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markets</title> <meta name="description" content="Search results for: Asian stock markets"> <meta name="keywords" content="Asian stock markets"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block d-lg-none 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action="https://publications.waset.org/abstracts/search"> <div id="custom-search-input"> <div class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value="Asian stock markets"> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 2196</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: Asian stock markets</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2196</span> Analyzing the Impact of Global Financial Crisis on Interconnectedness of Asian Stock Markets Using Network Science</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Jitendra%20Aswani">Jitendra Aswani</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In the first section of this study, impact of Global Financial Crisis (GFC) on the synchronization of fourteen Asian Stock Markets (ASM’s) of countries like Hong Kong, India, Thailand, Singapore, Taiwan, Pakistan, Bangladesh, South Korea, Malaysia, Indonesia, Japan, China, Philippines and Sri Lanka, has been analysed using the network science and its metrics like degree of node, clustering coefficient and network density. Then in the second section of this study by introducing the US stock market in existing network and developing a Minimum Spanning Tree (MST) spread of crisis from the US stock market to Asian Stock Markets (ASM) has been explained. Data used for this study is adjusted the closing price of these indices from 6th January, 2000 to 15th September, 2013 which further divided into three sub-periods: Pre, during and post-crisis. Using network analysis, it is found that Asian stock markets become more interdependent during the crisis than pre and post crisis, and also Hong Kong, India, South Korea and Japan are systemic important stock markets in the Asian region. Therefore, failure or shock to any of these systemic important stock markets can cause contagion to another stock market of this region. This study is useful for global investors’ in portfolio management especially during the crisis period and also for policy makers in formulating the financial regulation norms by knowing the connections between the stock markets and how the system of these stock markets changes in crisis period and after that. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=global%20financial%20crisis" title="global financial crisis">global financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=Asian%20stock%20markets" title=" Asian stock markets"> Asian stock markets</a>, <a href="https://publications.waset.org/abstracts/search?q=network%20science" title=" network science"> network science</a>, <a href="https://publications.waset.org/abstracts/search?q=Kruskal%20algorithm" title=" Kruskal algorithm"> Kruskal algorithm</a> </p> <a href="https://publications.waset.org/abstracts/31876/analyzing-the-impact-of-global-financial-crisis-on-interconnectedness-of-asian-stock-markets-using-network-science" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/31876.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">424</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2195</span> Estimating the Volatilite of Stock Markets in Case of Financial Crisis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Gultekin%20Gurcay">Gultekin Gurcay</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, effects and responses of stock were analyzed. This analysis was done periodically. The dimensions of the financial crisis impact on the stock market were investigated by GARCH model. In this context, S&P 500 stock market is modeled with DAX, NIKKEI and BIST100. In this way, The effects of the changing in S&P 500 stock market were examined on European and Asian stock markets. Conditional variance coefficient will be calculated through garch model. The scope of the crisis period, the conditional covariance coefficient will be analyzed comparatively. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=conditional%20variance%20coefficient" title="conditional variance coefficient">conditional variance coefficient</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20crisis" title=" financial crisis"> financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=garch%20model" title=" garch model"> garch model</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20market" title=" stock market"> stock market</a> </p> <a href="https://publications.waset.org/abstracts/40843/estimating-the-volatilite-of-stock-markets-in-case-of-financial-crisis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/40843.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">294</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2194</span> Long-Run Relationship among Tehran Stock Exchange and the GCC Countries Financial Markets, Before and After 2007/2008 Financial Crisis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mohammad%20Hossein%20Ranjbar">Mohammad Hossein Ranjbar</a>, <a href="https://publications.waset.org/abstracts/search?q=Mahdi%20Bagheri"> Mahdi Bagheri</a>, <a href="https://publications.waset.org/abstracts/search?q=B.%20Shivaraj"> B. Shivaraj</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study attempts to investigate the relationship between stock market of Iran and GCC countries stock exchanges. Eight markets were included: the stock market of Iran, Kuwait, Bahrain, Qatar, Saudi Arabia, Dubai, Abu Dhabi and Oman. Daily country market indices were collected from January 2005 to December 2010. The potential time-varying behaviors of long-run stock market relationship among selected markets are tested applying correlation test, Augmented Dick Fuller test (ADF), Bilateral and Multilateral Cointegration (Johansen), and the Granger Causality test. The findings suggest that stock market of Iran is negatively correlated with most of the selected markets in the whole duration. But contemporaneous correlations among the eight selected markets are increased positively in period of financial crises. Bilateral Cointegration between selected markets suggests that there is no integration between Tehran stock exchange and other selected markets. Among other markets, except the stock market of Dubai and Abu Dhabi as a one pair, are not cointegrated in whole, but in duration of financial crises integration between selected markets are increased. Finally, investigation of the casual relationship among eight financial markets suggests there are unidirectional and bidirectional causal relationship among some of stock market indices. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=financial%20crises" title="financial crises">financial crises</a>, <a href="https://publications.waset.org/abstracts/search?q=Middle%20East" title=" Middle East"> Middle East</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20market%20integration" title=" stock market integration"> stock market integration</a>, <a href="https://publications.waset.org/abstracts/search?q=Granger%20Causality%20test" title=" Granger Causality test"> Granger Causality test</a>, <a href="https://publications.waset.org/abstracts/search?q=ARDL%20test" title=" ARDL test"> ARDL test</a> </p> <a href="https://publications.waset.org/abstracts/36061/long-run-relationship-among-tehran-stock-exchange-and-the-gcc-countries-financial-markets-before-and-after-20072008-financial-crisis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/36061.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">394</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2193</span> Cointegration Dynamics in Asian Stock Markets: Implications for Long-Term Portfolio Management</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Xinyi%20Xu">Xinyi Xu</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study conducts a detailed examination of Asian stock markets over the period from 2008 to 2023, with a focus on the dynamics of cointegration and their relevance for long-term investment strategies. Specifically, we assess the co-movement and potential for pairs trading—a strategy where investors take opposing positions on two stocks, indices, or financial instruments that historically move together. For example, we explore the relationship between the Nikkei 225 (N225), Japan’s benchmark stock index, and the Straits Times Index (STI) of Singapore, as well as the relationship between the Korea Composite Stock Price Index (KS11) and the STI. The methodology includes tests for normality, stationarity, cointegration, and the application of Vector Error Correction Modeling (VECM). Our findings reveal significant long-term relationships between these pairs, indicating opportunities for pairs trading strategies. Furthermore, the research underscores the challenges posed by model instability and the influence of major global incidents, which are identified as structural breaks. These findings pave the way for further exploration into the intricacies of financial market dynamics. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=normality%20tests" title="normality tests">normality tests</a>, <a href="https://publications.waset.org/abstracts/search?q=stationarity" title=" stationarity"> stationarity</a>, <a href="https://publications.waset.org/abstracts/search?q=cointegration" title=" cointegration"> cointegration</a>, <a href="https://publications.waset.org/abstracts/search?q=VECM" title=" VECM"> VECM</a>, <a href="https://publications.waset.org/abstracts/search?q=pairs%20trading" title=" pairs trading"> pairs trading</a> </p> <a href="https://publications.waset.org/abstracts/182153/cointegration-dynamics-in-asian-stock-markets-implications-for-long-term-portfolio-management" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/182153.