Have a personal or library account? Click to login

Dynamic Interconnections and Contagion Effects Among Global Stock Markets: A Vecm Analysis

ECONOMICS
Volume 12 (2024): Issue 3 (December 2024)
By:
Open Access
|Aug 2024

References

  1. Babaei, H., Hübner, G., Muller, A., 2023. The effects of uncertainty on the dynamics of stock market interdependence: Evidence from the time-varying cointegration of the G7 stock markets. Journal of International Money and Finance, 139, 102961. https://doi.org/10.1016/j.jimonfin.2023.102961
    Search in Google ScholarBack to article
  2. Baker, S.R., Bloom, N., Davis, S.J., Kost, K., Sammon, M., Viratyosin, T., 2020. The unprecedented stock market reaction to COVID-19. The review of asset pricing studies 10, 742–758. https://doi.org/10.1093/rapstu/raaa008
    Search in Google ScholarBack to article
  3. Bashir, U., Zebende, G.F., Yu, Y., Hussain, M., Ali, A., Abbas, G., 2019. Differential market reactions to pre and post Brexit referendum. Physica A: Statistical Mechanics and its Applications, 515, 151–158. https://doi.org/10.1016/j.physa.2018.09.182
    Search in Google ScholarBack to article
  4. Cevik, E.I., Terzioglu, H.C., Kilic, Y., Bugan, M.F., Dibooglu, S., 2024. Interconnectedness and Systemic Risk: Evidence from Global Stock Markets. Research in International Business and Finance, 102282. https://doi.org/10.1016/j.ribaf.2024.102282
    Search in Google ScholarBack to article
  5. Cheikh, N.B., Zaied, Y.B., Saidi, S., Sellami, M., 2022. Global pandemic crisis and risk contagion in GCC stock markets. Journal of Economic Behavior & Organization, 202, 746–761. https://doi.org/10.1016/j.jebo.2022.08.036
    Search in Google ScholarBack to article
  6. David, S.A., Inácio Jr, C.M., Machado, J.A.T., 2021. The recovery of global stock markets indices after impacts due to pandemics. Research in International Business and Finance, 55, 101335. https://doi.org/10.1016/j.ribaf.2020.101335
    Search in Google ScholarBack to article
  7. Dickey, D.A., Fuller, W.A., 1979. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427–431. https://doi.org/10.2307/2286348
    Search in Google ScholarBack to article
  8. Gil-Alana, L.A., Infante, J., Martín-Valmayor, M.A., 2023. Persistence and long run co-movements across stock market prices. The Quarterly Review of Economics and Finance, 89, 347–357. https://doi.org/10.1016/j.qref.2022.10.001
    Search in Google ScholarBack to article
  9. Herranz, E., 2017. Unit root tests. WIREs Computational Stats 9, e1396. https://doi.org/10.1002/wics.1396
    Search in Google ScholarBack to article
  10. Huang, B.-N., Yang, C.-W., Hu, J.W.-S., 2000. Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle. International Review of Financial Analysis, 9, 281–297. https://doi.org/10.1016/S1057-5219(00)00031-4
    Search in Google ScholarBack to article
  11. Kenourgios, D., Dadinakis, E., Tsakalos, I., 2020. Brexit referendum and European stock markets: a sector analysis. Managerial Finance 46, 913–933. http://dx.doi.org/10.1108/MF-07-2019-0366
    Search in Google ScholarBack to article
  12. Khan, A.M., Khan, U., 2021. The stimulus of export and import performance on economic growth in Oman. Montenegrin Journal of Economics, 17, 71–86. http://dx.doi.org/10.14254/1800-5845/2021.17-3.6
    Search in Google ScholarBack to article
  13. Kılcı, E., 2019. Analysis of the relationship between economic freedom index and stock market indices; evidence from Turkey. MALİYE FİNANS YAZILARI. https://doi.org/10.33203/mfy.491636
    Search in Google ScholarBack to article
  14. Kwiatkowski, D., Phillips, P.C., Schmidt, P., Shin, Y., 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of econometrics, 54, 159–178. https://doi.org/10.1016/0304-4076(92)90104-Y
    Search in Google ScholarBack to article
