Co-movement in Stock Prices in Emerging Economies: The Case of the Caricom Region

The Grand Anse Declaration of 1989 recognised the need for financial integration within the emerging economies that comprise the CARICOM region, as a way of furthering the wider process of economic integration and, indeed, economic development in that region. Using co-movement as a measure of financial integration, this paper investigates the co-movement in stock prices among the Barbados, the Jamaica and the Trinidad and Tobago Stock Exchanges, the three major exchanges within the CARICOM region. It also examines how integrated these exchanges are with the New York Stock Exchange. The GARCH-Copula methodology and, to a lesser extent, estimated correlation coefficients, are used to attain this objective. There appears to be co-movement in stock prices and returns within the CARICOM stock markets and significant dependence structures between the returns of the three CARICOM stock markets. However, there is considerably less evidence of integration between the CARICOM markets and the New York Stock Exchange.     

COMMON STOCHASTIC TRENDS AMONG THE CYPRUS STOCK EXCHANGE AND THE ASE,LSE AND NYSE

Common stochastic trends among major international stock price indices have been an intensively analysed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange, and three mature equity markets, namely the Athens Stock Exchange (ASE), the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE).     

Market efficiency and international diversification: Evidence from India

This study evaluates one of the most important emerging markets, India (Bombay Stock Exchange and Indian National Exchange), for its efficiency and for its potential to offer diversification benefits to international investors. Market-wide tests include; 1) contemporaneous relationship, 2) Granger type causality and 3) day-of-the-week effect. Tests on individual Indian stocks include: 1) panel estimation of Granger causality, 2) stock-by-stock estimation of Granger causality and 3) runs test. In sum, Indian markets are well integrated with the international equity markets, a characteristic that lowers the international diversification benefits. While day-of-the-week effect is an international spillover, it may be possible to predict individual Indian stocks' returns through causality with international equity markets and through momentum trading techniques.     

CHOICE,CONFUSION AND COMPETITION IN THE MARKET FOR MARKETS: AIMING FOR AIM IN THREE JUNIOR ASIAN STOCK EXCHANGES

Abstract. A review of literature on the theory of stock exchange competition provides the basis for a template model of a successful stock exchange. Three junior stock exchanges in East Asia which stated their ambitions to become a regional exchange for emerging firms are compared with the template and with the AIM section of the London Stock Exchange; the Tokyo Stock Exchange Mothers, Hong Kong Stock Exchange Growth Enterprise Market and the Singapore Exchange Catalist. Our analysis indicates that the AIM and Catalist markets have the closest fit to our template model, while the GEM and Mothers show material departures from it.     

风险投资参与对中资企业首次公开发行折价的影响——不同证券市场的比较

本文考察中资企业在不同市场上市时风险投资的参与是否影响首次公开发行折价。研究发现,在大陆中小板和香港主板市场上市的中资企业中,有风险投资参与的企业IPO折价显著高于无风险投资参与的企业,支持声誉效应假说,即风险投资机构以IPO折价来提早退出投资项目,以此来建立自己的声誉,吸引更多的资金流入。在美国市场风险投资的参与对IPO折价则没有显著影响。本文进一步研究发现从业时间短的风险投资机构,其参与投资的公司上市时的历史也较短;风险投资进入企业的时间越长,IPO折价水平也越高。这两个检验都验证了风险投资机构通过IPO折价提早退出投资项目,进一步支持了声誉效应假说。     

A wavelet analysis of capital markets’ integration in Latin America

The continuous wavelet transform analysis may provide a rich and flexible framework for the analysis of time series which exhibit less stable statistical properties, such as the ones describing the dynamic trajectory of capital markets. In contrast to the Fourier analysis, wavelet transform preserves information on both time and frequency. We provide a summary of the most important features of this framework. By involving the concept of coherence as well as its partial and multiple forms, we analyse the connections between Santiago Stock Exchange, Mexican Stock Exchange and BM&FBOVESPA São Paulo Stock Exchange, for a time span which covers the 23 September 2003–12 March 2014 period. We highlight the existence of several significant forces of regional integration and of a short- to medium-run synchronization process between these markets. We conclude that deeper structural and institutional reforms are required in order to enhance the sustainable development and more profound integration of these markets.     

