How Integrated Are Domestic Stock Markets? Evidence from State Portfolio Returns

2012 ◽  
Author(s):  
Cheol S. Eun ◽  
Kyuseok Lee ◽  
Qinghai Wang
Keyword(s):  
Stock Markets ◽  
Portfolio Returns ◽  
Domestic Stock

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 Short-Term Momentum Effect: a Case of Middle East Stock Markets

2015 ◽  
Vol 16 (1) ◽  
pp. 104-112 ◽  
Author(s):  
Abdullah Ejaz ◽  
Petr Polak
Keyword(s):  
Middle East ◽  
Stock Markets ◽  
Middle Eastern ◽  
Future Research ◽  
Momentum Effect ◽  
Short Term ◽  
Portfolio Returns ◽  
Momentum Profits ◽  
Capm Model

The objective of this paper is to find short-term momentum effect in stock markets of the Middle East and to examine whether short-term momentum profits can be explained by risk-based CAPM model. Seven major stock markets from the Middle East were selected. Short-term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short-term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon. Future research should include more stock markets in order to have a better understanding of Middle Eastern stock markets.

High-order moments in stock pricing: evidence from the Chinese and US markets

2019 ◽  
Vol 10 (3) ◽  
pp. 323-346
Author(s):  
Yifan Chen ◽  
Zilin Chen ◽  
Huoqing Tang
Keyword(s):  
Asset Pricing ◽  
Stock Markets ◽  
Factor Model ◽  
High Order ◽  
Pricing Model ◽  
Content Type ◽  
Asset Pricing Model ◽  
Joint Distributions ◽  
Portfolio Returns ◽  
Fama French Factors

Purpose The purpose of this paper is to introduce an augmented high-order capital asset pricing model (AH-CAPM) as a new risk-based model to price stocks. Design/methodology/approach The AH-CAPM is defined as a linear model with high-order marginal moments and co-moments from the joint distributions of the sorted stock portfolio returns and the market return. Findings The performance of the AH-CAPM is tested in the Chinese and US stock markets. Empirical results show that the high-order marginal moments and co-moments from the joint distributions in AH-CAPM contain the risk and return information implied by the Fama–French factors, indicating it as a better risk measurement. Moreover, the AH-CAPM performs better than the Fama–French three-factor model and the Carhart four-factor model in both the Chinese and US stock markets. Originality/value Overall, this study introduces a new asset pricing model with better measurements to incorporate risk information in the stock market.

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

Causal Nexus Between Crude, Gold, Dollar and Stock Markets in India: Empirical Explorations Before, During and After the Global Recession

2021 ◽  
pp. 001946622110360
Author(s):  
T. G. Saji
Keyword(s):  
Stock Markets ◽  
Global Financial Crisis ◽  
Asset Markets ◽  
Asymmetric Structure ◽  
Causality Test ◽  
Portfolio Returns ◽  
Global Recession ◽  
Long Run ◽  
Short Run ◽  
The Global Financial Crisis

This research study empirically examines the price linkages among oil, dollar, gold and stock markets in India over period from 1999:1 to 2019:12. We employ cointegrated vector error correction model (VECM) and Granger causality test to study the long-run and short-run relationships between commodity and financial markets before, during and after the global financial crisis. Our analysis finds the dependency on price movements in asset markets is time-varying and countercyclical in India. Findings suggest the asymmetric structure of price correlations among asset markets across three temporal periods on either side of the crisis. Our study offers useful insights into the strategic asset allocations to investors in response to economic cycles, to help optimise potential portfolio returns and provide protection towards some downside risks. JEL Codes: C58, D53, F51

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