scholarly journals Returns and volatility spillover between Asian equity markets: A wavelet approach

2017 ◽  
Vol 62 (212) ◽  
pp. 63-83 ◽  
Author(s):  
Anoop Kumar ◽  
B. Kamaiah
Keyword(s):  
Stock Price ◽  
Cross Correlation ◽  
Stock Exchange ◽  
Equity Markets ◽  
Volatility Spillover ◽  
Diversification Strategy ◽  
Long Run ◽  
Strait Time ◽  
Equity Index

We analyse return and volatility spillover across select Asian equity markets using wavelet multiple correlation and cross-correlation. For the purpose of analysis, daily return data is taken from equity markets, viz. Bombay Stock Exchange SENSEX, Tokyo Stock Exchange NIKKEI 225, Hong Kong Shanghai Index (HSI), Amman Equity Index, Korea Composite Stock Price Index (KOSPI), and Singapore Strait Time Index (STI), from 03/01/2000 to 31/12/2013. The results show that the Asian markets are co-integrated in the long run. Further, it is found that a significant part of each market?s volatility pattern at intraweek scale can be largely explained by own shocks, but in the long run the volatility dynamics of the market changes as the extent of the spillover increases. From the wavelet multiple cross-correlation values, two developed markets, the STI and the HSI, are identified as potential leaders or followers among the group. From the analysis it is found that the volatility spillover across the studied markets is relatively low at the high frequency, implying that there is possibility of diversification at a daily to intraweek scale. The discrepancies between the markets vanish in the long run; hence a long-term diversification strategy is best avoided.

scholarly journals Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach

2012 ◽  
Vol 4 (1) ◽  
pp. 47-54
Author(s):  
Muhammad Junaid Iqbal ◽  
Afsheen Abrar . ◽  
Nagina Jamil . ◽  
Abid Ali Shah . ◽  
AhsanulHaqSatti .
Keyword(s):  
Hong Kong ◽  
Stock Exchange ◽  
Equity Markets ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Investment Portfolio ◽  
Conditional Mean ◽  
Time Index ◽  
Strait Time ◽  
Volatility Linkages

The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.

scholarly journals Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1411
Author(s):  
Xiaqing Su ◽  
Zhe Liu
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Asset Allocation ◽  
Policy Uncertainty ◽  
Volatility Spillover ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Transmission Structure ◽  
Long Term Impact

Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.

scholarly journals ANALISIS HARGA SAHAM INDEX KOMPAS 100 DENGAN PENDEKATAN ERROR CORRECTION MODEL

2021 ◽  
Vol 4 (1) ◽  
pp. 406-414
Author(s):  
Amir Hamzah
Keyword(s):  
Error Correction ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Financial Statements ◽  
Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Positive Effect

The purpose of this research is to analyze the short term and long term relationship between ROI, EPS, PER ,inflation, SBI, exchange rate,and GDP on Stock Price. The data in this research is company financial statements which included Compas 100 Index on the Indonesia Stock Exchange. statistical analysis in this research used stasionarity test, The Classical Assumptions Test, Cointegration Test, Error Correction Model Test. This research found that partially ROI, EPS, PER variables a positive effect on stock prices in the short term and long term, KURS and SBI a positive effect on stock prices in the short term, but there is no effect in the long term, inflation and GDP do not affect the stock price both in the short term and long term. Simultaneously affected the stock prices significantly affect on stock price both in the short term and long term.

Terrorism and Stock Market Linkages: An Empirical Study from a Front-line State

2017 ◽  
Vol 18 (2) ◽  
pp. 365-378 ◽  
Author(s):  
Imtiaz Arif ◽  
Tahir Suleman
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Negative Impact ◽  
Stock Exchange ◽  
Series Data ◽  
Front Line ◽  
Long Run ◽  
Factor Index ◽  
The Impact

This article investigates the impact of prolonged terrorist activities on stock prices of different sectors listed in the Karachi Stock Exchange (KSE) by using the newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002 (January) to 2011 (December). Johansen and Juselius (JJ) cointegration revealed a long-run relationship between terrorism and stock price. Normalized cointegration vectors are used to test the effect of terrorism on stock price. Results demonstrate a significantly mixed positive and negative impact of prolonged terrorism on stock prices of different sectors and show that the market has not become insensitive to the prolonged terrorist attacks.