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">56</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2192</span> Volatility Spillover and Hedging Effectiveness between Gold and Stock Markets: Evidence for BRICS Countries</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Walid%20Chkili">Walid Chkili</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper investigates the dynamic relationship between gold and stock markets using data for BRICS counties. For this purpose, we estimate three multivariate GARCH models (namely CCC, DCC and BEKK) for weekly stock and gold data. Our main objective is to examine time variations in conditional correlations between the two assets and to check the effectiveness use of gold as a hedge for equity markets. Empirical results reveal that dynamic conditional correlations switch between positive and negative values over the period under study. This correlation is negative during the major financial crises suggesting that gold can act as a safe haven during the major stress period of stock markets. We also evaluate the implications for portfolio diversification and hedging effectiveness for the pair gold/stock. Our findings suggest that adding gold in the stock portfolio enhance its risk-adjusted return. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=gold" title="gold">gold</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20markets" title=" financial markets"> financial markets</a>, <a href="https://publications.waset.org/abstracts/search?q=hedge" title=" hedge"> hedge</a>, <a href="https://publications.waset.org/abstracts/search?q=multivariate%20GARCH" title=" multivariate GARCH"> multivariate GARCH</a> </p> <a href="https://publications.waset.org/abstracts/20064/volatility-spillover-and-hedging-effectiveness-between-gold-and-stock-markets-evidence-for-brics-countries" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/20064.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">472</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2191</span> A Network Approach to Analyzing Financial Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Yusuf%20Seedat">Yusuf Seedat</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The necessity to understand global financial markets has increased following the unfortunate spread of the recent financial crisis around the world. Financial markets are considered to be complex systems consisting of highly volatile move-ments whose indexes fluctuate without any clear pattern. Analytic methods of stock prices have been proposed in which financial markets are modeled using common network analysis tools and methods. It has been found that two key components of social network analysis are relevant to modeling financial markets, allowing us to forecast accurate predictions of stock prices within the financial market. Financial markets have a number of interacting components, leading to complex behavioral patterns. This paper describes a social network approach to analyzing financial markets as a viable approach to studying the way complex stock markets function. We also look at how social network analysis techniques and metrics are used to gauge an understanding of the evolution of financial markets as well as how community detection can be used to qualify and quantify in-fluence within a network. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=network%20analysis" title="network analysis">network analysis</a>, <a href="https://publications.waset.org/abstracts/search?q=social%20networks" title=" social networks"> social networks</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20markets" title=" financial markets"> financial markets</a>, <a href="https://publications.waset.org/abstracts/search?q=stocks" title=" stocks"> stocks</a>, <a href="https://publications.waset.org/abstracts/search?q=nodes" title=" nodes"> nodes</a>, <a href="https://publications.waset.org/abstracts/search?q=edges" title=" edges"> edges</a>, <a href="https://publications.waset.org/abstracts/search?q=complex%20networks" title=" complex networks"> complex networks</a> </p> <a href="https://publications.waset.org/abstracts/142621/a-network-approach-to-analyzing-financial-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/142621.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">191</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2190</span> Volatility Spillover Among the Stock Markets of South Asian Countries</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Tariq%20Aziz">Tariq Aziz</a>, <a href="https://publications.waset.org/abstracts/search?q=Suresh%20Kumar"> Suresh Kumar</a>, <a href="https://publications.waset.org/abstracts/search?q=Vikesh%20Kumar"> Vikesh Kumar</a>, <a href="https://publications.waset.org/abstracts/search?q=Sheraz%20Mustafa"> Sheraz Mustafa</a>, <a href="https://publications.waset.org/abstracts/search?q=Jhanzeb%20Marwat"> Jhanzeb Marwat</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The paper provides an updated version of volatility spillover among the equity markets of South Asian countries, including Pakistan, India, Srilanka, and Bangladesh. The analysis uses both symmetric and asymmetric Generalized Autoregressive Conditional Heteroscedasticity models to investigate volatility persistence and leverage effect. The bivariate EGARCH model is used to test for volatility transmission between two equity markets. Weekly data for the period February 2013 to August 2019 is used for empirical analysis. The findings indicate that the leverage effect exists in the equity markets of all the countries except Bangladesh. The volatility spillover from the equity market of Bangladesh to all other countries is negative and significant whereas the volatility of the equity market of Sri-Lanka does influence the volatility of any other country’s equity market. Indian equity market influence only the volatility of the Sri-Lankan equity market; and there is bidirectional volatility spillover between the equity markets of Pakistan and Bangladesh. The findings are important for policy-makers and international investors. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=volatility%20spillover" title="volatility spillover">volatility spillover</a>, <a href="https://publications.waset.org/abstracts/search?q=volatility%20persistence" title=" volatility persistence"> volatility persistence</a>, <a href="https://publications.waset.org/abstracts/search?q=garch" title=" garch"> garch</a>, <a href="https://publications.waset.org/abstracts/search?q=egarch" title=" egarch"> egarch</a> </p> <a href="https://publications.waset.org/abstracts/121891/volatility-spillover-among-the-stock-markets-of-south-asian-countries" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/121891.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">139</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2189</span> Contagion of the Global Financial Crisis and Its Impact on Systemic Risk in the Banking System: Extreme Value Theory Analysis in Six Emerging Asia Economies</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ratna%20Kuswardani">Ratna Kuswardani</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper aims to study the impact of recent Global Financial Crisis (GFC) on 6 selected emerging Asian economies (Indonesia, Malaysia, Thailand, Philippines, Singapore, and South Korea). We first figure out the contagion of GFC from the US and Europe to the selected emerging Asian countries by studying the tail dependence of market stock returns between those countries. We apply the concept of Extreme Value Theory (EVT) to model the dependence between multiple returns series of variables under examination. We explore the factors causing the contagion between the regions. We find dependencies between markets that are influenced by their size, especially for large markets in emerging Asian countries that tend to have a higher dependency to the market in the more advanced country such as the U.S. and some countries in Europe. The results also suggest that the dependencies between market returns and bank stock returns in the same region tend to be higher than dependencies between these returns across two different regions. We extend our analysis by studying the impact of GFC on the systemic in the banking system. We also find that larger institution has more dependencies with the market stock, suggesting that larger size bank can cause disruption in the market. Further, the higher probability of extreme loss can be seen during the crisis period, which is shown by the non-linear dependency between the pre-crisis and the post-crisis period. Finally, our analysis suggests that systemic risk appears in the domestic banking systems in emerging Asia, as shown by the extreme dependencies within banks in the system. Overall, our results provide caution to policy makers and investors alike on the possible contagion of the impact of global financial crisis across different markets. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=contagion" title="contagion">contagion</a>, <a href="https://publications.waset.org/abstracts/search?q=extreme%20value%20theory" title=" extreme value theory"> extreme value theory</a>, <a href="https://publications.waset.org/abstracts/search?q=global%20financial%20crisis" title=" global financial crisis"> global financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=systemic%20risk" title=" systemic risk"> systemic risk</a> </p> <a href="https://publications.waset.org/abstracts/99265/contagion-of-the-global-financial-crisis-and-its-impact-on-systemic-risk-in-the-banking-system-extreme-value-theory-analysis-in-six-emerging-asia-economies" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/99265.