Skip to main content

Research Repository

Advanced Search

Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods

Mollah, Sabur; Hou, Ai Jun; Mobarek, Asma; Muradoglu, Gulnur

Authors

Sabur Mollah

Ai Jun Hou

Asma Mobarek

Gulnur Muradoglu



Abstract

In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for the period from 1999 to 2011. We then examine the transmission mechanisms by regressing the quarterly economic, financial, and behavioral variables on the quarterly DCC–MIDAS correlations. We find that country specific factors are crisis contingent transmission mechanisms for the co-movements of emerging country pairs and mixed pairs of advanced and emerging countries during the global financial crisis. However, we do not observe wake-up calls in the transmission of the crisis among advanced country pairs. The classification of the transmission mechanisms for crisis and non-crisis periods with the different country pairs has important implications for crisis management as well as for portfolio investment strategies. Thus, our findings contribute to the discussion on the role and effectiveness of the international financial architecture.

Citation

Mollah, S., Hou, A. J., Mobarek, A., & Muradoglu, G. (2016). Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. Journal of Financial Stability, 24, 1-11. https://doi.org/10.1016/j.jfs.2016.03.003

Acceptance Date Mar 11, 2016
Online Publication Date Mar 19, 2016
Publication Date Jun 1, 2016
Deposit Date Nov 22, 2016
Publicly Available Date Nov 22, 2016
Journal Journal of financial stability
Print ISSN 1572-3089
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 24
Pages 1-11
DOI https://doi.org/10.1016/j.jfs.2016.03.003
Keywords Stock market co-movement, Advanced and emerging markets, Crisis, Transmission mechanisms
Public URL https://hull-repository.worktribe.com/output/445441
Publisher URL http://www.sciencedirect.com/science/article/pii/S1572308916300031
Copyright Statement © 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Additional Information Authors' accepted version of article published in: Journal of financial stability, 2016, v.24

Files





You might also like



Downloadable Citations