The impact of Iran Central Bank’s sanction on Tehran Stock Exchange

2017 ◽  
Vol 59 (3) ◽  
pp. 365-375 ◽  
Author(s):  
Mahdi Salehi ◽  
Mostafa Karimzadeh ◽  
Navid Paydarmanesh
Keyword(s):  
Central Bank ◽  
Stock Price ◽  
Negative Impact ◽  
Stock Exchange ◽  
Oil Prices ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
The Impact ◽  
Positive Effect

Purpose US sanctions have been a major feature of US Iran policy since Iran’s 1979 Islamic revolution, but the imposition of UN and worldwide bilateral sanctions on Iran that began in 2006 and increased dramatically as of 2010 is recent by comparison. The objectives of US sanctions have evolved over time. Broad international sanctions imposed on Iran harmed Iran’s economy and contributed to Iran’s acceptance of agreements that exchange constraints on its nuclear program for sanctions relief. The subject of this study is important because both Iran and the international communities are demanding for information about the effect of sanctions on Iran. In an international and regional perspective, it seems that sanctions have a negative impact on economic, social and even political status of Iran. Therefore, this paper aims to examine the impact of Iran Central Bank sanction on Tehran Stock Exchange as on December 31, 2011. Design/methodology/approach Variables of model are consisted by exchange rate, oil prices and Tehran Stock Exchange Price Index (TEPIX) from October 2, 2011 to March 29, 2012, which is offered daily. To analyze the model, the authors used Johansen–Juselius and Autoregressive Distributed Lag (ARDL) methods. Findings The results indicate that there is a long-run equilibrium relationship between selected variables as oil prices, and exchange rates have a positive effect on the TEPIX. In other words, the results of the econometric estimation show the positive effect of the Iran Central Bank sanction on the TEPIX. Thus, because of economic sanctions imposed by the Western countries, Tehran Stock Exchange has been growing. Originality/value No empirical research exists that examines the impact of sanctions on stock price in developing countries. This study fills this gap by examining the links between sanctions and stock price in Iran.

scholarly journals The Aftermarket Performance of Initial Public Offerings in Pakistan

2016 ◽  
Vol 21 (1) ◽  
pp. 23-68
Author(s):  
Muhammad Zubair Mumtaz ◽  
Zachary A. Smith ◽  
Ather Maqsood Ahmed
Keyword(s):  
Initial Public Offerings ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Activity Period ◽  
Risk Level ◽  
Public Offerings ◽  
Explanatory Variables ◽  
Market Sentiment ◽  
Long Run

This paper estimates the aftermarket performance of initial public offerings (IPOs) listed on the Karachi Stock Exchange. The evidence confirms that IPOs generate statistically significant abnormal returns in the short run, which indicates that underwriters initially underprice IPOs when analyzed using a short time horizon. However, when using longer time horizons to estimate abnormal performance, the results indicate that IPOs underperform in the long-run. There is an apparent dislocation between the initial valuation set by underwriters and the premium paid by the market for these new issues. The market sentiment that causes this temporary disequilibrium eventually fades and the market reprices the newly issued shares. We conduct an extreme bounds analysis to test the sensitivity and robustness of 16 explanatory variables in determining the long-term performance of unseasoned newly issued shares. The results indicate that the long-term investment ratio, industry affiliation, market-adjusted abnormal returns, financial leverage, return on assets, IPO activity period, the aftermarket risk level of unseasoned issues, and the post-issue promoter’s holdings variables significantly affect IPOs’ aftermarket performance. Theoretically, the overreaction hypothesis, ex-ante uncertainty hypothesis and window-of-opportunity hypothesis best explain IPOs’ aftermarket performance in this study.

scholarly journals Stock market development and investment growth in Nigeria

2020 ◽  
Vol 42 ◽  
pp. 99-117
Author(s):  
Idowu Daniel Onisanwa ◽  
◽  
Mercy Ojochegbe Adaji ◽  
◽  
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Investment Climate ◽  
Stock Market Development ◽  
Turnover Ratio ◽  
Long Run ◽  
Short Run ◽  
Market Capitalisation ◽  
Investment Growth

Aim/purpose – The poor investment climate is one of the reasons advanced for the slow pace of growth in Nigeria; evidenced by the absence or inadequate amount of investible funds in the productive sectors. While the money market in Nigeria provides very limited investment options, the underdevelopment and underutilisation of the Nigerian Stock Market constitute a drawback to the investment climate. However, any economy desiring sustainable development requires a long-term source of fund. Therefore, this study ascertains the perfor-mance of the stock market and investment growth nexus in Nigeria.Design/methodology/approach – The study is based on the neoclassical growth theory with a slight modification in the wake of Levine’s specification (2003), an augmented investment growth relationship was specified. This study utilises the Autoregressive Distributed Lag (ARDL) in establishing the co-integration relation between stock market development and investment growth. Gross capital formation was used as a proxy for investment growth while the stock market indicators are market capitalisation ratio, total value traded ratio and turnover ratio. The study utilises data covering 1981 to 2018, sourced from the Nigerian Stock Exchange annual reports and diverse publication of the Nigerian Bureau of Statistics.Findings – The market capitalisation ratio had a negative impact on gross capital for-mation both in the short run and the long run, but its significance is only evident in the short run. The turnover ratio had a negative and significant impact on investment growth. The total value traded ratio exerted a positive and significant impact on gross capital formation both in the short run and the long run. The coefficient of the error cor-rection term was negative and statistically significant. Research implications/limitations – The total value traded ratio enhanced investment growth in Nigeria. Both market capitalisation and turnover ratio dampen investment growth. The Stock Exchange is not efficient and does not possess the amount of liquidity required to finance long term investment need in Nigeria. Emphasis on measures geared towards increasing efficiency and liquidity should be intensified by the government. Mean-while, the sectorial analysis of the impact of stock exchange movements in Nigeria and the use of other estimation techniques may create room for more robust relationships.Originality/value/contribution – The study directly investigates the capability of the Nigerian stock market in driving investment, both in the short and long run.