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">151</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2188</span> Analysis of Cross-Correlations in Emerging Markets Using Random Matrix Theory</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Thomas%20Chinwe%20Urama">Thomas Chinwe Urama</a>, <a href="https://publications.waset.org/abstracts/search?q=Patrick%20Oseloka%20Ezepue"> Patrick Oseloka Ezepue</a>, <a href="https://publications.waset.org/abstracts/search?q=Peters%20Chimezie%20Nnanwa"> Peters Chimezie Nnanwa</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper investigates the universal financial dynamics in two dominant stock markets in Sub-Saharan Africa, through an in-depth analysis of the cross-correlation matrix of price returns in Nigerian Stock Market (NSM) and Johannesburg Stock Exchange (JSE), for the period 2009 to 2013. The strength of correlations between stocks is known to be higher in JSE than that of the NSM. Particularly important for modelling Nigerian derivatives in the future, the interactions of other stocks with the oil sector are weak, whereas the banking sector has strong positive interactions with the other sectors in the stock exchange. For the JSE, it is the oil sector and beverages that have greater sectorial correlations, instead of the banks which have the weaker correlation with other sectors in the stock exchange. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=random%20matrix%20theory" title="random matrix theory">random matrix theory</a>, <a href="https://publications.waset.org/abstracts/search?q=cross-correlations" title=" cross-correlations"> cross-correlations</a>, <a href="https://publications.waset.org/abstracts/search?q=emerging%20markets" title=" emerging markets"> emerging markets</a>, <a href="https://publications.waset.org/abstracts/search?q=option%20pricing" title=" option pricing"> option pricing</a>, <a href="https://publications.waset.org/abstracts/search?q=eigenvalues%20eigenvectors" title=" eigenvalues eigenvectors"> eigenvalues eigenvectors</a>, <a href="https://publications.waset.org/abstracts/search?q=inverse%20participation%20ratios%20and%20implied%20volatility" title=" inverse participation ratios and implied volatility"> inverse participation ratios and implied volatility</a> </p> <a href="https://publications.waset.org/abstracts/65711/analysis-of-cross-correlations-in-emerging-markets-using-random-matrix-theory" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/65711.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">299</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2187</span> Nexus of Pakistan Stock Exchange with World's Top Five Stock Markets after Launching China Pakistan Economic Corridor</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Abdul%20Rauf">Abdul Rauf</a>, <a href="https://publications.waset.org/abstracts/search?q=Xiaoxing%20Liu"> Xiaoxing Liu</a>, <a href="https://publications.waset.org/abstracts/search?q=Waqas%20Amin"> Waqas Amin</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Stock markets are fascinating more and more conductive to each other due to liberalization and globalization trends in recent years. China Pakistan Economic Corridor (CPEC) has dragged Pakistan stock exchange to the new heights and global investors are making investments to reap its benefits. So, in investors and government perspective, the study focuses co-integration of Pakistan stock exchange with world’s five big economies i-e US, China, England, Japan, and France. The time period of study is seven years i-e 2010 to 2016 and daily values of major indices of corresponding stock exchanges collected. All variables of that particular study are stationary at first difference confirmed by unit root test. The study Johansen system co integration test for analysis of data along with Granger causality test is performed for result purpose. Co integration test asserted that Pakistan stock exchange integrated with Shanghai stock exchange (SSE) and NIKKEI stock exchange in short run. Granger causality test also proclaimed these results. But NASDAQ, FTSE, DAX not co integrated and Granger cause at a short run but long run these markets are bonded with Pakistan stock exchange (KSE). VECM also confirmed this liaison in short and long run. Investors, therefore, need to be updated regarding co-integration of world’s stock exchanges to ensure well diversified and risk adjusted high returns. Equally, governments also need updated status so that they could reduce co-integration through multiple steps and hence drag investors for diversified investment. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=CPEC" title="CPEC">CPEC</a>, <a href="https://publications.waset.org/abstracts/search?q=DAX" title=" DAX"> DAX</a>, <a href="https://publications.waset.org/abstracts/search?q=FTSE" title=" FTSE"> FTSE</a>, <a href="https://publications.waset.org/abstracts/search?q=liberalization" title=" liberalization"> liberalization</a>, <a href="https://publications.waset.org/abstracts/search?q=NASDAQ" title=" NASDAQ"> NASDAQ</a>, <a href="https://publications.waset.org/abstracts/search?q=NIKKEI" title=" NIKKEI"> NIKKEI</a>, <a href="https://publications.waset.org/abstracts/search?q=SSE" title=" SSE"> SSE</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20markets" title=" stock markets"> stock markets</a> </p> <a href="https://publications.waset.org/abstracts/78053/nexus-of-pakistan-stock-exchange-with-worlds-top-five-stock-markets-after-launching-china-pakistan-economic-corridor" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/78053.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">302</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2186</span> The Impact of the Global Financial Crises on MILA Stock Markets </h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Miriam%20Sosa">Miriam Sosa</a>, <a href="https://publications.waset.org/abstracts/search?q=Edgar%20Ortiz"> Edgar Ortiz</a>, <a href="https://publications.waset.org/abstracts/search?q=Alejandra%20Cabello"> Alejandra Cabello</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper examines the volatility changes and leverage effects of the MILA stock markets and their changes since the 2007 global financial crisis. This group integrates the stock markets from Chile, Colombia, Mexico and Peru. Volatility changes and leverage effects are tested with a symmetric GARCH (1,1) and asymmetric TARCH (1,1) models with a dummy variable in the variance equation. Daily closing prices of the stock indexes of Chile (IPSA), Colombia (COLCAP), Mexico (IPC) and Peru (IGBVL) are examined for the period 2003:01 to 2015:02. The evidence confirms the presence of an overall increase in asymmetric market volatility in the Peruvian share market since the 2007 crisis. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=financial%20crisis" title="financial crisis">financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=Latin%20American%20Integrated%20Market" title=" Latin American Integrated Market"> Latin American Integrated Market</a>, <a href="https://publications.waset.org/abstracts/search?q=TARCH" title=" TARCH"> TARCH</a>, <a href="https://publications.waset.org/abstracts/search?q=GARCH" title=" GARCH"> GARCH</a> </p> <a href="https://publications.waset.org/abstracts/57884/the-impact-of-the-global-financial-crises-on-mila-stock-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/57884.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">279</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2185</span> The Impact of Trade on Stock Market Integration of Emerging Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Anna%20M.%20Pretorius">Anna M. Pretorius</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The emerging markets category for portfolio investment was introduced in 1986 in an attempt to promote capital market development in less developed countries. Investors traditionally diversified their portfolios by investing in different developed markets. However, high growth opportunities forced investors to consider emerging markets as well. Examples include the rapid growth of the “Asian Tigers” during the 1980s, growth in Latin America during the 1990s and the increased interest in emerging markets during the global financial crisis. As such, portfolio flows to emerging markets have increased substantially. In 2002 7% of all equity allocations from advanced economies went to emerging markets; this increased to 20% in 2012. The stronger links between advanced and emerging markets led to increased synchronization of asset price movements. This increased level of stock market integration for emerging markets is confirmed by various empirical studies. Against the background of increased interest in emerging market assets and the increasing level of integration of emerging markets, this paper focuses on the determinants of stock market integration of emerging market countries. Various studies have linked the level of financial market integration with specific economic variables. These variables include: economic growth, local inflation, trade openness, local investment, budget surplus/ deficit, market capitalization, domestic bank credit, domestic institutional and legal environment and world interest rates. The aim of this study is to empirically investigate to what extent trade-related determinants have an impact on stock market integration. The panel data sample include data of 16 emerging market countries: Brazil, Chile, China, Colombia, Czech