Nonlinearities and divergences in the process of European financial integration

Răileanu-Szeles, Monica; Albu, Lucian-Liviu

doi:10.1016/j.econmod.2014.11.029

Cited by 14 publications

(5 citation statements)

References 29 publications

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“…With a dynamic conditional correlation-generalized autoregressive conditional heteroskedastic (DCC-GARCH) and a wavelet analysis, the authors found that the global financial crisis increased comovements but did not do so uniformly across markets and time scales, although the shift was just temporary. Raileanu-Szeles and Albu (2015) applied nonparametric methods and analysed financial integration in the EU from 2000 to 2013. The authors found a significant impact of the subprime crisis, concluding on declining integration in the long-term.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

Tilfani

Ferreira

Dionísio

et al. 2020

JRFM

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For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the objective of performing a dynamic analysis, sliding windows were used in an attempt to represent short and long-term analyses. Critical moments in financial markets worldwide were also taken into account, namely the subprime debt crisis, the sovereign debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the Brexit decision reduced those connections. The subprime crisis also increases comovements among markets.

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Section: Introduction and Literature Reviewmentioning

confidence: 99%

EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

Tilfani

Ferreira

Dionísio

et al. 2020

JRFM

View full text Add to dashboard Cite

show abstract

“…Internationally-segmented stock markets, on the other hand, enable portfolio managers to diversify and take advantage of the differences in the various markets (Graham et al, 2012). Market integration related studies have looked at specific events such as financial crises (Chevapatrakul & Tee, 2014;Răileanu-Szeles & Albu, 2015), the European Union (or Euro monetary union) implementation (Christiansen, 2014;Ogrokhina, 2015), political crises (Frijns, Tourani-Rad & Indriawan, 2012), and air crashes (Ho, Qiu & Tang, 2013), but it remains an open question as to whether these unexpected crises will weaken or strengthen the long-run relationship in aggregate stock price indices within an integrated market. For example, Yu, Fung, and Tam (2010) show that the equity market integration process of A.S.E.A.N.+3 (Association of Southeast Asian Nations) countries picked up in 2007-2008, while Wang (2014 identifies that the global financial crisis has strengthened the linkages among stock markets in East Asia, signifying that time-varying long-run relationships exist among these countries.…”

Section: Introductionmentioning

confidence: 99%

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Chen

Lee

Lin

et al. 2018

Economic Research-Ekonomska Istraživanja

122

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The purpose of this study is to examine the effect of the Severe Acute Respiratory Syndrome (S.A.R.S.) epidemic on the long-run relationship between China and four Asian stock markets. To this end, we first employ the advanced smooth time-varying cointegration model to investigate the existence of a time-varying cointegration relation among these markets and then employ the difference-indifferences approach to analyse whether or not the S.A.R.S. epidemic impacted the long-run relation between China and these four markets during the period 1998-2008, covering 5 years before and after the S.A.R.S. outbreak. Our results support the existence of a time-varying cointegration relation in the aggregate stock price indices, and that the S.A.R.S. epidemic did weaken the long-run relationship between China and the four markets. Therefore, stockholders and policy makers should be concerned about the influence of catastrophic epidemic diseases on the financial integration of stock market in Asia.

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“…Naturally, policy-makers believe that the value of such co-movements between stock markets is dependent on the level of cooperation between the authorities involved in these markets. In other words, whenever stock markets are closely interconnected, there is a higher risk of unprecedented spread of market to others (e.g., Birău & Trivedi, 2013;Răileanu-Szeles & Albu, 2015;Samarakoon, 2011;Siminică & Birău, 2014). On the other hand, the investigation on the independence and co-movement between stock markets also proved the significant indirect beneficial effects acquired from countries which unite, especially the effects on US market and other developing markets (Choudhry, 2004).…”

Section: Introductionmentioning

confidence: 99%

Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis

Matar

Al-Rdaydeh

Ghazalat

et al. 2021

Cogent Business & Management

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In this article, the co-movement between GCC and US stock market returns was investigated using the wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on timevarying components in order to provide a point of comparison with the results extracted from wavelet analysis. The investigation was conducted on the weekly stock index prices of two USA stock markets, namely Dow Jones and S&P 500 and six GCC stock markets, namely the United Arab Emirates, Saudi Arabia, Qatar, Oman, Kuwait, and Bahrain. The data were retrieved from Thomson Reuters's data stream and the sample duration was from 7 January 2007 to 24 June 2018. As a result, a definite co-movement between several GCC stock markets and those of the US stock markets for a long term was found. Moreover, the results also displayed signs of the significant disparity between the co-movements of the stock markets throughout the scales of time during economic decline. This phenomenon was possibly expected during the economic decline, where a significant divergence occurred as opposed to co-movement. The implications of the findings for global investors were considerable due to the indication from long-term co-movement that these investors would not be capable of gaining simultaneous profit from time and portfolio being diversified. In fact, the results showed the major difference in the opportunities for international portfolio diversification throughout these markets in terms of scale and time.

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Nonlinearities and divergences in the process of European financial integration

Cited by 14 publications

References 29 publications

EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis

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