Time-Varying Higher Moment - Evidence from Vietnamese Stock Markets

2016 ◽  
Author(s):  
Trung Le
Keyword(s):  
Stock Markets ◽  
Time Varying

Time-varying inter-market linkage of international stock markets

2008 ◽  
Vol 40 (19) ◽  
pp. 2501-2507 ◽  
Author(s):  
Y.-P. Hu ◽  
L. Lin ◽  
J.-W. Kao
Keyword(s):  
Stock Markets ◽  
Time Varying ◽  
International Stock Markets ◽  
Market Linkage

scholarly journals The Symmetric and Asymmetric Time-Varying Causality Relationships Between the COVID-19 Outbreak and the Stock Exchange: The Case of Selected Countries

Ekonomika ◽  
2021 ◽  
Vol 100 (2) ◽  
pp. 144-170
Author(s):  
Cuma Demirtaş ◽  
Munise Ilıkkan Özgür ◽  
Esra Soyu
Keyword(s):  
Mortality Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Time Varying ◽  
Causality Test ◽  
Causality Tests ◽  
Bed Capacity ◽  
Case Rate ◽  
Asymmetric Causality ◽  
Second Wave

In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.

scholarly journals Time-Varying Linkages of Economic Activities in China and the Stock Markets in ASEAN-5

2016 ◽  
Vol 10 (2) ◽  
pp. 137-152 ◽  
Author(s):  
Kee Tuan Teng ◽  
Siew Hwa Yen ◽  
Soo Y. Chua ◽  
Hooi Hooi Lean
Keyword(s):  
Stock Markets ◽  
Time Varying ◽  
Economic Activities

scholarly journals Linkages and performance comparison among Eastern Europe stock markets

2014 ◽  
Author(s):  
José Soares Da Fonseca
Keyword(s):  
Stock Markets ◽  
Performance Comparison ◽  
Market Model ◽  
Var Model ◽  
Time Varying ◽  
Comparative Performance ◽  
Regional Market ◽  
Auto Regressive ◽  
And Performance ◽  
The Empirical Analysis

This article studies the linkages among the stock markets of Bulgaria, Czech Republic, Estonia, Hungary, Poland, Romania, Russia, Serbia, Slovenia and Ukraine. The empirical analysis begins with the estimation of a regional market model, whose beta parameters depend on predetermined information variables. Those parameters support the calculation of time‑varying Treynor ratios used on a comparative performance analysis. A Vector Auto Regressive Model (VAR) is used to estimate the performance causality within this group of markets. The VAR model results provide evidence that there is reciprocal performance across the majority of the selected stock markets.

Time-varying synchronization of European stock markets

2010 ◽  
Vol 40 (2) ◽  
pp. 393-407 ◽  
Author(s):  
Balázs Égert ◽  
Evžen Kočenda
Keyword(s):  
Stock Markets ◽  
Time Varying ◽  
European Stock Markets

Analysing time varying comovements among the US and BRICS stock markets

2022 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Lakshmi P ◽  
S. Visalakshmi ◽  
Jeevananthan Manickavasagam
Keyword(s):  
Stock Markets ◽  
Time Varying ◽  
The Us

scholarly journals Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

Energies ◽  
2020 ◽  
Vol 13 (2) ◽  
pp. 294 ◽  
Author(s):  
Xiaojing Cai ◽  
Shigeyuki Hamori ◽  
Lu Yang ◽  
Shuairu Tian
Keyword(s):  
Risk Management ◽  
Crude Oil ◽  
Stock Markets ◽  
East Asian ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Time Varying ◽  
Risk Hedging ◽  
Long Run ◽  
East Asian Stock Markets

This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

scholarly journals Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach

2019 ◽  
Vol 28 (3) ◽  
pp. 301-322 ◽  
Author(s):  
Aymen Ben Rejeb ◽  
Mongi Arfaoui
Keyword(s):  
State Space ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Financial Instability ◽  
Informational Efficiency ◽  
Time Varying ◽  
Content Type ◽  
Volatility Spillovers ◽  
Space Modeling ◽  
Stock Indexes

Purpose The purpose of this paper is to investigate whether Islamic stock indexes outperform conventional stock indexes, in terms of informational efficiency and risk, during the recent financial instability period. Design/methodology/approach The paper uses a state space model combined with a standard GARCH(1,1) specification while taking into account structural breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate periods of financial instability. Findings Empirical results show that Islamic stock indexes are more volatile than their conventional counterparts and are not totally immune to the global financial crisis. As regards of the informational efficiency, the results show that the Islamic stock indexes are more efficient than the conventional stock indexes. Practical implications Resulting evidence of this paper has several implications for international investors who wish to invest in Islamic and/or conventional stock markets. Policy makers and even academics and Sharias researchers should as well take preventive measures in order to ensure the stability of Islamic stock markets during turmoil periods. Overall, prudent risk management and precocious financial practices are relevant and crucial for both Islamic and conventional financial markets. Originality/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational efficiency. It considers structural break dates that think about the dynamic effect of informational flows on stock markets. The study was developed in a global framework using international data. The global analysis allows avoiding country specific effects.

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