Stock market comovements around the Global Financial Crisis: evidence from the UK, BRICS and MIST markets
Stock market comovements around the Global Financial Crisis: evidence from the UK, BRICS and MIST markets
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.
international portfolio diversification, cointegration analysis with breaks, BRICS, MIST, Asymmetric response
605-619
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa and Lau, Chi Keung Marco
(2016)
Stock market comovements around the Global Financial Crisis: evidence from the UK, BRICS and MIST markets.
Research in International Business and Finance, 37, .
(doi:10.1016/j.ribaf.2016.01.023).
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.
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Accepted/In Press date: 27 January 2016
e-pub ahead of print date: 2 February 2016
Keywords:
international portfolio diversification, cointegration analysis with breaks, BRICS, MIST, Asymmetric response
Identifiers
Local EPrints ID: 426314
URI: http://eprints.soton.ac.uk/id/eprint/426314
ISSN: 0275-5319
PURE UUID: a1d77188-208b-4447-951f-192749f2140e
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Date deposited: 22 Nov 2018 17:30
Last modified: 16 Mar 2024 04:39
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Author:
Chi Keung Marco Lau
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