Microstructure and asset pricing: An insight on African frontier stock markets

This article investigates the impact of microstructure factors on asset pricing in some African stock markets. We use data on stocks listed on the Johannesburg Stock Exchange, the “Bourse Régionale des Valeurs Mobilières,” and the Nigeria Stock Exchange, and we consider international portfolio management from 2000 to 2014. Generalized least square and fixed effect are estimation methods used to highlight the effect of microstructure variables on expected return. At the same time, panel smooth transition regression (PSTR) modeling is considered to identify the thresholds in this effect. The results show that liquidity and to a lesser extent the number of trading days are the most common significant microstructure variables for all the studied markets. However, other variables’ effects on the return are specific to the considered stock markets. Furthermore, the PSTR estimator reveals that the impact of indicated factors on asset pricing is not linear because it produces a double threshold between return and microstructure.     

中国沪深股市收益率和波动性的实证分析

沪市和深市股票收益率和波动性之闻具有相互作用和相互影响,存在股价变化和走势之间的互动作用和示范效应,我们发现两市收益率序列之间具有长期协整关系,这说明它们存在类似的长期趋势成分;它们的短期误差修正系数存在一定的差异,这说明它们具有相异的短期波动模式;我们利用 GARCH 模型等非对称性方法发现两市之间存在显著的波动"溢出效应"和"杠杆效应",这说明两市资金的流动性约束较低,投资主体的相关性较强,两市收益率和波动性之间具有一定程度的整合性。     

Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets

Recent developments in time series analysis allow proper modelling of nonlinearities in economic and financial variables. A growing body of research was dedicated to investigation of potential nonlinearities in conditional mean of many economic and financial variables, mainly concentrating in developed economies. However, nonlinearities in financial variables in developing economies have not been fully examined yet. In this article we investigate potential nonlinearity and cyclical behaviour of stock returns in Europe's two largest emerging stock markets, mainly in the Greek and Turkish stock markets. Specifically, we use STAR family models, which allow to model nonlinearities in the conditional mean, for modelling monthly returns on stock exchange indices of the Athens Stock Exchange and Istanbul Stock Exchange. Although we find no nonlinearity in conditional variance, we do find strong evidence in favour of nonlinear adjustment of stock returns. It is found that allowing for nonlinearity in conditional mean results in a superior model and provides good out-of-sample forecasts, which contradicts to efficient market hypothesis.     

沪深股市波动的多重分形结构分析

利用多重分形消除趋势分析方法,以1991年5月3日至2006年4月20日的上证综指和深成指数日收盘价的收益率序列为样本,研究了我国沪深股市的波动特征。结果表明我国沪深股市均具有多重分形结构,小幅波动具有长程相关性,大幅波动具有反持续性,且上证综指的波动程度比深成指数收益率的波动程度强烈。     

动量和反转投资策略在我国股市中的实证分析

本文采用沪深两市1995年前上市的股票作为样本,发现我国股市中也存在明显的动量和反转盈利,且两种效应的强弱与大盘走势相关,当市场为牛市特征时,动量效应明显强于反转效应;当市场为熊市特征时,则反之.经典的CAPM模型无法解释动量和反转盈利的来源,检验表明投资者对不同类型信息的不同反应方式,可以很好解释我国股市中的动量和反转盈利,利用上述检验结果还可以解释我国股市中许多有趣的特征.     

Early warning models against bankruptcy risk for Central European and Latin American enterprises

This article is devoted to the issue of forecasting the bankruptcy risk of enterprises in Latin America and Central Europe. The author has used statistical and soft computing methods to program the prediction models. It compares the effectiveness of twelve different early warning models for forecasting the bankruptcy risk of companies. In the research conducted, the author used data on 185 companies listed on the Warsaw Stock Exchange and 60 companies listed on Stock Exchange markets in Mexico, Argentina, Peru, Brazil and Chile. This population of firms was divided into learning and testing setdata. Each company was analyzed using the absolute values of 14 financial ratios and the dynamics of change of these ratios.The author's developed models are characterized by high efficiency. These studies are one of the world's first attempts at comparing differences in forecasting this phenomenon between the regions of Latin America and Central Europe. Additionally, a comparison of the effectiveness of discriminant analysis, decisional trees, and artificial neural networks models was made.     

Volatility forecasting using related markets’ information for the Tokyo stock exchange

Due to lack of information, volatility cannot be estimated via a high-frequency approach when markets are non-trading. In this paper, we focus on volatility forecasting for the Tokyo Stock Exchange (TSE) using high-frequency data of related assets traded in international markets when TSE is closed. We use the heterogenous autoregressive model to identify an optimal approach of this additional information for the ten largest TSE-listed stocks, TOPIX and Nikkei 225. The usefulness of harnessing global and neighbour market information in forecasting the TSE market volatility is confirmed through in-depth empirical analysis. Our findings have important implications for investors and policy makers.     