Republic, Hungary, India, Malaysia, Pakistan, Peru, Philippines, Poland, Russian Federation, South Africa, Thailand and Turkey for the period 1998-2011. The integration variable for each emerging stock market is calculated as the explanatory power of a multi-factor model. These factors are extracted from a large panel of global stock market returns. Trade related explanatory variables include: exports as percentage of GDP, imports as percentage of GDP and total trade as percentage of GDP. Other macroeconomic indicators – such as market capitalisation, the size of the budget deficit and the effectiveness of the regulation of the securities exchange – are included in the regressions as control variables. An initial analysis on a sample of developed stock markets could not identify any significant determinants of stock market integration. Thus the macroeconomic variables identified in the literature are much more significant in explaining stock market integration of emerging markets than stock market integration of developed markets. The three trade variables are all statistically significant at a 5% level. The market capitalisation variable is also significant while the regulation variable is only marginally significant. The global financial crisis has highlighted the urgency to better understand the link between the financial and real sectors of the economy. This paper comes to the important finding that, apart from the level of market capitalisation (as financial indicator), trade (representative of the real economy) is a significant determinant of stock market integration of countries not yet classified as developed economies. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=emerging%20markets" title="emerging markets">emerging markets</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20market%20integration" title=" financial market integration"> financial market integration</a>, <a href="https://publications.waset.org/abstracts/search?q=panel%20data" title=" panel data"> panel data</a>, <a href="https://publications.waset.org/abstracts/search?q=trade" title=" trade"> trade</a> </p> <a href="https://publications.waset.org/abstracts/44980/the-impact-of-trade-on-stock-market-integration-of-emerging-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/44980.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">306</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2184</span> Calendar Anomalies in Islamic Frontier Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Aslam%20Faheem">Aslam Faheem</a>, <a href="https://publications.waset.org/abstracts/search?q=Hunjra%20Ahmed%20Imran"> Hunjra Ahmed Imran</a>, <a href="https://publications.waset.org/abstracts/search?q=Tayachi%20Tahar"> Tayachi Tahar</a>, <a href="https://publications.waset.org/abstracts/search?q=Verhoeven%20Peter"> Verhoeven Peter</a>, <a href="https://publications.waset.org/abstracts/search?q=Tariq%20Yasir"> Tariq Yasir</a> </p> <p class="card-text"><strong>Abstract:</strong></p> We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=asset%20pricing" title="asset pricing">asset pricing</a>, <a href="https://publications.waset.org/abstracts/search?q=frontier%20markets" title=" frontier markets"> frontier markets</a>, <a href="https://publications.waset.org/abstracts/search?q=market%20efficiency" title=" market efficiency"> market efficiency</a>, <a href="https://publications.waset.org/abstracts/search?q=Islamic%20calendar%20effects" title=" Islamic calendar effects"> Islamic calendar effects</a>, <a href="https://publications.waset.org/abstracts/search?q=Islamic%20stock%20markets" title=" Islamic stock markets"> Islamic stock markets</a> </p> <a href="https://publications.waset.org/abstracts/143899/calendar-anomalies-in-islamic-frontier-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/143899.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">166</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2183</span> Volatility Transmission between Oil Price and Stock Return of Emerging and Developed Countries</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Algia%20Hammami">Algia Hammami</a>, <a href="https://publications.waset.org/abstracts/search?q=Abdelfatteh%20Bouri"> Abdelfatteh Bouri</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this work, our objective is to study the transmission of volatility between oil and stock markets in developed (USA, Germany, Italy, France and Japan) and emerging countries (Tunisia, Thailand, Brazil, Argentina, and Jordan) for the period 1998-2015. Our methodology consists of analyzing the monthly data by the GARCH-BEKK model to capture the effect in terms of volatility in the variation of the oil price on the different stock market. The empirical results in the emerging countries indicate that the relationships are unidirectional from the stock market to the oil market. For the developed countries, we find that the transmission of volatility is unidirectional from the oil market to stock market. For the USA and Italy, we find no transmission between the two markets. The transmission is bi-directional only in Thailand. Following our estimates, we also noticed that the emerging countries influence almost the same extent as the developed countries, while at the transmission of volatility there a bid difference. The GARCH-BEKK model is more effective than the others versions to minimize the risk of an oil-stock portfolio. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=GARCH" title="GARCH">GARCH</a>, <a href="https://publications.waset.org/abstracts/search?q=oil%20prices" title=" oil prices"> oil prices</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20market" title=" stock market"> stock market</a>, <a href="https://publications.waset.org/abstracts/search?q=volatility%20transmission" title=" volatility transmission"> volatility transmission</a> </p> <a href="https://publications.waset.org/abstracts/64379/volatility-transmission-between-oil-price-and-stock-return-of-emerging-and-developed-countries" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/64379.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">437</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2182</span> Collect Meaningful Information about Stock Markets from the Web</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Saleem%20Abuleil">Saleem Abuleil</a>, <a href="https://publications.waset.org/abstracts/search?q=Khalid%20S.%20Alsamara"> Khalid S. Alsamara</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Events represent a significant source of information on the web; they deliver information about events that occurred around the world in all kind of subjects and areas. These events can be collected and organized to provide valuable and useful information for decision makers, researchers, as well as any person seeking knowledge. In this paper, we discuss an ongoing research to target stock markets domain to observe and record changes (events) when they happen, collect them, understand the meaning of each one of them, and organize the information along with meaning in a well-structured format. By using Semantic Role Labeling (SRL) technique, we identified four factors for each event in this paper: verb of action and three roles associated with it, entity name, attribute, and attribute value. We have generated a set of rules and techniques to support our approach to analyze and understand the meaning of the events taking place in stock markets. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=natuaral%20language%20processing" title="natuaral language processing">natuaral language processing</a>, <a href="https://publications.waset.org/abstracts/search?q=Arabic%20language" title=" Arabic language"> Arabic language</a>, <a href="https://publications.waset.org/abstracts/search?q=event%20extraction%20and%20understanding" title=" event extraction and understanding"> event extraction and understanding</a>, <a href="https://publications.waset.org/abstracts/search?q=sematic%20role%20labeling" title=" sematic role labeling"> sematic role labeling</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20market" title=" stock market"> stock market</a> </p> <a href="https://publications.waset.org/abstracts/19578/collect-meaningful-information-about-stock-markets-from-the-web" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/19578.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">393</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2181</span> Does Pakistan Stock Exchange Offer Diversification Benefits to Regional and International Investors: A Time-Frequency (Wavelets) Analysis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Syed%20Jawad%20Hussain%20Shahzad">Syed Jawad Hussain Shahzad</a>, <a href="https://publications.waset.org/abstracts/search?q=Muhammad%20Zakaria"> Muhammad Zakaria</a>, <a href="https://publications.waset.org/abstracts/search?q=Mobeen%20Ur%20Rehman"> Mobeen Ur Rehman</a>, <a href="https://publications.waset.org/abstracts/search?q=Saniya%20Khaild"> Saniya Khaild</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study examines the co-movement between the Pakistan, Indian, S&P 500 and Nikkei 225 stock markets using weekly data from 1998 to 2013. The time-frequency relationship between the selected stock markets is conducted by using measures of continuous wavelet power spectrum, cross-wavelet transform and cross (squared) wavelet coherency. The empirical evidence suggests strong dependence between Pakistan and Indian stock markets. The co-movement of Pakistani index with U.S and Japanese, the developed markets, varies over time and frequency where the long-run relationship is dominant. The results of cross wavelet and wavelet coherence analysis indicate moderate covariance and correlation between stock indexes and the markets are in phase (i.e. cyclical in nature) over varying durations. Pakistan stock market was lagging during the entire period in relation to Indian stock market, corresponding to the 8~32 and then 64~256 weeks scale. Similar findings are evident for S&P 500 and Nikkei 225 indexes, however, the relationship occurs during the later period of study. All three wavelet indicators suggest strong evidence of higher co-movement during 2008-09 global financial crises. The empirical analysis reveals a strong evidence that the portfolio diversification benefits vary across frequencies and time. This analysis is unique and have several practical implications for regional and international investors while assigning the optimal weightage of different assets in portfolio formulation. