Estimation of Correlation between Capital Markets. Analysing the case of Central and Eastern European markets in the context of the COVID-19 pandemic

Alina Zaharia

back

References:

[1] Al-Awadhi,  Abdulah M., Khaled Al-Saifi, Ahmad Al-Awadhi and Salah Alhamadi.  2020. “ Death and Contagious Infectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns.” Journal of Behavioral and Experimental Finance 27, pp  100326. https://doi.org/10.1016/j.jbef.2020.100326.

[2] Aslanidis, Nektarios and Christos S Savva. 2011. “Are there still portfolio diversification benefits in Eastern Europe? Aggregate versus stock market data.” The Manchester School, 79(6), pp 1323-1352. https://doi.org/10.1111/j.1467-9957.2011.02229.x.

[3] Baker, Scott R., Nicholas Bloom, Steven J Davis, Kyle J. Kost, Marco C. Sammon, and Tasaneeya Viratyosin. 2020. “The Unprecedented Stock Market Impact of COVID-19.” NBER Working Paper 26945. https://doi.org/10.3386/w26945.

[4] Bala, Dahiru A., and Taro Takimoto. 2016. “Stock markets volatility spillovers during financial crises: A DCCMGARCH with skew-t approach.” Kyushu University Discussion Paper Series, No. 2016-4, Kyushu University, Fukuoka, Japan. https://doi.org/10.1016/j.bir.2017.02.002.

[5] Belasri,  Yassine, and Rachid Ellaia . 2017. “ Estimation of Volatility and Correlation with Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models: An Application to Moroccan Stock Markets.” International Journal of Economics and Financial Issues 7(2), pp 384-396.

[6] Binh, Thai Pham. 2021. “Spillover Index”. GitHub. Accessed May 6, 2021. https://github.com/binhpham79/DYIndex.

[7] Caporin, Massimiliano and Michael McAleer. 2012. “Do We Really Need both BEKK and DCC? A Tale of Two Multivariate GARCH Models.” Journal of Economic Surveys, 26(4), pp 736-751. https://doi.org/10.1111/j.1467-6419.2011.00683.x.

[8] ChristoffersenPeter, Vihang Errunza, Kris Jacobs, and Xisong Jin . 2014. “ Correlation dynamics and international diversification benefits.” International Journal of Forecasting 30(3), pp 807-824. https://doi.org/10.2139/ssrn.2313954.

[9] Coudert, Virginie, Karine Herve, and Pierre Mabille. 2015. “Internationalisation versus regionalisation in the emerging stock markets.” International Journal of Finance and Economics, 20, pp 16–27. https://doi.org/10.1002/ijfe.1501.

[10] Demirgüç-Kunt, Asli, Erik Feyen, and Ross Levine. 2013. “The Evolving Importance of Banks and Securities Markets.”  The World Bank Economic Review, Volume 27, Issue 3, pp 476–490. https://doi.org/10.1093/wber/lhs022.

[11] Dickey, David A., Wayne A. Fuller. 1981. “Likelihood ratio statistics for autoregressive time series with a unit root.” Econometrica 49, pp 1057-1072. https://doi.org/10.2307/1912517.

[12] Diebold, Francis X., and Kamil Yilmaz. 2009. “Measuring financial asset return and volatility spillovers with application to global equity markets.” Economic Journal 119, pp 158–171. https://doi.org/10.1111/j.1468-0297.2008.02208.x.

[13] Diebold, Francis X., and Kamil Yilmaz. 2012. “Better to give than to receive: predictive directional measurement of volatility spillovers.” International Journal Forecast 23, pp 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006.

[14] Diebold, Francis X., and Kamil Yilmaz. 2014. “On the network topology of variance decompositions: measuring the connectedness of financial firms.” Journal of Economics 182, pp 119–134. https://doi.org/10.1016/j.jeconom.2014.04.012.

[15] Engle, Robert F. and Kroner, K.F. 1995. “Multivariate simultaneous GARCH.” Econometric Theory 11(1): 122-150. doi:10.1017/S0266466600009063.

[6] FTSE Equity Country Classification September 2020 – Annual Announcement, September 24, 2020.

[17] Gambacorta, Leonardo, Boris Hofmann, and Gert Peersman. 2014. “The effectiveness of unconventional monetary policy at the zero lower bound: A cross-country analysis.” Journal of Money, Credit and Banking 46(4), pp 615–642. https://doi.org/10.1111/jmcb.12119.

[18] Gregory, Allan W., and Bruce E. Hansen. 1996. “Residual-based Tests for Cointergation in Models with Regime Shifts.” Journal of Econometrics, 70, pp 99–126. https://doi.org/10.1016/0304-4076(69)41685-7.

[19] Hemche, Omar, Fredj Jawadi, Samir B. Maliki, and Abdoulkarim Idi Cheffou. 2016. “On the study of contagion in the context of the subprime crisis: a dynamic conditional correlation-multivariate GARCH approach.” Economic Modelling 52, pp 292–299. https://doi.org/10.1016/j.econmod.2014.09.004.

[20] Johansen, Soren. 1995. “Likelihood-Based Inference in Cointegrated Vector Autoregressive Models.” Oxford: Oxford University Press. https://doi.org/10.1093/0198774508.003.0002.

[21] Johansen, Soren, and Katarina Juselius. 1990. “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money.” Oxford Bulletin Economics Statistics 52. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x.

