Capital and Credit Market Integration and Real Economic Contagion During the Global Financial Crisis

Pyun, Ju Hyun; An, Jiyoun

doi:10.2139/ssrn.2408942

Cited by 6 publications

(8 citation statements)

References 17 publications

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“…One of the most worrying side effects of increasing economic and financial globalization is financial contagion and unfavourable intermarket comovement. Following 2007/2008 global financial turmoil, academic, political, and investor interest in international stock‐market comovements appears to have increased markedly (see Kizys & Pierdzioch, ; Madaleno & Pinho, ; Lahrech & Sylwester, , Pyun & An, ; Beetsma, Jong, Giuliodori, & Widijanto, ). It is worth noting, however, that although integration in banking and financial markets provide increased diversification options for investors, that same advantage of access to markets may also be a poison chalice for investors who are less informed about correlations among markets.…”

Section: Introductionmentioning

confidence: 99%

Latin American stock market dynamics and comovement

2018

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With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates comovement among returns from six Latin American stock markets (Mexico [BMV], Brazil [BOVESPA], Chile [IPSA], Peru [IGBVL], Argentina [MERVAL], and Venezuela [IBVC]) and also with the U.S. S&P 500 Composite index. In part, we employ principal component analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8‐, 6‐, 4‐, 3‐, 2‐, and 1‐year periods. We also investigate the incidence of structural breaks and comovement, aiming to uncover the dynamics in comovements among these markets. We find evidence of high comovement among the Latin American markets, and also with the U.S. markets. Venezuela and Mexico's equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the United States having a leading role in the region.

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Section: Introductionmentioning

confidence: 99%

Latin American stock market dynamics and comovement

2018

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“…Therefore, the follow-up measurement research has gradually shifted from the traditional static methods to the dynamic methods. For dynamic methods, existing studies mainly focus on Markov regime switching model [30][31][32], GARCH model [33,34], concordance index [35], difference method [36,37] and instantaneous quasi-correlation method [38,39]. In addition, some scholars used the Method of Hodrick-Prescott (HP) filter to de-trend the original output data series and further calculate the business cycle synchronization [40,41].…”

Section: Related Literaturementioning

confidence: 99%

Topological characteristics of international business cycle synchronization: A network analysis of the BRI economies

Zhiping

Mai

2022

PLoS ONE

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Based on the GDP constant 2010 US$ from the World Bank, this paper uses the instantaneous quasi-correlation coefficient to measure the business cycle synchronization linkages among 53 Belt and Road Initiative (BRI) economies from 2000 to 2019, and empirically studies the topological characteristics of the Business Cycle Synchronization Network (BCSN) with the help of complex network analysis method. The main conclusions are as follows: First, the BCSN density and efficiency of BRI economies are still low, and it presents a topological feature of “small world”. Second, the individual characteristics of the economies in the network are obviously different. Among them, China’s relative influence is significantly increased, but its betweenness centrality level is still low. Third, since the inception of BRI, the topological characteristics of BCSN of BRI economies have undergone great changes, and their topological evolution has gradually reflected the characteristic of self-stability.

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“…On the other hand, an increase in intra-industry trade may lead to higher business cycle synchronization. Many empirical studies find that an increase in trade between two economies leads to higher business cycle synchronization between them (e.g., Frankel and Rose 1998;Baxter and Kouparitsas 2005;Imbs 2004;Inklaar, Jong-A-Pin, and de Haan 2008;Pyun and An 2016). However, Kalemli-Ozcan, Papaioannou, and Perri (2013) and Abiad et al (2013) find that trade integration has insignificant effects on business cycle comovement when considering economy-pair unobserved heterogeneity in the panel setting.…”

Section: Trade Integrationmentioning

confidence: 99%

International Business Cycle Synchronization: A Synthetic Assessment

Lee¹,

Park²,

Pyun³

2022

Self Cite

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This paper presents findings from a study that synthetically assessed the three major transmission channels of international business cycles: trade, foreign direct investment (FDI), and portfolio flows between economies with multiple fixed effects. Results showed that real and financial integration generates heterogeneous impacts on business cycle comovement. Trade integration and greenfield FDI lead business cycle comovements, likely due to deepening intra-industry trade and dense global value chains. Higher debt market integration is associated with more synchronized business cycle comovement, while equity integration leads to business cycle divergence.

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Capital and Credit Market Integration and Real Economic Contagion During the Global Financial Crisis

Cited by 6 publications

References 17 publications

Latin American stock market dynamics and comovement

Latin American stock market dynamics and comovement

Topological characteristics of international business cycle synchronization: A network analysis of the BRI economies

International Business Cycle Synchronization: A Synthetic Assessment

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