Volatility transmission in global financial markets

This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jump activity is only important within the equity markets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.     

The interrelatedness of global equity markets, money markets, and foreign exchange markets

This article investigates different aspects of global financial markets, specifically relationships among equity markets, money markets, and foreign exchange markets across countries. To represent the three major financial markets of the world, Japan is the proxy for Asia, Germany is the proxy for Europe, and the United States is the proxy for North America. Strong evidence exists that international money markets and international equity markets are becoming increasingly integrated over time. This article incorporates foreign exchange values as partial determinants of equity returns and money market returns and investigates the interactions among these three asset markets from a global perspective.     

International accounting harmonization and global equity markets

We show harmonizing domestic GAAP with foreign GAAP can have deleterious effects on security market performance, specifically price informativeness and trading volume. Harmonization effects result from interaction between two forces. Direct informational effects depend on whether harmonization increases or decreases GAAP precision. Expertise acquisition effects depend on benefits and costs to foreign investors of becoming domestic GAAP experts. These countervailing forces can result in harmonization to more (less) precise GAAP increasing (decreasing) or, unexpectedly, decreasing (increasing) price informativeness and trading volume. We also observe this for a cost of capital metric. Thus, harmonization is not necessarily a desirable singular goal.     

后危机时代的新机遇和新挑战

金融危机对欧美经济的巨大冲击,使这些国家金融业务的发展空间也随之收缩,欧美大型银行纷纷将目光转向以金砖四国为代表的新兴市场。     

Detecting signed spillovers in global financial markets: A Markov-switching approach

We examine the dynamics of the signed-spillover across financial markets using historical decomposition approach. By incorporating Markov-switching framework into the VAR model, this paper assesses the dynamics of signed-spillover during turbulent periods and period of tranquillity. Additionally, this approach enables us to detect the source and direction of the spillover and identify its signs. We show that this approach outperforms the classical single-regime spillover estimation by distinguishing shocks under different economic conditions. Specifically, we assess spillovers in global financial markets using realised variance between January 1999 and December 2017. Our empirical findings clearly indicate that spillovers are intense during period of turbulence and moderate during periods of tranquillity.     

Time-varying pattern causality inference in global stock markets

Causality analysis can reveal the intrinsic interactions in financial markets. Though Granger causality test and transfer entropy method have successfully determined positive and negative causal interactions, they fail to reveal a more complex causal interaction, dark causality. Moreover, the causal relationship between variables may be time-varying. Thus, in this work, we are dedicated to determining the nature of causal interaction and explore the time-varying causality in global stock markets. To achieve this goal, pattern causality (PC) theory, cross-convergent mapping (CCM) theory, the sliding window method and complex networks are applied. By them, three causal interactions with different strength are revealed in global stock markets, and the causal strength is time-varying in different periods both in simulated systems and financial markets. While the dominant causal interaction is stable except for some stock pairs in frontier and emerging markets. In total, we determine the positive dominant causality in global stock markets; that is, the overall consistent trend among stocks can be explored. Additionally, we discover some exceptions that show negative dominant causality, where the reverse trend can be revealed among them; moreover, their dominant causality is time-varying. These uncertainties should receive great attention from investors and government managers.     

Emerging markets’ spreads and global financial conditions

In this article, we analyze how much of the reduction in emerging markets’ spreads can be ascribed to specific factors—linked to the improvement in a given country's fundamentals, rather than to common factors—linked to global liquidity conditions and agents’ risk aversion. By means of factor analysis, we find that a single common factor is able to explain a large part of the co-variation in emerging market economies’ (EMEs) spreads observed in the last 4 years; in turn, this common factor can be traced back mainly to financial market volatility. Due to the particularly benign global financial conditions of recent years, spreads seem to have declined to below the levels warranted by improved fundamentals. As a consequence, EMEs do remain vulnerable to sudden shifts in financial market conditions.     

Sources of risk and expected returns in global equity markets

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models provide an improved explanation of the equity returns.     

