International stock market linkages: Evidence from Latin America

Diamandis, Panayiotis F.

doi:10.1016/j.gfj.2009.03.005

Cited by 85 publications

(63 citation statements)

References 66 publications

(80 reference statements)

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“…In literature it is remarked that Johansen tests power does not increase when the higher frequency data are used but with the time span of the data (see Hakkio, Rush, 1991;Diamandis 2009). Hence we can suppose that indication of the Johansen test is more trustworthy for weekly or monthly data than for daily ones.…”

Section: Resultsmentioning

confidence: 99%

“…Furthermore, the empirical findings on this topic appear rather ambiguous and contradictory. For emerging markets we should mention research provided for: − ASEAN (Janakiraman, Lamba, 1998;Gosh et al, 1999;Masih, Masih, 2001;Siklos, Ng, 2001), − Middle and South Americas (Phylaktis, Ravazollo, 2005;Diamandis, 2009) and − Central and Eastern Europe (Voronkova, 2004;Gilmore et al, 2008;Syllignakis, Kouretas, 2010). Taking into account length of the investigated samples we notice that 10-year or longer periods are very often considered, for instance (Caporale, Spagnolo, 2010;Gilmore et al, 2008;Sharkasi et al, 2004).…”

Section: Introductionmentioning

confidence: 99%

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Analysis of Linkages between Central and Eastern European Capital Markets

Witkowska

Kompa²,

Matuszewska‐Janica³

2012

DEM

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A b s t r a c t. The aim of the research is analysis of short-and long-term international relations between stock exchanges in Central and Eastern Europe. The analysis is provided in 3 stages. In the first step the order of the variables integration is examined. In the second stage short-run relationships for pairs of indexes are analyzed using Granger causality test. In the last step longrun relationships for pairs of indexes are examined applying Johansen cointegration method.K e y w o r d s: Emerging Markets, Equity CEE Markets, cointegration, Granger Causality, longrun relationships, short-run relationships. J E L Classification: G15.

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Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Analysis of Linkages between Central and Eastern European Capital Markets

Witkowska

Kompa²,

Matuszewska‐Janica³

2012

DEM

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“…If the markets are cointegrated, then there are arbitrage opportunities, the markets are not efficient, and the law of one price is breached (Arshanapalli & Doukas, 1993). On the other hand, there are studies emphasizing the violation of weak form of efficiency with evidence of market integration, as the lagged price of one market can predict the current price of another (Diamandis, 2009;Laopodis, 2004;MacDonald & Power, 1994). More- over, with fully integrated markets, the benefits of diversification extinguish (Balli, Pericoli, & Pierucci, 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

“…In 2001, we had a sudden spike in the volatility responding to the global 9/11 shock; in 2006, it responds to currency crises and capital outflow from emerging markets, moreover, the war and political crises in Lebanon. Further, in 2008 and2009, the US sub-Prime Crises that went global and the European Sovereign Debt Crises are also under consideration. The Uniqueness of this Spillover measure is that it also shows the impact of Arab Spring in 2011 and 2012, the state of War, and the political hype which poses a crisis-like situation, but after 2012, we can see a steady decrease in Volatility Spillover Index.…”

Section: Dynamic Analysismentioning

confidence: 99%

Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

2017

J. Islam. bus. manag.

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KeywordsReturn Spillover Index Volatility Spillover Index Religion CultureReceived: 15 January 2017 Accepted: 06 June 2017Abstract. As integration is related to systemic risk and rewards in the stock markets, it is coupled with both weak and semi-strong forms of efficiency. Little evidence is found on return and volatility spillover within the Muslim country markets. This study investigates if the Muslim majority countries are interconnected with each other through returns and volatility spillovers among the stock markets for the span of about twenty years from July 1996 to February 2016. Vector Autoregressive (VAR) method as applied by Diebold and Yilmaz (2009) has been used to find the static and dynamic spillover indices of nine countries with religious similarity in 80% of the population and their three developed counterparts. We found overall significant spillovers; returns connectedness was 36.5% and volatility connectedness 22.4%. The study did not find any outright integration or evidence of spillover from developed markets to the Muslim majority group. However, US and Japan caused returns and volatility shocks respectively. In dynamic analysis, both returns and volatility spillover showed a gentle and stable increase in integration. Moreover, volatility spillover responded not only to the major global financial crises but also to the Arab Spring. These findings have major implications for diversified investment in the global financial market.

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“…A voluminous body of literature has focused on the integration of equity markets (Bartram and Wang [2], Hardouvelis et al [3], and Diamandis [4]); however, there is relatively scant literature which investigates integration between the bond markets. Synchronization of bond markets may be induced by diverse types of reasons like similarity in monetary policy reactions functions, increased monetary policy coordination, and globalization induced closer alignment of economic fundamentals (Hunter and Simson [5]).…”

Section: Introductionmentioning

confidence: 99%

Are Eurozone Fixed Income Markets Integrated? An Analysis Based on Wavelet Multiple Correlation and Cross Correlation

Dar

Shah

2014

Economics Research International

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This paper investigates the synchronization of fixed income markets within Eurozone countries using the new wavelet based methodology. Conventional wavelet methods that use multivariate set of variables to calculate pairwise correlation and cross correlation lead to spurious correlation due to possible relationships with other variables, amplification of type-1 errors, and results, in the form of large set of erroneous graphs. Given these disadvantages of conventional wavelet based pairwise correlation and crosscorrelation method, we avoid these limitations by using wavelet multiple correlation and multiple cross correlations to analyze the relationships in Eurozone fixed income markets. Our results based on this methodology indicate that Eurozone fixed income markets are highly integrated and this integration grows with timescales, and hence there is almost no scope for independent monetary policy and bond diversification in these countries.

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International stock market linkages: Evidence from Latin America

Cited by 85 publications

References 66 publications

Analysis of Linkages between Central and Eastern European Capital Markets

Analysis of Linkages between Central and Eastern European Capital Markets

Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

Are Eurozone Fixed Income Markets Integrated? An Analysis Based on Wavelet Multiple Correlation and Cross Correlation

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