[22] Kang, Sang Hoon, and Jang Woo Lee. 2019. “The network connectedness of volatility spillovers across global futures markets.” Physica A: Statistical Mechanics and Its Applications, 526: 120756. https://doi.org/10.1016/j.physa.2019.03.121.

[23] Kenourgios, Dimitris, and Dimitrios Dimitriou. 2015. “Contagion of the global financial crisis and the real economy: A regional analysis.” Economic Modelling 44, pp 283–293. https://doi.org/10.1016/j.econmod.2014.10.048.

[24] Kevin Sheppard Oxford-Man Institute of Quantitative Finance, Oxford, U.K. “MFE Toolbox”. Accessed June 13, 2020. https://www.kevinsheppard.com/code/matlab/mfe-toolbox/ .

[25] Kwiatkowski, Denis, Peter C.B. Phillips, Peter Schmidt, and Yongcheol Shinb. 1992. “Testing the null hypothesis of stationary against the alternative of a unit root.” Journal of Econometrics 54(1), pp 159-178. https://doi.org/10.1016/0304-4076(92)90104-y.

[26] Li, Yanan, and David E. Giles. 2015. “Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets.” International Journal of Finance and Economics, 20, pp 155–177. https://doi.org/10.1002/ijfe.1506.

[27] Liu, Hai Yue, Aqsa Manzoor, Cang Yu Wang, Lei Zhang, and Zaira Manzoor. 2020. “The COVID-19 Outbreak and Affected Countries Stock Markets Response.” International Journal of Environmental Research and Public Health 17(8), pp 2800. https://doi.org/10.3390/ijerph17082800.

[28] Maghyereh, Aktham I., Basel Awartani, and Elie Bouri. 2016. “The directional volatility connectedness between crude oil and equity markets: new evidence from implied volatility indexes.” Energy Economics 57, pp 78–93. https://doi.org/10.1016/j.eneco.2016.04.010.

[29] MATLAB 2019a, [Computer software], Natick, MA: The MathWorks, Inc.

[30] Miralles-Marcelo, Jose Luis, Jose Luis Miralles-Quiros, and Maria del Mar Miralles-Quiros. 2013. “Multivariate GARCH models and risk minimising portfolios: the importance of medium and small firms.” The Spanish Review of Financial Economics 11, pp 29–38. https://doi.org/10.1016/j.srfe.2013.03.001.

[31] Ramelli,  Stefano, and Alexander F. Wagner.  2020a. “ Feverish Stock Price Reactions to COVID-19.” The Review of Corporate Finance Studies 9(3), pp 622–655. https://doi.org/10.1093/rcfs/cfaa012.

[32] Ramelli,  Stefano, and Alexander F. Wagner.  2020b. “ What the Stock Markets Tells Us about the Consequences of COVID-19. In Mitigating the COVID Economic Crisis.” https://voxeu.org/article/what-stock-market-tells-us-about-consequences-covid-19.

[33] Shahzad, Syed Jawad Hussain, Roman Ferrer, Laura Ballester, and Zaghum Umar. 2017. “Risk transmission between islamic and conventional stock markets: a return and volatility spillover analysis.” International Review of Financial Analysis 52, pp 9–26. https://doi.org/10.1016/j.irfa.2017.04.005.

[34] Shirokikh, Oleg Aleksandrovich, Grigory Pastukhov, Vladimir Boginski, and Sergiy Butenko. 2013. “Computational study of the US stock market evolution: a rank correlation-based network model.” Computational Management Science, 10: 81-103. https://doi.org/10.1007/s10287-012-0160-4.

[35] Siedlecki, Rafat, and Daniel Papla . 2016. “Conditional Correlation Coefficient as a Tool for Analysis of Contagion in Financial Markets and Real Economy Indexes Based on the Synthetic Ratio.” Procedia – Social and Behavioral Sciences 220, pp 452-461. https://doi.org/10.1016/j.sbspro.2016.05.520.

[36] Song, Fenghua, and Anjan Thakor. 2010. “Banks and capital markets as a coevolving financial system.” The Economic Journal 120(547), pp 1021-1055. https://doi.org/10.2139/ssrn.879288.

[37] Svilokos, Tonci. 2012. “Capital Market Cointegration of Old and New Eu Member States.” Economic Research-Ekonomska Istraživanja 25(1), pp 313-336. https://doi.org/10.1080/1331677x.2012.11517567.

[38] Syllignakis, Manolis N., and Georgios P. Kouretas. 2011. “Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets.” International Review of Economics and Finance 20, pp 717-732. https://doi.org/10.1016/j.iref.2011.01.006.

[39] Valickova, Petra, Tomas Havranek, and Roman Horvath. 2014. “Financial Development and Economic Growth: A Meta-Analysis.” Journal of Economic Surveys 29(3), pp 506-526, https://doi.org/10.1111/joes.12068.

[40] Zhang, Dayong. 2017. “Oil shocks and stock markets revisited: measuring connectedness from a global perspective.” Energy Economics 62, pp 323–333. https://doi.org/10.1016/j.eneco.2017.01.009.

[41] Zhang,  Dayong, Min Hu, and Qiang Ji.  2020. “ Financial Markets under the Global Pandemic of COVID-19.” Finance Research Letters 36, pp  101528. https://doi.org/10.1016/j.frl.2020.101528.

[42] Zivot, Eric, and Donald W. K. Andrews, 1992. “Further evidence of great crash, the oil price shock and unit root hypothesis.” Journal of Business and Economic Statistics 10, pp 251-270. https://doi.org/10.2307/1391541.

Copyright © 2009 | All rights reserved