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Stock market comovements around the Global Financial Crisis: Evidence from the UK,BRICS and MIST markets
Affiliation:1. Vienna University of Economics and Business, Department of Economics, Institute for International Economics, Welthandelsplatz 1, 1020 Vienna, Austria;2. University of Portsmouth, Economics and Finance Subject Group, Portsmouth Business School, Portland Street, Portsmouth PO1 3DE, United Kingdom;3. Johannes Kepler University, Department of Economics, Altenberger Strasse 69, 4040 Linz-Auhof, Austria;1. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;2. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;3. USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon;4. Montpellier Research in Management, Montpellier Business School, Montpellier, France;1. Department of Shipping, Trade and Transport, School of Business Studies, University of the Aegean, 2A Korai str., 82100 Chios, Greece;2. Audencia Nantes School of Management, 8, Route de la Joneliere, BP 31222, 44312 Nantes, France;3. Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092, Tunis Cedex, Tunisia
Abstract:
This paper analyses stock market co-movements around recent crises and explores the international portfolio diversification benefits available for UK investors holding a portfolio in the BRICS and MIST emerging markets. The application of conventional and regime-switch cointegration techniques suggests an absence of diversification benefits. Further evidence from application of a multivariate time-varying asymmetric model (i.e. AG-DCC) suggests that conditional correlation among the stock markets exhibits higher dependency when it is driven by negative shocks to the market. The asymmetric causality test provides supporting evidence of the decoupling hypothesis. The results indicate that the Chinese stock market is the most attractive option for the UK investor.
Keywords:International portfolio diversification  Cointegration analysis with breaks  BRICS  MIST  Asymmetric response
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