To What Extent Are Stock Returns Driven By Spillover Effects PDF Download
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| Author | : Abdulla Alikhanov |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 76 |
| Release | : 2013 |
| Genre | : |
| ISBN | : 9783659504761 |
Download To What Extent Are Stock Returns Driven by Spillover Effects? Book in PDF, ePub and Kindle
The paper investigates the mean and volatility spillover effects from U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from global US, regional EU, and world factor oil towards individual stock markets.. To evaluate the volatility spillovers, the variance ratios are computed and the results draw to attention that the individual emerging countries' stock returns are mostly influenced by the U.S volatility spillovers rather than the EU or oil markets. The weak evidence of asymmetric effects with respect to oil market shocks is found only in the case of Russia and the quantified variance ratios indicate that presence of oil market shocks are relatively higher for Russia. Moreover, a model with dummy variable confirms the effect of European Union enlargement on stock returns only for Romania. Finally, a conditional model suggests that the spillover effects are partially explained by instrumental macroeconomic variables, out of which exchange rate fluctuations play a key role in explaining the spillover parameters.
| Author | : Klaus Grobys |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Are Volatility Spillovers Between Currency and Equity Market Driven by Economic States? Evidence from the US Economy Book in PDF, ePub and Kindle
This study examines the volatility spillovers between the foreign exchange rate markets of three of the USA's major trading partners and the US stock market, utilizing the forecast-error variance decomposition framework of a VAR model proposed by Diebold and Yilmaz (2009). The empirical results, based on a data set covering the period 1986-2014 suggest that the level of total volatility spillover effects is high only when they precede periods of economic turbulence. If the economy is quiet, volatility spillover effects are virtually non-existent.
| Author | : Anders C. Johansson |
| Publisher | : |
| Total Pages | : |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Spillover Effects among the Greater China Stock Markets Book in PDF, ePub and Kindle
This paper explores the linkages among the different stock markets in the Greater China region (China, Hong Kong, and Taiwan). The empirical findings show no indications of long-run relationships among the markets. There are, however, short-run spillover effects in both returns and volatility in the region. Both China and Hong Kong are affected by mean spillover effects from Taiwan. Volatility in the Hong Kong market spills over into Taiwan, which in turn affects the volatility in the Mainland China market. This means that the Mainland China market is related to other markets, even though the possibilities for outside investments have been limited until recently. Overall, the study shows significant interdependencies among the three markets, a result that has important implications for both policymakers and investors in the region.
| Author | : Jawad Syed |
| Publisher | : Springer |
| Total Pages | : 277 |
| Release | : 2019-06-17 |
| Genre | : Business & Economics |
| ISBN | : 3030147223 |
Download China’s Belt and Road Initiative in a Global Context Book in PDF, ePub and Kindle
Bringing together a collection of interdisciplinary chapters on China’s Belt and Road Initiative (BRI, or also known as One Belt One Road), this book offers a comprehensive overview of the topic from a business and management perspective. With contributions from scholars based in Asia, Europe and North America, Volume I provides theoretical and empirical analysis of the opportunities and challenges facing businesses in relation to BRI. Key areas covered include economics and finance, history, trade, value chain and human resource and cross-cultural management, creating a useful tool for academics, as well as policy-makers and practitioners in China and other countries along the new Silk Road.
| Author | : Seungho Jung |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2021-10-22 |
| Genre | : Business & Economics |
| ISBN | : 1557759677 |
Download Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics Book in PDF, ePub and Kindle
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
| Author | : Bhaskar Bagchi |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 225 |
| Release | : 2016-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1786355531 |
Download Dynamic Linkages and Volatility Spillover Book in PDF, ePub and Kindle
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
| Author | : Y. Angela Liu |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets Book in PDF, ePub and Kindle
This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.
| Author | : Shah Arjun |
| Publisher | : Arjun Shah |
| Total Pages | : 0 |
| Release | : 2023-02-28 |
| Genre | : Business & Economics |
| ISBN | : 9784939733451 |
Download The Dynamics of Stock Market Volatility An Analysis of Spillover Effect in Asian Market Book in PDF, ePub and Kindle
Stock markets serve as the economic barometers. The relationship between the two capital markets can be studied as a proxy to understand the relation between the two economies. The movement of stock market not only reflects the nation's economic condition but also the confidence level the domestic and foreign investors have in an economy. The increase in integration between the global economies has resulted in convergence and co movement. The purpose of this study is to examine the presence of volatility and test the uniformity in the extent of volatility, to investigate the possible contagion effect between the selected developed and emerging market, to check for the spillover effect between the Indian stock market and the other five sampled markets and finally inspect the relationship between the volume and volatility in the capital markets of Hong Kong, Japan, Singapore, India, China and Philippines. Stratified- convenience sampling technique is used to pick the samples and daily index values are taken from the major index of these countries for a period of seven years. The time series data were tested for stationarity and normality using ADF, PP tests and Jarque-Bera test. Returns, SD, ARIMA, ARCH, GARCH, BEKK-GARCH, Granger causality test, VAR model and Variance decomposition techniques are used for the analysis.
| Author | : Peter G. Moffatt |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2022 |
| Genre | : |
| ISBN | : |
Download Volatility Spillovers and Conditional Correlations Between Oil, Renewables and Stock Markets Book in PDF, ePub and Kindle
We investigate linkages between three different markets: renewable energy (represented by a range of renewable energy ETFs); traditional energy (represented by crude oil ETF); and common stocks (represented by the S&P 500 Index ETF). We use daily data from 2008 to 2021. The econometric framework adopted is the VARMA-DCC-GARCH-in-mean model. We find that this framework is ideal because it allows us to identify the impact of uncertainty in one market on returns in another market, and also volatility spillovers, that is, the phenomenon of high uncertainty in one market spreading to other markets. Our key findings are as follows. Stock-market uncertainty influences traditional energy (negatively) and renewable energy (positively) at the mean level. Stock market volatility has a positive spillover effect on both conventional and renewable energies in the short-run, but these spillover effects are negative in the long-run. Our estimates of the time-paths of dynamic conditional correlations provide evidence that the renewable market is more heavily ``financialized'' than the traditional energy market, and moreover that the strong financialization of renewables is robust to financial crises.
| Author | : Nicholas Mangee |
| Publisher | : Cambridge University Press |
| Total Pages | : 451 |
| Release | : 2021-10-14 |
| Genre | : Business & Economics |
| ISBN | : 1108983588 |
Download How Novelty and Narratives Drive the Stock Market Book in PDF, ePub and Kindle
'Animal spirits' is a term that describes the instincts and emotions driving human behaviour in economic settings. In recent years, this concept has been discussed in relation to the emerging field of narrative economics. When unscheduled events hit the stock market, from corporate scandals and technological breakthroughs to recessions and pandemics, relationships driving returns change in unforeseeable ways. To deal with uncertainty, investors engage in narratives which simplify the complexity of real-time, non-routine change. This book assesses the novelty-narrative hypothesis for the U.S. stock market by conducting a comprehensive investigation of unscheduled events using big data textual analysis of financial news. This important contribution to the field of narrative economics finds that major macro events and associated narratives spill over into the churning stream of corporate novelty and sub-narratives, spawning different forms of unforeseeable stock market instability.