Modelling return and conditional volatility exposures in global stock markets

This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It provides evidence that conditional stock market return volatilities have a contemporaneous association with global return volatilities. While all the countries included in the study exhibited a significant and positive relationship to global volatility, emerging market volatility exposures were considerably higher than developed market exposures. JEL Classification G12     

Colonising the future: Mega-trade deals,education services and global higher education markets

This paper explores a less well-examined aspect of time in relation to higher education and the academy; that of ‘time-future’. The paper takes the case of education trade strategies being pursued by governments and allied agencies, and explores the multiple ways in which time-future is mobilised. Drawing on trade documents, government statistics, and related reports, the paper points to two time-future dynamics at work. The first dynamic focuses on the ways in which the future is imagined by strategic actors, and legitimated through creating equivalences between education trade, economic growth and prosperity. The second dynamic explores the ways in which the current round of global and regional trade negotiations colonise the future as a political resource. I reflect on how time-future is a key resource and modality of power to be claimed and cognitively shaped so as to reorient actor’s expectations towards the rhythms and demands of capitalism, and away from the temporal orders of the academy. However, efforts to commodify higher education, on the one hand, and colonise higher education futures exclusively to serve the interests of economic investors, on the other, continues to be contested. As a result, a new temporal order is yet to become common-sense, and an existing order is yet to die.     

Local and global price memory of international stock markets

The prime focus of this paper is on the impact of the world’s leading markets (USA, Japan, Hong Kong, UK, France, Switzerland and Germany) on the returns of the small Nordic markets (Denmark, Finland, Norway and Sweden). The order and the degree of processing both ‘local’ and ‘global’ information are uncovered using a combination of cointegration analysis and structural VAR modeling utilizing daily index returns. The results indicate that the US price changes, conditioned on the same day changes on the other markets, have an impact on all other markets during the following day, including the US market itself. Price changes on the Asian–Pacific markets are completely absorbed in price changes in Europe and do not have any direct effect on US prices. Finally, a cointegration relationship between Sweden and Norway is found, which affects also Finland.     

Contagion as a domino effect in global stock markets

This paper shows that stock market contagion occurs as a domino effect, where confined local crashes evolve into more widespread crashes. Using a novel framework based on ordered logit regressions we model the occurrence of local, regional and global crashes as a function of their past occurrences and financial variables. We find significant evidence that global crashes do not occur abruptly but are preceded by local and regional crashes. Besides this form of contagion, interdependence shows up by the effect of interest rates, bond returns and stock market volatility on crash probabilities. When it comes to forecasting global crashes, our model outperforms a binomial model for global crashes only.     

U.S. investors and global equity markets

This study examines international equity flows of U.S. residents to emerging markets in Latin America and Asia and to developed markets in Europe, Canada, and Japan. The major issues addressed are (1) appropriate means of measuring relationships between returns and flows, (2) role of volatility in these relationships, and (3) effects of the Asian crisis. Basic findings include: (1) the information contribution argument is stronger than the feedback trading argument (flows affect returns more than past returns affect flows), (2) volatility of flows and of returns are not of major importance, (3) the Asian crisis effects are important and strongest for Asia followed by developed markets and by Latin America, and (4) regional measures and U.S. returns play significant roles in international equity flows to many countries.     

国际债券二级市场监管框架比较研究

在债券二级市场中,政府监管和行业自律监管缺一不可,却又扮演着不同的角色。文章从政府监管和行业自律监管两个角度,对美、英、日、印等国家债券二级市场的监管框架进行了总结分析,为国内债券市场的监管提供了借鉴。     

Developments of global capital markets and implications to China

Great changes are happening to global capital markets. Those changes will have extensive influences to China. Therefore, China needs to understand their implications and to reflect those trends in setting a framework of policy to deal with this environment.     

The new multinationals: Developing-country firms in international markets

Driven by a variety of factors, including deficiencies in domestic demand, developing-country firms are increasing their direct foreign investment in, and sales of technology to, other developing countries. The recipients usually gain various benefits that they would not in similar deals with OECD multinationals. But any increase in such international flows depends heavily on the strategic choices of OECD corporations (ie which markets they move out of) and on the pattern of government incentives and controls in the countries of origin and destination.     

全球各地创业板发展之鉴

创业板市场,也叫二板市场,或第二交易系统等,是交易所主板市场以外的证券市场。主要服务于新兴产业,在促进科技创新和技术进步方面起到了至关重要的作用。     

把握转型新机遇

在付出环境污染、价格扭曲、分配恶化等巨大代价后,却既没有在国际社会上获得应有的道义支持,也没有在国际分工中获得应有的经济收益。我国经济只有转型才能建立真正可持续的增长模式。     

The impact of the Russian-Ukrainian war on global financial markets

On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.