  15. Liu, M., Choo, W.-C., Lee, C.-C., 2020. The Response of the Stock Market to the Announcement of Global Pandemic. Emerging Markets Finance and Trade, 56, 3562–3577. https://doi.org/10.1080/1540496X.2020.1850441
    Search in Google ScholarBack to article
  16. Maysami, R.C., Koh, T.S., 2000. A vector error correction model of the Singapore stock market. International Review of Economics & Finance, 9, 79–96. https://doi.org/10.1016/S1059-0560(99)00042-8
    Search in Google ScholarBack to article
  17. Mallieswari, R., Palanisamy, V., Senthilnathan, A. T., Gurumurthy, S., Selvakumar, J. J., & Pachiyappan, S. (2024). A Stochastic Method for Optimizing Portfolios Using a Combined Monte Carlo and Markowitz Model: Approach on Python. ECONOMICS. https://doi.org/10.2478/eoik-2024-0014
    Search in Google ScholarBack to article
  18. Mohti, W., Dionísio, A., Vieira, I., Ferreira, P., 2019. Regional and global integration of Asian stock markets. Research in International Business and Finance, 50, 357–368. https://doi.org/10.1016/j.ribaf.2019.06.003
    Search in Google ScholarBack to article
  19. Naceur, S.B., Ghazouani, S., 2007. Stock markets, banks, and economic growth: Empirical evidence from the MENA region. Research in International Business and Finance, 21, 297–315. https://doi.org/10.1016/j.ribaf.2006.05.002
    Search in Google ScholarBack to article
  20. Phillips, P.C., Perron, P., 1988. Testing for a unit root in time series regression. Biometrika, 75, 335–346. https://doi.org/10.2307/2336182
    Search in Google ScholarBack to article
  21. Poh, C.W., Tan, R., 1997. Performance of Johansen’s Cointegration Test. In: East Asian Economic Issues. WORLD SCIENTIFIC, pp. 402–414. https://doi.org/10.1142/9789812819376_0029
    Search in Google ScholarBack to article
  22. Shahrier, N.A., 2022. Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic. The North American Journal of Economics and Finance, 62, 101707. https://doi.org/10.1016/j.najef.2022.101707
    Search in Google ScholarBack to article
  23. Sugiarto, T., Madu, L., & Subagyo, A. (2018). International Application Model Short-Long Term Between GDP and Consumption: Case Study Indonesia. Economics, 6(1), 81-90. https://doi.org/10.2478/eoik-2018-0004
    Search in Google ScholarBack to article
  24. Stoupos, N., Kiohos, A., 2022. Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. Finance Research Letters, 46, 102423. https://doi.org/10.1016/j.frl.2021.102423
    Search in Google ScholarBack to article
  25. Tang, Y., Xiong, J.J., Luo, Y., Zhang, Y.-C., 2019. How Do the Global Stock Markets Influence One Another? Evidence from Finance Big Data and Granger Causality Directed Network. International Journal of Electronic Commerce, 23, 85–109. http://dx.doi.org/10.1080/10864415.2018.1512283
    Search in Google ScholarBack to article
  26. Yarovaya, L., Lau, M.C.K., 2016. Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets. Research in International Business and Finance, 37, 605–619. https://doi.org/10.1016/j.ribaf.2016.01.023
    Search in Google ScholarBack to article
DOI: https://doi.org/10.2478/eoik-2024-0039 | Journal eISSN: 2303-5013 | Journal ISSN: 2303-5005
Journal RSS Feed
Language: English
Page range: 55 - 73
Submitted on: May 15, 2024
Accepted on: Aug 28, 2024
Published on: Aug 21, 2024
Published by: Oikos Institut d.o.o.
In partnership with: Paradigm Publishing Services
Publication frequency: 3 times per year
Keywords:
Stock market indices,
Contagion effects,
Co-integration tests,
Vector Error Correction Model (VECM),
Granger causality
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Microeconomics,
Macroeconomics,
Public finance and fiscal theory

© 2024 Hamza Kadiri, Hassan Oukhouya, Khalid Belkhoutout, Khalid El Himdi, published by Oikos Institut d.o.o.
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Previous articleVolume 12 (2024): Issue 3 (December 2024)Next article