scholarly journals Stock Market Linkages between the ASEAN Countries, China and the Us: A Fractional Cointegration Approach

2019 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Luis A. Gil-Alana ◽  
Kefei You
Keyword(s):  
Stock Market ◽  
Fractional Cointegration ◽  
Market Linkages ◽  
The Us ◽  
Asean Countries

scholarly journals Stock Market Linkages: Evidence From The US, China And India During The Subprime Crisis

2015 ◽  
Vol 8 (1) ◽  
pp. 137-162 ◽  
Author(s):  
Amanjot Singh ◽  
Parneet Kaur
Keyword(s):  
Stock Market ◽  
Subprime Crisis ◽  
Volatility Spillover ◽  
Indian Market ◽  
Chinese Market ◽  
Stock Market Returns ◽  
Market Linkages ◽  
Time Period ◽  
The Us ◽  
Risk Parameters

AbstractThe Subprime crisis spillovered the returns and volatility from the US stock market to the other integrated economies. The present study attempts to analyze the stock market linkages between the US, India and China, especially during the US subprime Crisis. The technique of Tri-Variate Vector Autoregression and the Spillover Index has been employed so as to analyze the relations during the time period 2007 to 2009. To estimate the time varying risk parameters, the technique of Threshold Generalized Autoregressive Conditional Heteroskedastic [TGARCH (1,1)] model has been used. A uni-directional causality has been observed from the US market to the Indian and Chinese market, whereas another unidirectional causality has also been spotted running from the Chinese market to the Indian market in the context of stock market returns during the crisis period. A unidirectional volatility spillover from the US to the Indian market and from the Indian to the Chinese market has been found to be significant. As per the volatility Spillover Index, the cross market impact on the volatility reduces over a time period 2007-2009, due to the increased impact of the past volatility and the presence of 'leverage effect'. The falling returns added to the volatility in the respective markets. The efficient tests of causality inspired by Hill (2007) reported an indirect impact of the US market volatility on the Chinese market via Indian. The portfolio managers should discount this information well ahead of time to maintain the portfolio values by taking positions in futures and options market.

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

Absence of the weekend effect and industry-style portfolios

2019 ◽  
Vol 12 (4) ◽  
pp. 463-475
Author(s):  
Selma Izadi ◽  
Abdullah Noman
Keyword(s):  
New York ◽  
Stock Market ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Structural Break ◽  
Weekend Effect ◽  
Content Type ◽  
Market Portfolio ◽  
The Us ◽  
Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

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