How Integrated are U.S. Domestic Stock Markets

2010 ◽  
Author(s):  
Cheol S. Eun ◽  
Kyuseok Lee ◽  
Qinghai Wang
Keyword(s):  
Stock Markets ◽  
Domestic Stock

scholarly journals Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence

2019 ◽  
Vol 12 (1) ◽  
pp. 16 ◽  
Author(s):  
Kim Hiang Liow ◽  
Xiaoxia Zhou ◽  
Qiang Li ◽  
Yuting Huang
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Time Scale ◽  
Stock Markets ◽  
Real Estate Markets ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Local Stock ◽  
Domestic Stock

: This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in the respective economies, it is linked to the stock market. Earlier research does not have satisfactory results, because traditional methods average different relationships over various time and frequency domains between securitized real estate and local stock markets. According to our novel wavelet analysis, the relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less sensitive to the domestic stock markets in the long-run in recent years. Moreover, securitized real estate markets appear to lead stock markets in the short run, whereas stock markets tend to lead securitized real estate markets in the long run, and to a lesser degree medium-term. Finally, we find incomplete real estate and local stock market integration among the five developed economies, given only weaker long-run integration beyond crisis periods.

scholarly journals Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India

2014 ◽  
Vol 4 (1) ◽  
pp. 33-42 ◽  
Author(s):  
Menggen Chen
Keyword(s):  
Stock Markets ◽  
Stock Price ◽  
Transmission Mechanism ◽  
External Shocks ◽  
Price Shocks ◽  
International Financial Crisis ◽  
International Stock Markets ◽  
Shock Transmission ◽  
The Impact ◽  
Domestic Stock

Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.

The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price

2013 ◽  
Vol 94 ◽  
pp. 277-294 ◽  
Author(s):  
Shawkat Hammoudeh ◽  
Ramazan Sari ◽  
Mehmet Uzunkaya ◽  
Tengdong Liu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Country Risk ◽  
Oil Price ◽  
Domestic Stock
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