The dynamic impact of bilateral trade linkages on stock market correlations of Australia and China

Paramati, Sudharshan Reddy; Zakari, Abdulrasheed; Jalle, Mallaiah; Kale, Seenaiah; Begari, Prasad

doi:10.1080/13504851.2017.1305067

Cited by 16 publications

(9 citation statements)

References 16 publications

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“…For instance, Paramati et al (2018) find that the stock market linkages between Australia and China have been positively influenced by their trade linkages. In the context of the Australasian region, Paramati, Roca, and Gupta (2016) show that the economic integration between Australian and Asian markets is one of the major drivers of their stock markets' connectedness.…”

Section: Introductionmentioning

confidence: 99%

Does economic integration lead to financial market integration in the Asian region?

Song

Huang

Paramati

et al. 2021

Economic Analysis and Policy

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Section: Introductionmentioning

confidence: 99%

Does economic integration lead to financial market integration in the Asian region?

Song

Huang

Paramati

et al. 2021

Economic Analysis and Policy

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“…A global approach is being taken to these studies, as they concentrate on countries outside of trade blocs as well as those with trade blocs (Daelemans et al, 2018). Khan et al (2021), the literature offers benefits and problems associated with business integration (Paramati et al, 2018). More investors see convergence as less as a source of strength and more as a drawback to the goal and simplification of simplifying markets (Ferreira, 2017;Pirzado et al, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling the Conditional Co-Movements of Pakistan and International Stock Markets

Pirzado

Qureshi

Jaoti

et al. 2021

HSSR

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Purpose of the study: This study assesses and evaluates the conditional co-movements and dynamic conditional correlation of the Pakistan Stock Exchange (PSX) with other Stock Market. Methodology: DCC-GARCH model has been applied due to its feasibility to model the covariance as a function of correlation and variance together. Main findings: The findings of the research suggest that the Pakistani Stock Exchange (PSX) is highly volatile compared to two other selected stock markets. In-sample fitting, the study has selected the DCC-GARCH (1, 1) model based on information criterion, conversely, the criterion used for out-of-sample forecast evaluation such as MSFE, RMSFE, MAPE, selected the DCC (2,1)-GARCH (1,1). Application of the study: This study is very useful for the Pakistan stock market and other international selected stocks markets until and unless the government of Pakistan and other governments will devise new policies which may open new opportunities to investors. Novelty/ Originality of the study: This study has a great potential in the Pakistani stock market to offer investors to several foreign and domestic investors, allowing them to hold Pakistan as well as foreign and local stocks all major benefits.

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“…The relationship between these series may not hold in the short run, but this deviation does not hold due to the market forces, government regulations and investor's preferences (Ghosh, Saidi, & Johnson, 1999;Dhanaraj, Gopalaswamy, & Babu, 2017;Ge, Wu, Zhang, & Zou, 2019). Numerous studies have documented the dynamic linkages between different equity markets and volatility transmission mechanisms based on such interdependence (Hasan, Saleem, & Abdullah, 2008;Abbas, Khan, & Shah, 2013;Fraz & Hasan, 2016;Paramati et al, 2018;Kim, Choi, & Kim, 2019). Roll (1992) investigates the disparate behavior of the different equity market indices and report that some market indices are highly diversified as compared to the others.…”

Section: Review Of Literaturementioning

confidence: 99%

“…Numerous studies have explored EMI between different equity markets in a linear setting by using cointegration analysis and VAR framework. Most of the work in this domain has been done in the USA (Johnson & Soenen, 2002;Tai, 2007;Dimitriou & Simos , 2014) but in recent past the emerging markets have also grabbed the attention of the researchers due to their growing importance (Wang & Moore, 2008;Simpson, 2008;Karagoz & Ergun, 2010;Peir´o, 2016;Paramati et al, 2018). Although, recent work does not focus on determining the economic factors behind co-movement of equity markets and a few studies have been conducted to explore different macroeconomic forces that impact EMI of developed and emerging markets i.e.…”

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confidence: 99%

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

Fraz

Hassan

Chughtai

2020

JAEBS

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The study investigates the impact of bilateral trade, economic fundamentals and financial crisis on the equity market integration (EMI) of Pakistan’s equity market with its major global trading partners (China, India, USA and UK) for the period 1998 to 2016. The findings of the study indicate that bilateral trade and economic conditions have a significant impact on EMI, the export dependence of two economies may increase the EMI and import dependence reduces the EMI of two economies. Moreover, inflation differential and volatility in the bilateral exchange rate have a negative impact on EMI. It implies that inflation rates in Pakistan’s equity market are higher as compare to other markets and volatility in bilateral exchange rate may reduce trade flows and its tendency to follow other market (Bracker, Docking , & Koch, 1999). Furthermore, the financial crisis in an economy may reduce the EMI with its trading partners and EMI between different markets is affected by their bilateral economic fundamentals. The results imply that financial integration between different markets is affected by their bilateral economic fundamentals. The study has strong implications for international investors who need to assess risks and benefits associated with international portfolio diversification.

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The dynamic impact of bilateral trade linkages on stock market correlations of Australia and China

Cited by 16 publications

References 16 publications

Does economic integration lead to financial market integration in the Asian region?

Does economic integration lead to financial market integration in the Asian region?

Modelling the Conditional Co-Movements of Pakistan and International Stock Markets

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

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