Order imbalances explain 90% of returns of Nikkei 225 futures

This article introduces a new kind of order imbalance – limit order imbalance – in addition to the conventional order imbalance to explain the intraday stock returns. The conventional order imbalance together with our new order imbalance are shown to explain more than 90% of intraday returns of the Nikkei 225 Futures in the Osaka Stock Exchange in Japan. It is also found that a scaling by spreads substantially increases the explanatory power in thinner markets.     

Herding in the Italian Stock Market: A Case of Behavioral Finance

This article studies the herding effect in the capital markets. Using data from the Italian Stock Exchange, the authors test for the presence of herding as described in Christie and Huang [1995], Chang, Cheng, and Khorana [2000], and Hwang and Salmon [2001]. The tests support Christie and Huang's conclusions that herding is present in extreme market conditions.     

中国A股与B股的市场分割性检验

本文以布莱克版CAPM(资本资产定价模型 )作为理论模型 ,修正国外先进的市场分割检验模式 ,运用较复杂的计量经济估计方法对我国A、B股市场的一体化 (或分割性 )进行实证研究。实证结果表明 ,中国A、B股市场在很大程度上是一体化的。     

OPTIMAL WEIGHT FOR REALIZED VARIANCE BASED ON INTERMITTENT HIGH‐FREQUENCY DATA*

Japanese stock markets have two types of breaks, overnight and lunch, during which no trading occurs, causing an inevitable increased variance in estimating daily volatility via a naive realized variance (RV). In order to perform a more stabilized estimation, we modify Hansen and Lunde's weighting technique. As an empirical study, we estimate optimal weights by using a particular approach for Japanese stock data listed on the Tokyo Stock Exchange, and then compare the forecast performance of weighted and non‐weighted RV through an autoregressive fractionally integrated moving average model. The empirical result indicates that the appropriate use of the optimally weighted RV can lead to remarkably smaller estimation variance compared with the naive RV, in many series. Therefore a more accurate forecasting of daily volatility data is obtained. Finally, we perform a Monte Carlo simulation to support the empirical result.     

Are exchange rates interdependent? Evidence using wavelet analysis

We examine the co-movement in daily returns of USD–INR, EUR–INR, GBP–INR, and JPY–INR currency pair futures contracts traded on the National Stock Exchange of India (NSE) using the wavelet cohesion approach. This study contributes to the literature by examining the scantly studied area of co-movement in exchange rates and using the wavelet approach, which allows us to analyse time–frequency-wise co-movement of the time series. The empirical results indicate that the currency futures markets are nearly perfectly integrated in the long run (monthly, quarterly and biannual scales) offering little potential gains from international portfolio diversification. The discrepancies between currency futures markets are small and almost fade away within 3–6 months. Moreover, international currency diversification might offer relatively higher potential gains at intraweek, weekly, and fortnightly time horizons owing to lower correlations among the currencies under consideration. Finally, our multiple-wavelet correlation and cross-correlation analysis shows that GBP acts as a potential leader/follower across scales. The results of our analysis indicate the dynamic pattern of co-movement among the major currency futures contracts, which provides several implications for portfolio managers and international investors participating in the Indian market.     

我国碳排放权交易市场与股票市场的关联:基于非线性Granger因果检验与非平衡面板模型的实证分析

碳排放权交易市场作为金融市场的一部分,与股票市场有着一定的联动性.我国在2017年底开启全国性碳排放交易市场,其关联必将引起越来越多的关注.本文一方面通过线性Granger因果检验与非线性Granger因果检验综合检验各碳交易试点地区的碳收益率与股票市场整体的相关性,研究结果发现只有广东、天津的碳收益与深证综指和湖北与上证综指之间存在单向的Granger因果关系,而北京、上海、广东与上证综指、深证综指存在双向或单向的非线性Granger因果关系;另一方面,通过对各碳排放权交易试点地区的价格、收益率与试点区域股票市场的相关性进行非平衡面板数据的实证分析,发现碳排放权交易试点地区与其区域股市在长期、短期上都存在显著的关联性.     

Market microstructure and security pricing in the warsaw market

The speed with which information is impounded in security prices is evaluated with respect to several market microstructure variables in the context of a dynamic, rapidly-changing market, the Warsaw Stock Exchange. The dynamic nature of this market allows for predictions concerning pricing efficiency in more mature markets as they merge or expand their number of offerings. The results indicate that the performance of the Warsaw Exchange compares favorably with that of the average security traded on the NASDAQ. To the extent that recent mergers of several exchanges have had the effect of engaging more market participants and enhancing trading opportunities through expanded hours, trading efficiency has been positively affected. There is also weaker support for the view that consolidating securities on fewer exchanges will improve informational efficiency as well.