scholarly journals IPO Intra Industry Effects on Peer Firm's Earnings, Composition and Stock Returns

2021 ◽  
Vol VI (II) ◽  
pp. 41-48
Author(s):  
Muhammad Irfan Khadim ◽  
Samreen Fahim Babar
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Time Lag ◽  
Abnormal Returns ◽  
Significance Test ◽  
Industry Effects ◽  
Cumulative Abnormal Returns ◽  
Long Run ◽  
Short Run

The present study is conducted to see how an IPO event affects the existing firm's performance within the same industry. For this purpose, 88 IPO firms were examined from Pakistan Stock Exchange (PSX) from 1998-2016. IPO is examined from three major perspectives IPO proceeds, initial returns and time Lag between IPO listing date and IPO subscription. The study uses Buy and Hold Abnormal Returns (BHAR) and Cumulative Abnormal Returns (CAR) to calculate competitor's abnormal returns. To calculate the operating performance of competitors, the Wilcoxon significance test was applied. IPO intra-industry effects are significant in the long run, whereas insignificant results are shown in the short run. In addition, IPO proceeds and abnormal returns are significant but negatively related to competitors' stock returns (long term). Moreover, Herfindahl Hirschman Index (HHI) finds IPO improves competitiveness in the industry environment. This present study is an important one from an emerging economy perspective.

Investigating Long-Term Behavior of Milan Stock Exchange (Italy)

2019 ◽  
pp. 304-312
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Negative Influence ◽  
Stock Market Index ◽  
Emerging Stock Markets ◽  
The Global Financial Crisis ◽  
Long Term Behavior

The main purpose of this chapter is to highlight the long-term behavior of Milan Stock Exchange (Italy) based on the FTSE MIB major stock market index. The empirical analysis covers a long period of time from January 1999 to December 2013 and describes the daily stock price movements in order to identify both financial expansion and contraction cycles. However, Milan Stock Exchange is a developed stock market that exhibits a more stable behavior than emerging stock markets, even stylized facts are much lower in this case. The econometric analysis provides an exhaustive perspective, because selected stock market behavior has changed completely due to the negative influence of the global financial crisis.

Volatility in frontier markets: a Multivariate GARCH analysis

2019 ◽  
Vol 16 (3) ◽  
pp. 294-312
Author(s):  
Neha Seth ◽  
Monica Singhania
Keyword(s):  
Financial Distress ◽  
Spillover Effect ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Causality Test ◽  
Content Type ◽  
Hedging Strategies ◽  
Long Run ◽  
Short Run

Purpose The purpose of this paper is to analyze the existence of volatility spillover effect in frontier markets. This study also examines whether any linkages exist among these markets or not. Design/methodology/approach Monthly data of regional frontier markets, from 2009 to 2016, are analyzed using Multivariate GARCH (BEKK and Dynamic Conditional Correlation (DCC)) models. Findings The result of cointegration test shows that the sample frontier markets are not linked in long run, and Granger causality test reveals that the markets under consideration do not cause each other even in the short run. BEKK test says that the effect of the arrival of shock from the own market does not last for longer, whereas shock from other markets lasts with the stronger persistence, and according to DCC test, the volatility spillover exists for all the markets. Practical implications The results of present study suggest that the frontier markets are not cointegrated in the long run as well as in the short run, which opens the doors for long-term investments in these markets in future, which may lead to decent returns. Long-term investors may draw the benefits from including the financial assets in their portfolios from these non-integrated frontier markets; nevertheless, they have to consider and implement diversification and hedging strategies during the period of financial turmoil, so as to protect themselves against economic and financial distress. Originality/value Significant work has been done on developed, developing and emerging markets but frontier markets are not explored much so far. This paper is an attempt to see the status of frontier stock markets as potential financial markets for diversification benefits.

Sign in / Sign up

Export Citation Format

Share Document