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=co-movement" title="co-movement">co-movement</a>, <a href="https://publications.waset.org/abstracts/search?q=Pakistan%20stock%20exchange" title=" Pakistan stock exchange"> Pakistan stock exchange</a>, <a href="https://publications.waset.org/abstracts/search?q=S%26P%20500" title=" S&P 500"> S&P 500</a>, <a href="https://publications.waset.org/abstracts/search?q=Nikkei%20225" title=" Nikkei 225"> Nikkei 225</a>, <a href="https://publications.waset.org/abstracts/search?q=wavelet%20analysis" title=" wavelet analysis"> wavelet analysis</a> </p> <a href="https://publications.waset.org/abstracts/30445/does-pakistan-stock-exchange-offer-diversification-benefits-to-regional-and-international-investors-a-time-frequency-wavelets-analysis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/30445.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">357</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2180</span> Heterogeneous Intelligence Traders and Market Efficiency: New Evidence from Computational Approach in Artificial Stock Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Yosra%20Mefteh%20Rekik">Yosra Mefteh Rekik</a> </p> <p class="card-text"><strong>Abstract:</strong></p> A computational agent-based model of financial markets stresses interactions and dynamics among a very diverse set of traders. The growing body of research in this area relies heavily on computational tools which by-pass the restrictions of an analytical method. The main goal of this research is to understand how the stock market operates and behaves how to invest in the stock market and to study traders’ behavior within the context of the artificial stock markets populated by heterogeneous agents. All agents are characterized by adaptive learning behavior represented by the Artificial Neuron Networks. By using agent-based simulations on artificial market, we show that the existence of heterogeneous agents can explain the price dynamics in the financial market. We investigate the relation between market diversity and market efficiency. Our empirical findings demonstrate that greater market heterogeneity play key roles in market efficiency. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=agent-based%20modeling" title="agent-based modeling">agent-based modeling</a>, <a href="https://publications.waset.org/abstracts/search?q=artificial%20stock%20market" title=" artificial stock market"> artificial stock market</a>, <a href="https://publications.waset.org/abstracts/search?q=heterogeneous%20expectations" title=" heterogeneous expectations"> heterogeneous expectations</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20stylized%20facts" title=" financial stylized facts"> financial stylized facts</a>, <a href="https://publications.waset.org/abstracts/search?q=computational%20finance" title=" computational finance"> computational finance</a> </p> <a href="https://publications.waset.org/abstracts/28310/heterogeneous-intelligence-traders-and-market-efficiency-new-evidence-from-computational-approach-in-artificial-stock-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/28310.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">438</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2179</span> Spillovers between Oil and the Gulf Cooperation Council Stock Markets: Fresh Evidence from a Regime-Switching Approach</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ahmed%20BenSa%C3%AFda">Ahmed BenSaïda</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study examines the relationship between crude oil and the Gulf Cooperation Council (GCC) region stock markets by employing a regime-switching approach. The methodology provides new insights into how the interrelationship between oil and GCC stock markets may fluctuate in different economic or market regimes, which is crucial for understanding the transmission of oil shocks and tailoring policy responses. Our findings indicate that the spillovers between the underlying assets are asymmetric. Specifically, during the turmoil periods, the connectedness is intense among these assets, whereas during tranquil periods, the linkage is moderate. Furthermore, an increase in oil prices can positively contribute to the profits of firms that are heavily dependent on oil, leading to an increase in the linkage between these countries and crude oil. The findings have important implications for investors and decision-makers in the GCC region. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=GCC%20indices" title="GCC indices">GCC indices</a>, <a href="https://publications.waset.org/abstracts/search?q=oil" title=" oil"> oil</a>, <a href="https://publications.waset.org/abstracts/search?q=regime-switching" title=" regime-switching"> regime-switching</a>, <a href="https://publications.waset.org/abstracts/search?q=spillovers" title=" spillovers"> spillovers</a> </p> <a href="https://publications.waset.org/abstracts/192294/spillovers-between-oil-and-the-gulf-cooperation-council-stock-markets-fresh-evidence-from-a-regime-switching-approach" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/192294.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">19</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2178</span> Uncertainty and Volatility in Middle East and North Africa Stock Market during the Arab Spring</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ameen%20Alshugaa">Ameen Alshugaa</a>, <a href="https://publications.waset.org/abstracts/search?q=Abul%20Mansur%20Masih"> Abul Mansur Masih</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper sheds light on the economic impacts of political uncertainty caused by the civil uprisings that swept the Arab World and have been collectively known as the Arab Spring. Measuring documented effects of political uncertainty on regional stock market indices, we examine the impact of the Arab Spring on the volatility of stock markets in eight countries in the Middle East and North Africa (MENA) region: Egypt, Lebanon, Jordon, United Arab Emirate, Qatar, Bahrain, Oman and Kuwait. This analysis also permits testing the existence of financial contagion among equity markets in the MENA region during the Arab Spring. To capture the time-varying and multi-horizon nature of the evidence of volatility and contagion in the eight MENA stock markets, we apply two robust methodologies on consecutive data from November 2008 to March 2014: MGARCH-DCC, Continuous Wavelet Transforms (CWT). Our results indicate two key findings. First, the discrepancies between volatile stock markets of countries directly impacted by the Arab Spring and countries that were not directly impacted indicate that international investors may still enjoy portfolio diversification and investment in MENA markets. Second, the lack of financial contagion during the Arab Spring suggests that there is little evidence of cointegration among MENA markets. Providing a general analysis of the economic situation and the investment climate in the MENA region during and after the Arab Spring, this study bear significant importance for policy makers, local and international investors, and market regulators. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Portfolio%20Diversification" title="Portfolio Diversification ">Portfolio Diversification </a>, <a href="https://publications.waset.org/abstracts/search?q=MENA%20Region" title=" MENA Region "> MENA Region </a>, <a href="https://publications.waset.org/abstracts/search?q=Stock%20Market%20Indices" title=" Stock Market Indices"> Stock Market Indices</a>, <a href="https://publications.waset.org/abstracts/search?q=MGARCH-DCC" title=" MGARCH-DCC"> MGARCH-DCC</a>, <a href="https://publications.waset.org/abstracts/search?q=Wavelet%20Analysis" title=" Wavelet Analysis"> Wavelet Analysis</a>, <a href="https://publications.waset.org/abstracts/search?q=CWT" title=" CWT"> CWT</a> </p> <a href="https://publications.waset.org/abstracts/50777/uncertainty-and-volatility-in-middle-east-and-north-africa-stock-market-during-the-arab-spring" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/50777.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">292</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2177</span> Does Stock Markets Asymmetric Information Affect Foreign Capital Flows?