Market integration and financial linkages among stock markets in Pacific Basin countries

Chevallier, Julien; Nguyen, Duc Khuong; Siverskog, Jonathan; Uddin, Gazi Salah

doi:10.1016/j.jempfin.2017.12.006

Cited by 71 publications

(31 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Many authors investigate financial market sectoral connectedness [ 21 , 30 , 31 , 32 , 33 ]. For example, Chatziantoniou et al [ 32 ] find that financials, industry or basic materials are net risk transmitters, while IT, consumer goods, healthcare or telecommunications receive most of the risk.…”

Section: Literature Reviewmentioning

confidence: 99%

A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

Lupu

Călin

Zeldea

et al. 2020

Entropy

View full text Add to dashboard Cite

We investigate the dynamics of systemic risk of European companies using an approach that merges paradigmatic risk measures such as Marginal Expected Shortfall, CoVaR, and Delta CoVaR, with a Bayesian entropy estimation method. Our purpose is to bring to light potential spillover effects of the entropy indicator for the systemic risk measures computed on the 24 sectors that compose the STOXX 600 index. Our results show that several sectors have a high proclivity for generating spillovers. In general, the largest influences are delivered by Capital Goods, Banks, Diversified Financials, Insurance, and Real Estate. We also bring detailed evidence on the sectors that are the most pregnable to spillovers and on those that represent the main contributors of spillovers.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

Lupu

Călin

Zeldea

et al. 2020

Entropy

View full text Add to dashboard Cite

show abstract

“…Chevallier, J., Nguyen, D. K., Siverskog, J., & Uddin, G. S. [39] Fourteen countries from Pacific Basin.…”

Section: Cointegration Agdcc-garch Andmentioning

confidence: 99%

Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach

Joyo

Lefen

2019

Sustainability

View full text Add to dashboard Cite

A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant of stock market interdependence. The objective of this study is to analyze the co-movements and the portfolio diversification between the stock markets of Pakistan and its top trading partners, namely China, Indonesia, Malaysia, the United Kingdom, and the United States. We employed Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methodology with student t-distribution to examine time-varying correlation and volatilities of stock markets of Pakistan and its trading partners. We used Morgan Stanley capital international (MSCI) daily returns data of developed and emerging markets for the period 2005 to 2018. The results of the study highlighted that stock markets of Pakistan and its trading partners were closely integrated during the financial crisis of 2008, while the integration among stock markets decreased substantially after the period of financial crises. Furthermore, the results showed the slow decay process. Therefore, it is a positive sign for the Pakistani and international investors to diversify their portfolio among the stock markets of Pakistan and its trading partners.

show abstract

“…Furthermore, since we use the VAR model to derive return and volatility spillovers, it is necessary to make sure that our variables are stationary in order to avoid estimation biases. Following Chevallier, Nguyen, Siverskog, and Uddin (2018) , we use the Zivot-Andrews test to examine the null hypothesis that our variables contain a unit root while assuming a potential exogenous structural change. The obtained results indicate that the null hypothesis is rejected for all variables at the 1 % level, which suggest that we can proceed with further quantitative estimations.…”

Section: Findings and Analysismentioning

confidence: 99%

Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty

Huynh

Nasir

Nguyen

2023

The Quarterly Review of Economics and Finance

Self Cite

View full text Add to dashboard Cite

Highlights Directional spillover effects and connectedness for both return and volatility. Nine US dollar exchange rates of globally most traded currencies. Asymmetric spillovers and connectedness among these currencies with trade policy uncertainty. The stronger volatility spillover than the return connectedness. The role for predicting currency market dynamics with the trade policy uncertainty patterns.

show abstract

Market integration and financial linkages among stock markets in Pacific Basin countries

Cited by 71 publications

References 29 publications

A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach

Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty

Contact Info

Product

Resources

About