Evolution in dynamic linkages across daily national stock indexes

Koch, Paul D.; Koch, Timothy W.

doi:10.1016/0261-5606(91)90037-k

Cited by 249 publications

(139 citation statements)

References 13 publications

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“…For instance, Von Furstenberg and Jeon (1989) estimate a VAR model consisting of daily stock returns for four major markets (Japan, Germany, U.K., and U.S.) and detect an increase in correlations since the crash of 1987. Koch and Koch (1991) reach a similar conclusion based on the daily returns across eight different national equity markets. On the other hand, King, Sentana, and Wadhwani (1994) claim that their finding of increasing dependence only reflected a transitory increase caused by the 1987 crash.…”

Section: Introductionsupporting

confidence: 68%

Asymmetric increasing trends in dependence in international equity markets

Okimoto

2014

Journal of Banking & Finance

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This paper investigates asymmetric increasing trends in dependence in major international equity markets. To this end, we develop a multiple-regime smooth-transition copula GARCH model and address several important questions, including the number of regimes and the existence of increasing asymmetric trends in dependence. Our results suggest that two or three regimes are sufficient for describing the dependence trends in international equity markets over the last 35 years with significant asymmetric increases. In addition, the implied time-series of three dependence measures show a wide variety of dynamics, demonstrating the usefulness of our framework to describe asymmetric increasing dependence trends. Finally, we evaluate the economic significance of our empirical finding based on the 99% value at risk and expected shortfall. Our result indicates that both risk measures have increased approximately 20% over the last 35 years in major equity markets.

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Section: Introductionsupporting

confidence: 68%

Asymmetric increasing trends in dependence in international equity markets

Okimoto

2014

Journal of Banking & Finance

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“…Stock market comovement has been extensively investigated in recent years with the vast majority of research in this area focussing on linkages between major US and European stock markets or major US and Japanese stock markets (see for example, Koch and Koch 1991, Dickinson 2000, Longin and Solnik 2001, Bessler and Yang 2003. There have been fewer investigations into stock market linkages among emerging economies with most focussing on Asia and Latin America (see for example, Koutmos and Booth 1995, Chen, Firth, and Rui 2002, Manning, 2002, Ng, 2002and Fujii 2005.…”

Section: Introductionmentioning

confidence: 99%

Spillover effects from London and Frankfurt to Central and Eastern European stock markets

Harrison

Moore

2009

Applied Financial Economics

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This article investigates comovement in stock markets between the emerging economies of Central and Eastern Europe (CEE) and the developed markets of Western Europe. Three approaches are employed to examine this issue. The first two approaches, time-varying realized correlation ratios and cointegration statistics, use a two-step technique to derive time-varying estimates of the comovement between returns on CEE and EU stock exchanges. The first step uses common factor analysis to define the factors driving CEE stock exchanges, while the second step evaluates the relationship between the leading principal factor for CEE countries and the Deutsche Aktien Xchange (DAX) and Financial Times Stock Exchange (FTSE) using time-varying realized correlation and rolling cointegration statistics. The third approach employs Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) techniques to obtain estimates of mean and variance spillover effects.

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“…Reference [2] finds that international correlations are not stable over time, a finding that is also confirmed by [3,4] on monthly returns of industrial countries. In [5][6][7] the authors find that correlations are higher in times of high volatility and [8] finds higher correlations in more recent years. Reference [9] studies the correlations of monthly excess returns for 7 major countries over a thirty-year period and finds increased correlations between markets over time.…”

Section: Literature Reviewmentioning

confidence: 97%

Was There a Contagion during the Asian Crises?

Kazemi¹,

Oğuş²

2013

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The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the "contagion effect" of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.

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Evolution in dynamic linkages across daily national stock indexes

Cited by 249 publications

References 13 publications

Asymmetric increasing trends in dependence in international equity markets

Asymmetric increasing trends in dependence in international equity markets

Spillover effects from London and Frankfurt to Central and Eastern European stock markets

Was There a Contagion during the Asian Crises?

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