Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan PDF Download
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Author: Ping Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.
Author: Ping Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.
Author: Ping Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The conjecture that developed markets dominate emerging markets in stock market interactions is questioned - such asymmetric dominance of developed markets over developing markets does not show up in the present study where the developing market of China is of a comparable size in relation to the developed markets of Japan and the US. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.
Author: Priyanka Singh
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Book Description
This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. These markets are that of Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through AR-GARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others' conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return.
Author: Bin Hu
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 166
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Book Description
Author: Wing-Keung Wong
Publisher: MDPI
ISBN: 3039435736
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
Author: Jorge A. Chan-Lau
Publisher: International Monetary Fund
ISBN:
Category : Stock exchanges
Languages : en
Pages : 36
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Book Description
Author: Allan William Kleidon
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 18
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Book Description
Author: Suk-Joong Kim
Publisher: Elsevier
ISBN: 0762314710
Category : Business & Economics
Languages : en
Pages : 537
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Book Description
This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.
Author: Greg N. Gregoriou
Publisher: Springer
ISBN: 0230295215
Category : Business & Economics
Languages : en
Pages : 214
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Book Description
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Author: Chan-Sheng Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
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Book Description
This paper studies the information transmission effects from the US to China, Taiwan, Hong Kong, and commodities in the mean and variance of prices in terms of the impact of the US-China trade-war in March 2018. We construct a two-factor structure in a realized GARCH, adopt intraday realized volatility as an exogenous variable to improve volatility estimation, and divide the daily close-to-close returns into overnight returns (previous close-to-open) and daytime returns (open-to-close) to examine the impact of the US stock market on the three Asian stock markets before and after the trade war induced by the Trump administration. Additionally, this study adopts bivariate GARCH model with diagonal vech parameterization to investigate the bilateral relationships between the US dollar index and the global commodities prices, China, Taiwan, and Hong Kong exchange rates as the robustness. The empirical results suggest that the effects from the US stock market decrease in the post-trade war period, its influence only exists in the Taiwan and Hong Kong market opening time spans, and China is the largest recipient of US volatility spillovers. As to the macroeconomic forecasting and hedging demand, oil and gold prices volatility have bilateral interactions with US dollar, the representing of the uncertainty from the US. After the policy uncertainty initiating, the US may lost the guidance stance to the global financial markets.
