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

18 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.

Language	English
Pages	605-619
Number of pages	15
Journal	Research in International Business and Finance
Volume	37
Early online date	2 Feb 2016
DOIs	10.1016/j.ribaf.2016.01.023
Publication status	Published - May 2016
Externally published	Yes

Fingerprint

Market comovement

Stock market

Global financial crisis

Investors

Diversification benefits

Time-varying

Conditional correlation

Comovement

Chinese stock market

Regime switches

Causality test

Decoupling

International portfolio diversification

Emerging markets

Cointegration

Cite this

Yarovaya, L., & Lau, M. C. K. (2016). Stock Market Comovements Around the Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets. Research in International Business and Finance, 37, 605-619. https://doi.org/10.1016/j.ribaf.2016.01.023

Yarovaya, Larisa ; Lau, Marco Chi Keung. / Stock Market Comovements Around the Global Financial Crisis : Evidence from the UK, BRICS and MIST Markets. In: Research in International Business and Finance. 2016 ; Vol. 37. pp. 605-619.

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Yarovaya, L & Lau, MCK 2016, 'Stock Market Comovements Around the Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets', Research in International Business and Finance, vol. 37, pp. 605-619. https://doi.org/10.1016/j.ribaf.2016.01.023

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

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