Abstract
| 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 | |
| Publication status | Published - May 2016 |
| Externally published | Yes |
Fingerprint
Cite this
}
Stock Market Comovements Around the Global Financial Crisis : Evidence from the UK, BRICS and MIST Markets. / Yarovaya, Larisa; Lau, Marco Chi Keung.
In: Research in International Business and Finance, Vol. 37, 05.2016, p. 605-619.Research output: Contribution to journal › Article
TY - JOUR
T1 - Stock Market Comovements Around the Global Financial Crisis
T2 - Evidence from the UK, BRICS and MIST Markets
AU - Yarovaya, Larisa
AU - Lau, Marco Chi Keung
PY - 2016/5
Y1 - 2016/5
N2 - 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.
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.
KW - International Portfolio Diversification
KW - Cointegration analysis with breaks
KW - BRICS
KW - MIST
KW - Asymmetric response
UR - https://www.journals.elsevier.com/research-in-international-business-and-finance
U2 - 10.1016/j.ribaf.2016.01.023
DO - 10.1016/j.ribaf.2016.01.023
M3 - Article
VL - 37
SP - 605
EP - 619
JO - Research in International Business and Finance
JF - Research in International Business and Finance
SN - 0275-5319
ER -