</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Farid%20Habibi%20Tanha">Farid Habibi Tanha</a>, <a href="https://publications.waset.org/abstracts/search?q=Mojtaba%20Jahanbazi"> Mojtaba Jahanbazi</a>, <a href="https://publications.waset.org/abstracts/search?q=Morteza%20Foroutan"> Morteza Foroutan</a>, <a href="https://publications.waset.org/abstracts/search?q=Rasidah%20Mohd%20Rashid"> Rasidah Mohd Rashid</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper depicts the effects of asymmetric information in determining capital inflows to be captured through stock market microstructure. The model can explain several stylized facts regarding the capital immobility. The first phase of the research involves in collecting and refining 150,000,000 daily data of 11 stock markets over a period of one decade in an effort to minimize the impact of survivorship bias. Three micro techniques were used to measure information asymmetries. The final phase analyzes the model through panel data approach. As a unique contribution, this research will provide valuable information regarding negative effects of information asymmetries in stock markets on attracting foreign investments. The results of this study can be directly considered by policy makers to monitor and control changes of capital flow in order to keep market conditions in a healthy manner, by preventing and managing possible shocks to avoid sudden reversals and market failures. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=asymmetric%20information" title="asymmetric information">asymmetric information</a>, <a href="https://publications.waset.org/abstracts/search?q=capital%20inflow" title=" capital inflow"> capital inflow</a>, <a href="https://publications.waset.org/abstracts/search?q=market%20microstructure" title=" market microstructure"> market microstructure</a>, <a href="https://publications.waset.org/abstracts/search?q=investment" title=" investment"> investment</a> </p> <a href="https://publications.waset.org/abstracts/28872/does-stock-markets-asymmetric-information-affect-foreign-capital-flows" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/28872.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">321</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2176</span> Impact of Regulation on Trading in Financial Derivatives in Europe</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=H.%20Florianov%C3%A1">H. Florianová</a>, <a href="https://publications.waset.org/abstracts/search?q=J.%20Ne%C5%A1leha"> J. Nešleha</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Financial derivatives are considered to be risky investment instruments which could possibly bring another financial crisis. As prevention, European Union and its member states have released new legal acts adjusting this area of law in recent years. There have been several cases in history of capital markets worldwide where it was shown that legislature may affect behavior of subjects on capital markets. In our paper we analyze main events on selected European stock exchanges in order to apply them on three chosen markets - Czech capital market represented by Prague Stock Exchange, German capital market represented by Deutsche Börse and Polish capital market represented by Warsaw Stock Exchange. We follow time series of development of the sum of listed derivatives on these three stock exchanges in order to evaluate popularity of those exchanges. Afterwards we compare newly listed derivatives in relation to the speed of development of these exchanges. We also make a comparison between trends in derivatives and shares development. We explain how a legal regulation may affect situation on capital markets. If the regulation is too strict, potential investors or traders are not willing to undertake it and move to other markets. On the other hand, if the regulation is too vague, trading scandals occur and the market is not reliable from the prospect of potential investors or issuers. We see that making the regulation stricter usually discourages subjects to stay on the market immediately although making the regulation vaguer to interest more subjects is usually much slower process. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=capital%20markets" title="capital markets">capital markets</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20derivatives" title=" financial derivatives"> financial derivatives</a>, <a href="https://publications.waset.org/abstracts/search?q=investors%27%20behavior" title=" investors' behavior"> investors' behavior</a>, <a href="https://publications.waset.org/abstracts/search?q=regulation" title=" regulation"> regulation</a> </p> <a href="https://publications.waset.org/abstracts/60375/impact-of-regulation-on-trading-in-financial-derivatives-in-europe" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/60375.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">269</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2175</span> Assessing the Influence of Chinese Stock Market on Indian Stock Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Somnath%20Mukhuti">Somnath Mukhuti</a>, <a href="https://publications.waset.org/abstracts/search?q=Prem%20Kumar%20Ghosh"> Prem Kumar Ghosh</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Background and significance of the study Indian stock market has undergone sudden changes after the current China crisis in terms of turnover, market capitalization, share prices, etc. The average returns on equity investment in both markets have more than three and half times after global financial crisis owing to the development of industrial activity, corporate sectors development, enhancement in global consumption, change of global financial association and fewer imports from developed countries. But the economic policies of both the economies are far different, that is to say, where Indian economy maintaining a conservative policy, Chinese economy maintaining an aggressive policy. Besides this, Chinese economy recently lowering its currency for increasing mysterious growth but Indian does not. But on August 24, 2015 Indian stock market and world stock markets were fall down due to the reason of Chinese stock market. Keeping in view of the above, this study seeks to examine the influence of Chinese stock on Indian stock market. Methodology This research work is based on daily time series data obtained from yahoo finance database between 2009 (April 1) to 2015 (September 28). This study is based on two important stock markets, that is, Indian stock market (Bombay Stock Exchange) and Chinese stock market (Shanghai Stock Exchange). In the course of analysis, the daily raw data were converted into natural logarithm for minimizing the problem of heteroskedasticity. While tackling the issue, correlation statistics, ADF and PP unit root test, bivariate cointegration test and causality test were used. Major findings Correlation statistics show that both stock markets are associated positively. Both ADF and PP unit root test results demonstrate that the time series data were not normal and were not stationary at level however stationary at 1st difference. The bivariate cointegration test results indicate that the Indian stock market was associated with Chinese stock market in the long-run. The Granger causality test illustrates there was a unidirectional causality between Indian stock market and Chinese stock market. Concluding statement The empirical results recommend that India’s stock market was not very much dependent on Chinese stock market because of Indian economic conservative policies. Nevertheless, Indian stock market might be sturdy if Indian economic policies are changed slightly and if increases the portfolio investment with Chinese economy. Indian economy might be a third largest economy in 2030 if India increases its portfolio investment and trade relations with both Chinese economy and US economy. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Indian%20stock%20market" title="Indian stock market">Indian stock market</a>, <a href="https://publications.waset.org/abstracts/search?q=China%20stock%20market" title=" China stock market"> China stock market</a>, <a href="https://publications.waset.org/abstracts/search?q=bivariate%20cointegration" title=" bivariate cointegration"> bivariate cointegration</a>, <a href="https://publications.waset.org/abstracts/search?q=causality%20test" title=" causality test"> causality test</a> </p> <a href="https://publications.waset.org/abstracts/39713/assessing-the-influence-of-chinese-stock-market-on-indian-stock-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/39713.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">378</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2174</span> Behavior of Iran Stock Exchange and Impacts of US Oil and Financial Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Erfan%20Memarian">Erfan Memarian</a>, <a href="https://publications.waset.org/abstracts/search?q=Seyyed%20Fazayel%20Alizadeh"> Seyyed Fazayel Alizadeh</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study aims to evaluate the impacts of the oil and financial markets of the United States on Iran stock exchange and to develop an ARDL model to predict the short and long-term relationship between these markets. In this regard, all 713 weekly data between 28 July 1999 and 20 March 2013 were analyzed by using Microfit4.0 and Eviews7 econometric softwares. The independent variable of the study is the “Price and Yield Index (TEDPIX)” of Tehran Stock Exchange and the independent variables include S & P 500 Index, the US three-month treasury bill rate and West Texas Intermediate oil spot price index. The results show that the West Texas Intermediate oil spot price and the S&P 500 indices have significant positive relationships with Iran's TEDPIX. Also, there exists a significant negative relationship between Iran's TEDPIX and the US three-month Treasury bill rate. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=TEDPIX%3B%20Tehran%20Stock%20Exchange%3B%20S%26P%20500%20index%3B%20USA%20three-month%20Treasury%20bill%20rate%3B%20West%20Texas%20Intermediate%20oil" title="TEDPIX; Tehran Stock Exchange; S&P 500 index; USA three-month Treasury bill rate; West Texas Intermediate oil">TEDPIX; Tehran Stock Exchange; S&P 500 index; USA three-month Treasury bill rate; West Texas Intermediate oil</a> </p> <a href="https://publications.waset.org/abstracts/8744/behavior-of-iran-stock-exchange-and-impacts-of-us-oil-and-financial-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/8744.