Financial cointegration and spillover effect of global financial crisis
A study of emerging Asian financial markets
Bibliographic Data
| ID | 15067868 |
|---|---|
| Authors | Saqib Gulzar (0000-0003-2133-9639, COMSATS University Islamabad, corresponding author), Ghulam Mujtaba (0000-0002-7317-4357, COMSATS University Islamabad), Ghulam Mujtaba Kayani (COMSATS University Islamabad), Hui Xiaofeng (Harbin Institute of Technology), Usman Ayub (COMSATS University Islamabad), Amir Rafique (COMSATS University Islamabad) |
| Year | 2019 |
| Volume | 32 |
| Issue | 1 |
| Pages | 187-218 |
| Publication date | 2019-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2018.1550001 |
| OpenAlex | W2915221156 |
| Language | EN |
| Citations received | 6 |
| References cited | 77 |
This paper examines the financial cointegration and spillover effect of the global financial crisis to emerging Asian financial markets (India, China, Pakistan, Malaysia, Russia and Korea). The analysis used daily stock returns, divided into three time periods: pre-, during and post-crisis from 1 July 2005 to 30 June 2015. We applied the Johansen and Juselius cointegration test, the vector error correction model (V.E.C.M.) and the G.A.R.C.H.-B.E.K.K. model for an examination of integration and conditional volatility. We find long-term cointegration between the U.S. market and emerging stock markets, and the level of cointegration increased after the crisis period. The V.E.C.M. and impulse response function reveal that a shock in the U.S. financial market has a short-term impact on the returns of emerging financial markets. Past shocks and volatility have more effect on the selected stock markets during all time periods. The Korea Composite Stock Price Index and the Bombay stock exchange (B.S.E.) are the only stock markets that have cross-market news and volatility spillover effects during the crisis period. After the crisis period, news effects are positive on the B.S.E. and the Russian Trading System and have a negative effecton the Kuala Lumpur Stock Exchange and the Shanghai Stock Exchange
Business · Cointegration · Econometrics · Economics · Financial crisis · Financial market · Financial system · Macroeconomics · Spillover effect · Global Financial Crisis and Policies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance
Evidence of effective financial crisis management from South Korea
Dynamic behaviour of optimal portfolio with stochastic volatility
Structural change in the correlation, return and volatility spillovers
Volatility analysis based on GARCH-type models
Quantitative measurement and analysis of FinTech risk in China
Multiscale Interdependence Between Consumer and Producer Prices in Emerging Eastern European Countries
Generalized impulse response analysis in linear multivariate models
Multivariate Simultaneous Generalized ARCH
Impulse response analysis in nonlinear multivariate models
A Simplified Model for Portfolio Analysis
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Macroeconomics and Reality
Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dynamic Conditional Correlation
Systematic Elements in the Linkage of National Stock Market Indices
| Unique citing works | 6 |
|---|---|
| Citations per year | 1 |
| Citation span | 2020 - 2023 (4) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 5 |