International spillovers of U.S. monetary uncertainty and equity market volatility to China’s stock markets

Lee, Chi‐Chuan

doi:10.1016/j.asieco.2022.101575

Cited by 30 publications

(2 citation statements)

References 52 publications

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“…In other words, with a stable financial system, investment can run smoothly, which will certainly have a direct effect on the capital market. Another study conducted by Lee & Lee (2023) found that major changes in monetary policy and stock prices influence equity market volatility. Investors in the United States are required to consistently watch Federal Reserve actions and price movements in the Chinese stock market to better understand future stock market volatility.…”

Section: Relationship Between Financial Stability and Capital Market ...mentioning

confidence: 99%

Empirical Insights Into the Influence of Financial Development on Capital Markets in Southeast Asia

Samosir,

Usman

2024

jrmsi

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The rise of capital markets around the world has paved the way for new research on the relationship between financial development and capital market performance. This becomes relevant as capital markets are now more accessible to foreign capital flows as a result of economic liberalization and globalization. Therefore, this study intends to provide empirical evidence of the impact of financial development proxied by three parts, namely financial access, financial efficiency and financial stability based on critical mass theory. Operationally, this study uses a sample of 6 countries in ASEAN with an annual observation period from 2007 to 2022. With the characteristics and structure of panel data, this study uses panel regression analysis with a total data of 672 observations (country-years). The analysis used also applies a fixed-effects model (FEM) at the country (Country-FE) and year (Year-FE) levels. The results show that there is a positive association between financial access and capital market performance, a negative association between financial efficiency and capital market performance, and a positive association between financial stability and capital market performance.

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Section: Relationship Between Financial Stability and Capital Market ...mentioning

confidence: 99%

Empirical Insights Into the Influence of Financial Development on Capital Markets in Southeast Asia

Samosir,

Usman

2024

jrmsi

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“…The current study seeks to shed new light on the time‐varying tail dependence between U.S. leveraged loan and debt markets. As the connectedness of financial markets has increased over time since the 1980s (Dahlquist & Hasseltoft, 2013; Gil‐Alana et al, 2018), linkages among financial assets have tended to grow tighter during volatile market conditions (Lee & Lee, 2023; Tiwari, Abakah, Adewuyi, & Lee, 2022; Tiwari, Abakah, Gabauer, & Dwumfour, 2022). Such turbulent periods are often accompanied by significant interest rate fluctuations due to rising risk premia and expected monetary policy changes aimed at curtailing frictions in financial markets.…”

Section: Introductionmentioning

confidence: 99%

Analyzing time‐varying tail dependence between leveraged loan and debt markets in the U.S. economy

Tiwari,

Trabelsi,

Abakah

et al. 2023

Int Rev Finance

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This study analyzes the time‐varying dependence between U.S. leveraged loan and debt markets within a highly linked financial system using a quantile‐based time‐varying connectedness framework to determine the hedging benefits of leveraged loans for financial investors at various quantiles. Based on daily closing price data from November 28, 2008 to October 3, 2023, the evidence demonstrates considerable (moderate) spillovers across the leveraged loan and debt markets for severe (normal) occurrences, with additional results indicating symmetric interaction. In terms of risk spillover, we also affirm the dominance of short‐term fixed‐income instruments over leveraged loans and long‐term bonds. These findings indicate that no hedging or diversification occurred among the investigated markets.

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Political uncertainty and innovation of export enterprises: international evidence for developing countries

Zhou,

Lee

2023

Econ Change Restruct

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International spillovers of U.S. monetary uncertainty and equity market volatility to China’s stock markets

Cited by 30 publications

References 52 publications

Empirical Insights Into the Influence of Financial Development on Capital Markets in Southeast Asia

Empirical Insights Into the Influence of Financial Development on Capital Markets in Southeast Asia

Analyzing time‐varying tail dependence between leveraged loan and debt markets in the U.S. economy

Political uncertainty and innovation of export enterprises: international evidence for developing countries

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