scholarly journals Commonality in Liquidity Indices: The Emerging European Stock Markets

Systems ◽  
2019 ◽  
Vol 7 (2) ◽  
pp. 24 ◽  
Author(s):  
Barbara Będowska-Sójka ◽  
Krzysztof Echaust
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Low Frequency ◽  
Price Changes ◽  
Large Market ◽  
Volatility Index ◽  
European Stock Markets

The aim of the paper is to examine commonality in liquidity indices across emerging European stock markets. Five markets are included in the study: Hungarian, Czech, Polish, Russian and Turkish, in the period from 2008 to 2017. We propose liquidity indices that are based on low-frequency liquidity proxies and capture both the dynamics coming from volume and price changes. We find strong commonality of the liquidity indices across all examined markets which is robust to the choice of liquidity proxy. The dependence between indices enhances in times of crisis and large market declines, and weakens when markets become stable. We also examine the interdependency between liquidity and volatility estimates and find that liquidity on the European emerging markets is related to CBOE Volatility Index (VIX). Liquidity in the whole region decreases when VIX increases, and vice versa. The liquidity indices based on the extreme market movements show that there are no differences in commonality in time of extreme negative and positive returns.

scholarly journals Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic

2021 ◽  
Vol 14 (3) ◽  
pp. 112
Author(s):  
Kai Shi
Keyword(s):  
Stock Market ◽  
Frequency Band ◽  
Stock Markets ◽  
Emerging Market ◽  
Low Frequency ◽  
Systematic Risk ◽  
Error Variance ◽  
Frequency Bands ◽  
Volatility Spillovers ◽  
Risk Sources

We attempted to comprehensively decode the connectedness among the abbreviation of five emerging market countries (BRICS) stock markets between 1 August 2002 and 31 December 2019 not only in time domain but also in frequency domain. A continuously varying spillover index based on forecasting error variance decomposition within a generalized abbreviation of vector-autoregression (VAR) framework was computed. With the help of spectral representation, heterogeneous frequency responses to shocks were separated into frequency-specific spillovers in five different frequency bands to reveal differentiated linkages among BRICS markets. Rolling sample analyses were introduced to allow for multiple changes during the sample period. It is found that return spillovers dominated by the high frequency band (within 1 week) part declined with the drop of frequencies, while volatility spillovers dominated by the low frequency band (above 1 quarter) part grew with the decline in frequencies; the dynamics of spillovers were influenced by crucial systematic risk events, and some similarities implied in the spillover dynamics in different frequency bands were found. From the perspective of identifying systematic risk sources, China’s stock market and Russia’s stock market, respectively, played an influential role for return spillover and volatility spillover across BRICS markets.

Sign in / Sign up

Export Citation Format

Share Document