmentation are damaging to overall market quality. Our results have important implications for the regulation of international equity markets.

scholarly journals The impact of COVID-19 on the Spanish tourism sector

2020 ◽  
pp. 135481662095991
Author(s):  
Luis Alberiko Gil-Alana ◽  
Carlos Poza
Keyword(s):  
Strong Dependence ◽  
Equity Markets ◽  
Daily Data ◽  
Tourism Sector ◽  
Policy Measures ◽  
To Come ◽  
The Impact ◽  
Mean Reverting Process

We examine in this note the impact of COVID-19 on the Spanish tourism sector by using a strong dependence model. Daily data from five equity markets are used and we find that the coronavirus crisis has increased the persistence in the data, moving in some of the series from a mean reverting process to a non-mean reverting one. Thus, shocks that were expected to be transitory have become permanent, implying the need of strong policy measures to come the series back to their long-term projections.

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