European financial market dependence: An industry analysis

Bartram, Söhnke M.; Wang, Yaw‐Huei

doi:10.1016/j.jbankfin.2015.06.002

Cited by 20 publications

(9 citation statements)

References 74 publications

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“…This is because, under the error-correction specification, the variables will not move too far apart when long-run equilibrium conditions apply (Engle and Granger 1987). As such, we argue that failure to use a correctly specified VAR may explain the weak evidence for return dependence reported by Baruník and Vácha (2013), for CEE stock markets and for stock markets in non-Euro countries (Bartram and Wang 2015), on the assumption that a VECM is the preferred model specification. Furthermore, Bollerslev and Engle (1993) put forward the idea of co-persistence in conditional variances, where combinations of variables can contain a long-run component in co-persistence that can have a generalized interpretation similar to Engle-Granger cointegration (Engle and Granger 1987).…”

Section: Introductionmentioning

confidence: 81%

“…While he considers this approach to be robust, his chosen lag length is unlikely to be suitable in all settings. While Bartram and Wang (2015) find support for lower tail dependence, using industry returns, their finding holds mostly for industries in Euro-area countries. Even if there may be weaknesses in their use of the Gaussian copula, it appears that support for asymmetric dependence is more pronounced when markets are integrated.…”

Section: T-v Sjc Copula and Sub-period Performancementioning

confidence: 86%

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Volatility and asymmetric dependence in Central and East European stock markets

Joseph

Mobarek

et al. 2020

Rev Quant Finan Acc

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We study the effects of contagion around the global financial crisis (GFC) and the Eurozone crisis periods using German and UK returns, each paired with returns from Central and East European (CEE) stock markets that recently joined the European Union (EU). Using bivariate vector error-correction models (VECMs) estimated in GARCH(1,1), we find strong support for long-run equilibrium conditions. This finding suggests that tests of tail dependence using differenced VARs may be mis-specified when long-run equilibrium conditions apply. Past news has more persistence on current volatility in CEE markets than in the developed markets. Past volatility has more persistence in the developed markets compared to the CEE markets. The T-V symmetrized Joe-Clayton (T-V SJC) copula outperforms all other copulas in goodness-of-fit, including, the T-V Gaussian and Student t copulas. This result is supported by a differenced VAR-GARCH (1,1). For CEE and developed market returns, no more than half of our market pairs exhibit significant increases in lower tail dependence, under the T-V SJC copula. Given the number of paired comparisons, the evidence on joint extreme dependence is weak. As such, CEE stock markets experienced little contagion effects during the GFC and Eurozone crisis periods, contrary to prior results. We find that the legal environment negatively impacts financial development, perhaps causing CEE and the EU markets to be isolated.

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Section: Introductionmentioning

confidence: 81%

Section: T-v Sjc Copula and Sub-period Performancementioning

confidence: 86%

Volatility and asymmetric dependence in Central and East European stock markets

Joseph

Mobarek

et al. 2020

Rev Quant Finan Acc

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“…Dellas and Hess (2002) and Bartram and Wang (2015) focused on financial development's influence on price in stock market. They took many, both domestic and foreign, factors into consideration to test whether the sensitivity of domestic stock returns will change systematically along with the changing level of local financial development.…”

Section: International Literaturementioning

confidence: 99%

An Analysis of the Bank Credit Marketization’s Effects on the Economic Fluctuation in China

Zhang¹,

Hu²,

Yin³

2015

IJEF

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In recent years, more and more scholars began to emphasize the study of factors affecting macroeconomic fluctuations. As the bank credit market is a major part of the financial market in China, how bank credit marketization influences economic fluctuation has undoubtedly caused much attention. This paper mainly studies the role of bank credit marketization in the conductive process of macroeconomic fluctuations caused by real shocks and monetary shocks. According to the theoretical model created by Bacchetta (2000) and Beck (2006), this paper theoretically analyses the mechanism of bank credit marketization's effects. The results show that bank credit marketization amplifies real shocks but offsets monetary shocks in the conductive process of macroeconomic fluctuations. The government scale and the development of the stock market also have a significant influence on economic fluctuations. Based on the theoretical and empirical analysis, some policy recommendations are proposed.

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“…Several studies in the past invoked copula constructions to investigate either market dependencies, contagion or spillover effects as well, cf. [28][29][30][31].…”

Section: Introductionmentioning

confidence: 99%

Regime Switching Vine Copula Models for Global Equity and Volatility Indices

et al. 2017

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For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher moments between different indices tend to vary in time. However, to the best of our knowledge, no one has yet considered a global setup including both equity and implied volatility indices of various continents, and allowing for a changing dependence structure. We aim to close this gap by applying Markov-switching R-vine models to investigate the existence of different, global dependence regimes. In particular, we identify times of "normal" and "abnormal" states within a data set consisting of North-American, European and Asian indices. Our results confirm the existence of joint points in a time at which global regime switching between two different R-vine structures takes place.

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European financial market dependence: An industry analysis

Cited by 20 publications

References 74 publications

Volatility and asymmetric dependence in Central and East European stock markets

Volatility and asymmetric dependence in Central and East European stock markets

An Analysis of the Bank Credit Marketization’s Effects on the Economic Fluctuation in China

Regime Switching Vine Copula Models for Global Equity and Volatility Indices

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