Dynamic linkages and Granger causality between short-term US corporate bond and stock markets

1997 ◽  
Vol 4 (2) ◽  
pp. 89-91 ◽  
Author(s):  
Matiur Rahman ◽  
Muhammad Mustafa
Keyword(s):  
Granger Causality ◽  
Stock Markets ◽  
Corporate Bond ◽  
Short Term ◽  
Dynamic Linkages

COMMON FEATURES IN EAST ASIAN STOCK MARKETS: LONG-TERM AND SHORT-TERM COMOVEMENTS BETWEEN CHINA AND KOREA

2013 ◽  
Vol 58 (03) ◽  
pp. 1350018
Author(s):  
HAHN SHIK LEE ◽  
SOO IN KIM
Keyword(s):  
Stock Markets ◽  
East Asian ◽  
International Investment ◽  
Cointegration Analysis ◽  
Chinese Stock Market ◽  
Short Term ◽  
Financial Firms ◽  
Contemporaneous Correlation ◽  
East Asian Stock Markets

As increasing attention has been given in recent literature to the potential of the Chinese financial market, we investigate the strength of shared dynamics among East Asian stock markets, by examining both the long-term and short-term comovements. In doing so, the cointegration analysis is used to assess the long-term relationship, whereas the notions of cofeature as well as contemporaneous correlation are employed to discuss the short-term relationship. The basic finding is that evidence for short-term comovement between the Korean and Chinese stock markets appears to be strong, while evidence for long-term relationship is rather weak. Empirical results from subsamples suggest that both the long-term and short-term relationships have strengthened since the acquisition of QFII qualification by Korean financial firms. These observations indicate that the international linkage between the two countries has strengthened along with increasing opportunities for international investment in the Chinese stock market.

scholarly journals Short term momentum profits and their source: a business indicators’ approach

2013 ◽  
Vol 59 (No. 12) ◽  
pp. 563-577
Author(s):  
A. Ejaz ◽  
P. Polak
Keyword(s):  
Stock Markets ◽  
Primary Objective ◽  
Future Research ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Profits ◽  
The Future ◽  
Secondary Objective ◽  
Number Of Authors ◽  
Starting A Business

The main objective of the paper is to seek the source that can explain the momentum profits because the source of momentum profits has been disputed. The secondary objective of the paper is to affirm the findings of the author about the presence of the short term momentum effect and to reaffirm the notion that CAPM cannot explain the momentum profits supported by a large number of authors. For the primary objective, a set of variables has been chosen, that fall under the category of “Business Indicators”, to explain the momentum profits. It is found that a variable “Starting a Business” could explain the source of the momentum profits whereas other variables may have a negligible or no influence over the momentum profits. It is also reaffirmed that a short term momentum effect has been found in 14 stock markets and the CAPM could not explain the momentum profits. This study is not conclusive due to the limitation of data but it does give a source of the momentum profits and it sheds light on the future research about the sources that can explain momentum profits in a great detail.

scholarly journals Risks and the influence of negative interest rates on economic activity: a case study of Sweden, Denmark, and Switzerland

2020 ◽  
Vol 15 (1) ◽  
pp. 30-41
Author(s):  
Liběna Černohorská ◽  
Darina Kubicová
Keyword(s):  
Time Series ◽  
Interest Rates ◽  
Granger Causality ◽  
Economic Activity ◽  
Central Banks ◽  
Time Interval ◽  
Short Term ◽  
Stock Indices ◽  
Negative Interest Rates ◽  
The Impact

The purpose of this paper is to analyze the impact of negative interest rates on economic activity in a selected group of countries, in particular Sweden, Denmark, and Switzerland, for the period 2009–2018. The central banks of these countries were among the first to implement negative interest rates to revive the economic growth. Therefore, this study analyzed long- and short-term relationships between interest rates announced by central banks and gross domestic product and blue chip stock indices. Time series analysis was conducted using Engle-Granger cointegration analysis and Granger causality testing to identify long- and short-term relationship. The first step, using the Akaike criteria, was to determine the optimal delay of the entire time interval for the analyzed periods. Time series that seem to be stationary were excluded based on the results of the Dickey-Fuller test. Further testing continued with the Engle-Granger test if the conditions were met. It was designed to identify co-integration relationships that would show correlation between the selected variables. These tests showed that at a significance level of 0.05, there is no co-integration between any time series in the countries analyzed. On the basis of these analyses, it was determined that there were no long-term relationships between interest rates and GDP or stock indices for these countries during the monitored time period. Using Granger causality, the study only confirmed short-term relationship between interest rates and GDP for all examined countries, though not between interest rates and the stock indices. Acknowledgment The paper has been created with the financial support of The Czech Science Foundation GACR 18-05244S – Innovative Approaches to Credit Risk Management.

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