Stock Market Comovements Around the Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets

Larisa Yarovaya; Marco Chi Keung Lau

doi:10.1016/j.ribaf.2016.01.023

Stock Market Comovements Around the Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets

Larisa Yarovaya, Marco Chi Keung Lau

Research output: Contribution to journal › Article › peer-review

32 Citations (Scopus)

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.

Original language	English
Pages (from-to)	605-619
Number of pages	15
Journal	Research in International Business and Finance
Volume	37
Early online date	2 Feb 2016
DOIs	https://doi.org/10.1016/j.ribaf.2016.01.023
Publication status	Published - May 2016
Externally published	Yes

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title = "Stock Market Comovements Around the Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets",

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",

author = "Larisa Yarovaya and Lau, {Marco Chi Keung}",

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AU - Lau, Marco Chi Keung

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AB - 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.

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KW - Cointegration analysis with breaks

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KW - MIST

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