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">324</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2173</span> Value Relevance of Accounting Information: Empirical Evidence from China</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ying%20Guo">Ying Guo</a>, <a href="https://publications.waset.org/abstracts/search?q=Miaochan%20Li"> Miaochan Li</a>, <a href="https://publications.waset.org/abstracts/search?q=David%20Yang"> David Yang</a>, <a href="https://publications.waset.org/abstracts/search?q=Xiao-Yan%20Li"> Xiao-Yan Li</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper examines the relevance of accounting information to stock prices at different periods using manufacturing companies listed in China’s Growth Enterprise Market (GEM). We find that both the average stock price at fiscal year-end and the average stock price one month after fiscal year-end are more relevant to the accounting information than the closing stock price four months after fiscal year-end. This implies that Chinese stock markets react before the public disclosure of accounting information, which may be due to information leak before official announcements. Our findings confirm that accounting information is relevant to stock prices for Chinese listed manufacturing companies, which is a critical question to answer for investors who have interest in Chinese companies. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=accounting%20information" title="accounting information">accounting information</a>, <a href="https://publications.waset.org/abstracts/search?q=response%20time" title=" response time"> response time</a>, <a href="https://publications.waset.org/abstracts/search?q=value%20relevance" title=" value relevance"> value relevance</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20price" title=" stock price"> stock price</a> </p> <a href="https://publications.waset.org/abstracts/165552/value-relevance-of-accounting-information-empirical-evidence-from-china" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/165552.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">96</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2172</span> Foreign Exchange Volatilities and Stock Prices: Evidence from London Stock Exchange</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mahdi%20Karazmodeh">Mahdi Karazmodeh</a>, <a href="https://publications.waset.org/abstracts/search?q=Pooyan%20Jafari"> Pooyan Jafari </a> </p> <p class="card-text"><strong>Abstract:</strong></p> One of the most interesting topics in finance is the relation between stock prices and exchange rates. During the past decades different stock markets in different countries have been the subject of study for researches. The volatilities of exchange rates and its effect on stock prices during the past 10 years have continued to be an attractive research topic. The subject of this study is one of the most important indices, FTSE 100. 20 firms with the highest market capitalization in 5 different industries are chosen. Firms are included in oil and gas, mining, pharmaceuticals, banking and food related industries. 5 different criteria have been introduced to evaluate the relationship between stock markets and exchange rates. Return of market portfolio, returns on broad index of Sterling are also introduced. The results state that not all firms are sensitive to changes in exchange rates. Furthermore, a Granger Causality test has been run to observe the route of changes between stock prices and foreign exchange rates. The results are consistent, to some level, with the previous studies. However, since the number of firms is not large, it is suggested that a larger number of firms being used to achieve the best results. However results showed that not all firms are affected by foreign exchange rates changes. After testing Granger Causality, this study found out that in some industries (oil and gas, pharmaceuticals), changes in foreign exchange rate will not cause any changes in stock prices (or vice versa), however, in banking sector the situation was different. This industry showed more reaction to these changes. The results are similar to the ones with Richards and Noel, where a variety of firms in different industries were evaluated. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=stock%20prices" title="stock prices">stock prices</a>, <a href="https://publications.waset.org/abstracts/search?q=foreign%20exchange%20rate" title=" foreign exchange rate"> foreign exchange rate</a>, <a href="https://publications.waset.org/abstracts/search?q=exchange%20rate%20exposure" title=" exchange rate exposure"> exchange rate exposure</a>, <a href="https://publications.waset.org/abstracts/search?q=Granger%20Causality" title=" Granger Causality"> Granger Causality</a> </p> <a href="https://publications.waset.org/abstracts/3610/foreign-exchange-volatilities-and-stock-prices-evidence-from-london-stock-exchange" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/3610.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">444</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2171</span> Stock Market Integration of Emerging Markets around the Global Financial Crisis: Trends and Explanatory Factors</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Najlae%20Bendou">Najlae Bendou</a>, <a href="https://publications.waset.org/abstracts/search?q=Jean-Jacques%20Lilti"> Jean-Jacques Lilti</a>, <a href="https://publications.waset.org/abstracts/search?q=Khalid%20Elbadraoui"> Khalid Elbadraoui</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, we examine stock market integration of emerging markets around the global financial turmoil of 2007-2008. Following Pukthuanthong and Roll (2009), we measure the integration of 46 emerging countries using the adjusted R-square from the regression of each country's daily index returns on global factors extracted from the covariance matrix computed using dollar-denominated daily index returns of 17 developed countries. Our sample surrounds the global financial crisis and ranges between 2000 and 2018. We analyze results using four cohorts of emerging countries: East Asia & Pacific and South Asia, Europe & Central Asia, Latin America & Caribbean, Middle East & Africa. We find that the level of integration of emerging countries increases at the commencement of the crisis and during the booming phase of the business cycles. It reaches a maximum point in the middle of the crisis and then tends to revert to its pre-crisis level. This pattern tends to be common among the four geographic zones investigated in this study. Finally, we investigate the determinants of stock market integration of emerging countries in our sample using panel regressions. Our results suggest that the degree of stock market integration of these countries should be put into perspective by some macro-economic factors, such as the size of the equity market, school enrollment rate, international liquidity level, stocks traded volume, tax revenue level, imports and exports volumes. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=correlations" title="correlations">correlations</a>, <a href="https://publications.waset.org/abstracts/search?q=determinants%20of%20integration" title=" determinants of integration"> determinants of integration</a>, <a href="https://publications.waset.org/abstracts/search?q=diversification" title=" diversification"> diversification</a>, <a href="https://publications.waset.org/abstracts/search?q=emerging%20markets" title=" emerging markets"> emerging markets</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20crisis" title=" financial crisis"> financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=integration" title=" integration"> integration</a>, <a href="https://publications.waset.org/abstracts/search?q=markets%20co-movement" title=" markets co-movement"> markets co-movement</a>, <a href="https://publications.waset.org/abstracts/search?q=panel%20regressions" title=" panel regressions"> panel regressions</a>, <a href="https://publications.waset.org/abstracts/search?q=r-square" title=" r-square"> r-square</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20markets" title=" stock markets"> stock markets</a> </p> <a href="https://publications.waset.org/abstracts/141988/stock-market-integration-of-emerging-markets-around-the-global-financial-crisis-trends-and-explanatory-factors" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/141988.