New Evidence on the Time-Varying Correlation between Consumption Growth and Stock Returns for the G7 Countries

2002 ◽  
Author(s):  
Asani Sarkar ◽  
Lingjia Zhang
Keyword(s):  
Stock Returns ◽  
Time Varying ◽  
G7 Countries ◽  
Consumption Growth ◽  
New Evidence

scholarly journals Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis

Energies ◽  
2018 ◽  
Vol 11 (10) ◽  
pp. 2848 ◽  
Author(s):  
Emrah Çevik ◽  
Erdal Atukeren ◽  
Turhan Korkmaz
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Granger Causality ◽  
Oil Prices ◽  
Causal Link ◽  
Oil Price ◽  
Time Varying ◽  
G7 Countries ◽  
Price Movements ◽  
Global Stock

This study examines the Granger-causal relationships between oil price movements and global stock returns by using time-varying Granger-causality tests in mean and in variance. We use the daily returns from Morgan Stanley Capital International (MSCI) G7 and the MSCI Emerging Stock Market Indexes to distinguish between the effects of daily oil price movements on G7 countries’ and emerging market countries’ stock markets. We further divide the emerging markets into two groups as oil-exporting and oil-importing countries. For the oil market, we use both the West Texas Intermediate (WTI) and Brent oil daily price movements. While the Granger-causality-in-mean tests indicate a causal link from WTI oil prices and G7 countries’ stock returns to MSCI emerging countries’ stock returns, the Granger-causality-in-variance tests suggest no causal link from global oil market prices to stock market returns. Nonetheless, a causal link from the G7 countries’ stock returns to the MSCI emerging countries’ stock returns is detected. In addition, G7 countries’ stock market volatility is found to Granger-cause Brent oil price volatility. The time-varying Granger-causality-in-mean and Granger-causality-in-variance tests present new and further insights. A causal relationship between oil price changes and G7 countries’ stock returns is found for some periods during and after the global financial crisis. Time-varying Granger-causality-in-variance test results indicate evidence of causal linkages among oil prices and global stock market returns that are specific only to certain time periods. We also find that there might be a difference between the movements in Brent and WTI oil prices with respect to their Granger-causal effects on oil-importing emerging markets’ stock returns—especially after the global financial crisis. Our results provide further evidence that the effects of oil price movements on stock returns might be different depending on the volatility in the stock markets.

Chinese Superstition and Stock Returns: Some New Evidence

2013 ◽  
Author(s):  
Richard Chung ◽  
Ali F. Darrat ◽  
Bin Li
Keyword(s):  
Stock Returns ◽  
New Evidence

scholarly journals Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Boubekeur Baba ◽  
Güven Sevil
Keyword(s):  
Stock Returns ◽  
Negative Feedback ◽  
Positive Feedback ◽  
Positive Response ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Foreign Investors ◽  
New Findings ◽  
Net Flows ◽  
Feedback Trading

AbstractThis study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new findings about foreign investors’ trading behaviors. First, we find evidence that positive feedback trading often appears during periods of high economic uncertainty, whereas negative feedback trading is exclusively observable during periods of low economic uncertainty. Second, the foreign investors’ feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global crises. Third, lagged negative (positive) response of net flows to economic uncertainty is found to be coupled with lagged positive (negative) feedback trading. Fourth, the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic uncertainty. Specifically, we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic uncertainty. In contrast, they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.

scholarly journals The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Begüm Yurteri Kösedağlı ◽  
Gül Huyugüzel Kışla ◽  
A. Nazif Çatık
Keyword(s):  
Stock Returns ◽  
Positive Impact ◽  
Structural Break ◽  
Oil Prices ◽  
Time Varying ◽  
Asset Pricing Model ◽  
Daily Data ◽  
Structural Break Test ◽  
The Impact ◽  
Oil Gas

AbstractThis study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries.

scholarly journals Time-varying inflation risk and stock returns

2020 ◽  
Vol 136 (2) ◽  
pp. 444-470 ◽  
Author(s):  
Martijn Boons ◽  
Fernando Duarte ◽  
Frans de Roon ◽  
Marta Szymanowska
Keyword(s):  
Stock Returns ◽  
Time Varying ◽  
Inflation Risk
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