How Does the Stock Market React to the Closure of a Pension Plan in the UK?

AbstractWe investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

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Who Co-Moves The Islamic Stock Market of Indonesia -The US, The UK, or Japan?

Al-Iqtishad Journal of Islamic Economics ◽

10.15408/aiq.v10i2.7288 ◽

2018 ◽

Vol 10 (2) ◽

Author(s):

M. Shabri Abd. Majid

Keyword(s):

Stock Market ◽

The Us ◽

The Uk

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Stock market efficiency, insider dealing and market abuse: the UK experience

International Journal of Business Governance and Ethics ◽

10.1504/ijbge.2010.029554 ◽

2010 ◽

Vol 5 (1/2) ◽

pp. 38

Author(s):

Paul Barnes

Keyword(s):

Stock Market ◽

Market Efficiency ◽

Market Abuse ◽

Stock Market Efficiency ◽

Insider Dealing ◽

The Uk

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International Portfolio Diversification Benefits among Developed and Emerging Markets within the Context of the Recent Global Financial Crisis

Handbook of Research on Strategic Business Infrastructure Development and Contemporary Issues in Finance - Advances in Finance, Accounting, and Economics ◽

10.4018/978-1-4666-5154-8.ch013 ◽

2014 ◽

pp. 162-185

Author(s):

Gülin Vardar ◽

Berna Aydoğan ◽

Ece Erdener Acar

Keyword(s):

Stock Market ◽

Emerging Markets ◽

Global Financial Crisis ◽

Vector Error Correction ◽

Emerging Stock Markets ◽

Long Run ◽

International Investors ◽

The Uk ◽

Market Interdependence ◽

The Impact

This chapter aims to examine the existence of dynamic linkages among the major emerging stock markets, namely Brazil, Hungary, China, Taiwan, Poland, and Turkey, as well as developed markets, particularly the US, the UK, and Germany during the period 2004-2013. Potential dynamic long-run interdependencies are investigated using Johansen and Juselius (1990) multivariate cointegration test and causal relationship through the Vector Error Correction Model (VECM). Moreover, to capture the impact of the recent global crisis on the cointegrating relationship among the developed and emerging markets, the sample period is divided into pre- and post-crisis sub periods. The empirical findings show that, after the crisis period, the direction of the long-run relationship varies, and furthermore, the stock market interdependence increases, supporting herding behavior of investors during the stock market crash period. Therefore, the increasing dynamic co-movements in the period after the crisis provide direct implications for the international investors due to potential limitation in the international risk diversification and the achievement of greater portfolio returns through global investment.

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Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria

International Journal of Economics and Finance ◽

10.5539/ijef.v9n11p35 ◽

2017 ◽

Vol 9 (11) ◽

pp. 35

Author(s):

Jibrin Daggash ◽

Terfa W. Abraham

Keyword(s):

South Africa ◽

Exchange Rate ◽

Stock Market ◽

Stock Exchange ◽

Equity Prices ◽

The Us ◽

Short Run ◽

Us Dollar ◽

The Exchange Rate ◽

The Uk

This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, confirming the stock flow hypothesis for Nigeria and refuting same for South Africa. Although the VAR granger causality identifies short run fluctuation of the naira as a significant factor affecting the performance of the Nigerian stock exchange in the short run, the Johannesburg stock exchange was found to be mostly affected by short run changes in the Rand and the UK FTSE 100. The paper concludes that policies aimed at stabilizing exchange rate and encouraing more non-oil stocks to be quoted in the Nigerian stock exchange will important. For the Johanesburg stock exchange, raising the listing requirement for firms quoted in the UK FTSE 100 and also seeking listing or already listed in the JSE will be a plausible idea. For both countries, however, curtailing swings in their exchange rate returns would help attract new investments and sustain existing ones hence, helping to spur growth.

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