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">183</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2170</span> Co-Movement between Financial Assets: An Empirical Study on Effects of the Depreciation of Yen on Asia Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Yih-Wenn%20Laih">Yih-Wenn Laih</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In recent times, the dependence and co-movement among international financial markets have become stronger than in the past, as evidenced by commentaries in the news media and the financial sections of newspapers. Studying the co-movement between returns in financial markets is an important issue for portfolio management and risk management. The realization of co-movement helps investors to identify the opportunities for international portfolio management in terms of asset allocation and pricing. Since the election of the new Prime Minister, Shinzo Abe, in November 2012, the yen has weakened against the US dollar from the 80 to the 120 level. The policies, known as “Abenomics,” are to encourage private investment through a more aggressive mix of monetary and fiscal policy. Given the close economic relations and competitions among Asia markets, it is interesting to discover the co-movement relations, affected by the depreciation of yen, between stock market of Japan and 5 major Asia stock markets, including China, Hong Kong, Korea, Singapore, and Taiwan. Specifically, we devote ourselves to measure the co-movement of stock markets between Japan and each one of the 5 Asia stock markets in terms of rank correlation coefficients. To compute the coefficients, return series of each stock market is first fitted by a skewed-t GARCH (generalized autoregressive conditional heteroscedasticity) model. Secondly, to measure the dependence structure between matched stock markets, we employ the symmetrized Joe-Clayton (SJC) copula to calculate the probability density function of paired skewed-t distributions. The joint probability density function is then utilized as the scoring scheme to optimize the sequence alignment by dynamic programming method. Finally, we compute the rank correlation coefficients (Kendall's  and Spearman's ) between matched stock markets based on their aligned sequences. We collect empirical data of 6 stock indexes from Taiwan Economic Journal. The data is sampled at a daily frequency covering the period from January 1, 2013 to July 31, 2015. The empirical distributions of returns indicate fatter tails than the normal distribution. Therefore, the skewed-t distribution and SJC copula are appropriate for characterizing the data. According to the computed Kendall’s τ, Korea has the strongest co-movement relation with Japan, followed by Taiwan, China, and Singapore; the weakest is Hong Kong. On the other hand, the Spearman’s ρ reveals that the strength of co-movement between markets with Japan in decreasing order are Korea, China, Taiwan, Singapore, and Hong Kong. We explore the effects of “Abenomics” on Asia stock markets by measuring the co-movement relation between Japan and five major Asia stock markets in terms of rank correlation coefficients. The matched markets are aligned by a hybrid method consisting of GARCH, copula and sequence alignment. Empirical experiments indicate that Korea has the strongest co-movement relation with Japan. The strength of China and Taiwan are better than Singapore. The Hong Kong market has the weakest co-movement relation with Japan. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=co-movement" title="co-movement">co-movement</a>, <a href="https://publications.waset.org/abstracts/search?q=depreciation%20of%20Yen" title=" depreciation of Yen"> depreciation of Yen</a>, <a href="https://publications.waset.org/abstracts/search?q=rank%20correlation" title=" rank correlation"> rank correlation</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20market" title=" stock market"> stock market</a> </p> <a href="https://publications.waset.org/abstracts/43411/co-movement-between-financial-assets-an-empirical-study-on-effects-of-the-depreciation-of-yen-on-asia-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/43411.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">231</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2169</span> An Application of Extreme Value Theory as a Risk Measurement Approach in Frontier Markets </h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Dany%20Ng%20Cheong%20Vee">Dany Ng Cheong Vee</a>, <a href="https://publications.waset.org/abstracts/search?q=Preethee%20Nunkoo%20Gonpot"> Preethee Nunkoo Gonpot</a>, <a href="https://publications.waset.org/abstracts/search?q=Noor%20Sookia"> Noor Sookia</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, we consider the application of Extreme Value Theory as a risk measurement tool. The Value at Risk, for a set of indices, from six Stock Exchanges of Frontier markets is calculated using the Peaks over Threshold method and the performance of the model index-wise is evaluated using coverage tests and loss functions. Our results show that 'fat-tailedness' alone of the data is not enough to justify the use of EVT as a VaR approach. The structure of the returns dynamics is also a determining factor. This approach works fine in markets which have had extremes occurring in the past thus making the model capable of coping with extremes coming up (Colombo, Tunisia and Zagreb Stock Exchanges). On the other hand, we find that indices with lower past than present volatility fail to adequately deal with future extremes (Mauritius and Kazakhstan). We also conclude that using EVT alone produces quite static VaR figures not reflecting the actual dynamics of the data. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=extreme%20value%20theory" title="extreme value theory">extreme value theory</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20crisis%202008" title=" financial crisis 2008"> financial crisis 2008</a>, <a href="https://publications.waset.org/abstracts/search?q=value%20at%20risk" title=" value at risk"> value at risk</a>, <a href="https://publications.waset.org/abstracts/search?q=frontier%20markets" title=" frontier markets"> frontier markets</a> </p> <a href="https://publications.waset.org/abstracts/6094/an-application-of-extreme-value-theory-as-a-risk-measurement-approach-in-frontier-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/6094.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">276</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2168</span> Mean and Volatility Spillover between US Stocks Market and Crude Oil Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Kamel%20Malik%20Bensafta">Kamel Malik Bensafta</a>, <a href="https://publications.waset.org/abstracts/search?q=Gervasio%20Bensafta"> Gervasio Bensafta</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The purpose of this paper is to investigate the relationship between oil prices and socks markets. The empirical analysis in this paper is conducted within the context of Multivariate GARCH models, using a transform version of the so-called BEKK parameterization. We show that mean and uncertainty of US market are transmitted to oil market and European market. We also identify an important transmission from WTI prices to Brent Prices. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=oil%20volatility" title="oil volatility">oil volatility</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20markets" title=" stock markets"> stock markets</a>, <a href="https://publications.waset.org/abstracts/search?q=MGARCH" title=" MGARCH"> MGARCH</a>, <a href="https://publications.waset.org/abstracts/search?q=transmission" title=" transmission"> transmission</a>, <a href="https://publications.waset.org/abstracts/search?q=structural%20break" title=" structural break"> structural break</a> </p> <a href="https://publications.waset.org/abstracts/10187/mean-and-volatility-spillover-between-us-stocks-market-and-crude-oil-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/10187.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">485</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2167</span> On the Impact of Oil Price Fluctuations on Stock Markets: A Multivariate Long-Memory GARCH Framework</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Manel%20Youssef">Manel Youssef</a>, <a href="https://publications.waset.org/abstracts/search?q=Lotfi%20Belkacem"> Lotfi Belkacem</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper employs multivariate long memory GARCH models to simultaneously estimate mean and conditional variance spillover effects between oil prices and different financial markets. Since different financial assets are traded based on these market sector returns, it’s important for financial market participants to understand the volatility transmission mechanism over time and across these series in order to make optimal portfolio allocation decisions. We examine weekly returns from January 1, 2003 to November 30, 2012 and find evidence of significant transmission of shocks and volatilities between oil prices and some of the examined financial markets. The findings support the idea of cross-market hedging and sharing of common information by investors. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=oil%20prices" title="oil prices">oil prices</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20indices%20returns" title=" stock indices returns"> stock indices returns</a>, <a href="https://publications.waset.org/abstracts/search?q=oil%20volatility" title=" oil volatility"> oil volatility</a>, <a href="https://publications.waset.org/abstracts/search?q=contagion" title=" contagion"> contagion</a>, <a href="https://publications.waset.org/abstracts/search?q=DCC-multivariate%20%28FI%29%20GARCH" title=" DCC-multivariate (FI) GARCH"> DCC-multivariate (FI) GARCH</a> </p> <a href="https://publications.waset.org/abstracts/20756/on-the-impact-of-oil-price-fluctuations-on-stock-markets-a-multivariate-long-memory-garch-framework" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/20756.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">533</span> </span> </div> </div> <ul class="pagination"> <li class="page-item disabled"><span class="page-link">&lsaquo;</span></li> <li class="page-item active"><span class="page-link">1</span></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=Asian%20stock%20markets&page=2">2</a></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=Asian%20stock%20markets&page=3">3</a></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=Asian%20stock%20markets&page=4">4</a></li> <li class="page-item"><a class="page-link" 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