Time-shift asymmetric correlation analysis of global stock markets

Aityan, Sergey K.; Ivanov-Schitz, A. K.; Izotov, Sergey S.

doi:10.1016/j.intfin.2010.07.006

Cited by 31 publications

(9 citation statements)

References 55 publications

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“…However, these diversification benefits are not fully available to foreign investors due to the lack of market openness in China. These results also support the position held by Aityan et al (2010), who indicate that China plays one of the leading roles in the global economy and is relatively isolated from external shocks.…”

Section: Resultssupporting

confidence: 88%

Asymmetry in spillover effects: Evidence for international stock index futures markets

Yarovaya

Brzeszczyński

Lau

2017

International Review of Financial Analysis

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The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with nonoverlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds the light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing the novel evidence on stabilizing and destabilizing spillover effects.

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Section: Resultssupporting

confidence: 88%

Asymmetry in spillover effects: Evidence for international stock index futures markets

Yarovaya

Brzeszczyński

Lau

2017

International Review of Financial Analysis

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“…In the existing literature, financial market interdependence is measured either by model-free statistics or by specific models accounting for complex relationships and effects, such as time lag, noise, and others (Aityan, Ivanov-Schitz, & Izotov, 2010). The most popular methodologies can be categorized into four groups: (1) cross-market correlation coefficient, (2) the autoregressive conditional heteroskedasticity (ARCH) and the generalized autoregressive conditional heteroskedasticity (GARCH) models, (3) cointegration and Granger causality analysis, and (4) the vector autoregression (VAR), the generalized impulse response function (IRF) and the generalized variance decomposition (GVD) techniques (Forbes & Rigobon, 2002;Elyasiani & Zhao, 2008).…”

Section: Methodsmentioning

confidence: 99%

“…Thirdly, market interdependence increases as economic integration intensifies, such as increased bilateral trade (Bracker, Docking, & Koch, 1999;Johnson & Soenen, 2002;Pretorius, 2002;Tavares, 2009;Walti, 2011;Abbas, Khan, & Shah, 2013). Fourthly, market interdependence is most likely high in volatile bear markets (Longin & Solnik, 2001;Ang & Bekaert, 2002;Aityan, Ivanov-Schitz, & Izotov, 2010;Jinjarak & Zheng, 2014). Lastly, there has been an increase in international market interdependence over the past three decades (Longin & Solnik, 1995;Bruno, Boucrelle, & Yann, 1996;Baele & Inghelbrecht, 2010;Aityan, Ivanov-Schitz, & Izotov, 2010).…”

Section: Literature On Financial Market Interdependencementioning

confidence: 99%

“…Fourthly, market interdependence is most likely high in volatile bear markets (Longin & Solnik, 2001;Ang & Bekaert, 2002;Aityan, Ivanov-Schitz, & Izotov, 2010;Jinjarak & Zheng, 2014). Lastly, there has been an increase in international market interdependence over the past three decades (Longin & Solnik, 1995;Bruno, Boucrelle, & Yann, 1996;Baele & Inghelbrecht, 2010;Aityan, Ivanov-Schitz, & Izotov, 2010).…”

Section: Literature On Financial Market Interdependencementioning

confidence: 99%

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Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period

Chen

Yao

et al. 2014

Journal of International Financial Markets, Institutions and Mo

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This paper studies China's stock market with respect to financial liberalization and international market interdependence after its accession to the WTO in 2001. Using the multifactor R-squared measure, we derive a normalized index to measure the impact of financial liberalization policies on stock market interdependence between China and the world. Some of China's financial liberalization measures, such as QFII and exchange rate reform, are found to have played an important role in increasing market interdependence. After the US credit crunch in 2007 and the world financial crisis in the following years, some anomalies were observed as China's stock market was more interdependent of the global market than the US stock market in some specific periods. These anomalies may have been related to the former's overreaction and economic overheating.JEL: C22, C38, F36, G15, G18

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“…Entretanto, em relação à natureza e ao grau de integração dos mesmos existem grandes divergências (Fuinhas;Marques;Nogueira, 2014). Nesse sentido, diversos fatores podem condicionar à interdependência dos mercados: i) a interdependência pode varia ao longo do tempo (Hu, Lin;Kao, 2008;Tam, 2014); ii) os co-movimentos entre os mercados tendem a serem maiores para mercados com curtas distâncias geográficas do que longas (Chong;Wong;Zhang, 2011;Eckel Et Al., 2011); iii) a interdependência dos mercados aumenta conforme a integração econômica se intensifica (Wälti, 2011;Abbas;Khan, 2013); iv) é mais provável que a interdependência ocorra em mercados mais voláteis do que nos menos voláteis (Aityan;Ivanov-Schitz;Izotov, 2010;Jinjarak;362 Revista Brasileira de Finanças (Online), Rio de Janeiro, Vol. 15, N. 3, September 2017 Zheng, 2014); e, v) a interdependência nos mercados internacionais tem crescido significantemente nas últimas décadas.…”

Section: Introductionunclassified

Mercados Financeiros Internacionais: Uma Aplicação da Análise de Componentes Principais em Dados Dependentes

Monte

2018

Braz. Rev. Fin.

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This study analyzed the analyze the integration pattern (co-movements) of the international financial markets of 25 countries, in the period from 1997 to 2015, by means of the principal component analysis, applied to the residuals of the VAR-GARCH model. The results showed that, in the subprime crisis period, there was a substantial increase of the integration between the countries, in terms of co-movements of the financial indexes (“contagion effect”), especially for the developed countries. During the review period, Asian countries reached the second position with regard to the percentage of explanation of the variability of returns indices and it the growth of China's participation was observed. Even over time, the economic, political and geographical features seem to be crucial in terms of financial integration by countries.

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Time-shift asymmetric correlation analysis of global stock markets

Cited by 31 publications

References 55 publications

Asymmetry in spillover effects: Evidence for international stock index futures markets

Asymmetry in spillover effects: Evidence for international stock index futures markets

Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period

Mercados Financeiros Internacionais: Uma Aplicação da Análise de Componentes Principais em Dados Dependentes

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