Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case
This research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the American (S&P 500) and the Chinese (SSE Composite) s...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-12-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/1/6 |
| _version_ | 1797543911839760384 |
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| author | Francisco Jareño Ana Escribano Monika W. Koczar |
| author_facet | Francisco Jareño Ana Escribano Monika W. Koczar |
| author_sort | Francisco Jareño |
| collection | DOAJ |
| description | This research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the American (S&P 500) and the Chinese (SSE Composite) stock markets. In addition, this research focuses on the impact of the stage of the economy on these interdependencies, in concrete, on the influence of the 2008 Global Financial Crisis. To that end, we use a nonlinear autoregressive distributed lag (NARDL) approach in the sample period between January 1998 to December 2018. Our results show positive interdependencies between the Polish and the Spanish stock markets with the international reference stock markets analyzed in this research, as well as significant long-run relations between most of the stock markets. Furthermore, the Polish and the Spanish stock market returns may similarly react to positive and negative changes in international stock market returns, evidencing strong short-run asymmetry. In addition, both countries show great persistence in response to both positive and negative changes in stock market returns in the other mayor international markets. Finally, the NARDL model proposed in this research would show good explanatory power, mainly to changes in the international stock market returns, except for the Chinese market. |
| first_indexed | 2024-03-10T13:52:11Z |
| format | Article |
| id | doaj.art-4883cabfcdcb4e6784b4a040e930c994 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T13:52:11Z |
| publishDate | 2020-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-4883cabfcdcb4e6784b4a040e930c9942023-11-21T02:01:52ZengMDPI AGMathematics2227-73902020-12-0191610.3390/math9010006Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish CaseFrancisco Jareño0Ana Escribano1Monika W. Koczar2Department of Economics and Finance, Faculty of Economics and Business Sciences, University of Castilla-La Mancha, Plaza de la Universidad 1, 02071 Albacete, SpainDepartment of Economics and Finance, Faculty of Economics and Business Sciences, University of Castilla-La Mancha, Plaza de la Universidad 1, 02071 Albacete, SpainDepartment of Economics and Finance, Faculty of Economics and Business Sciences, University of Castilla-La Mancha, Plaza de la Universidad 1, 02071 Albacete, SpainThis research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the American (S&P 500) and the Chinese (SSE Composite) stock markets. In addition, this research focuses on the impact of the stage of the economy on these interdependencies, in concrete, on the influence of the 2008 Global Financial Crisis. To that end, we use a nonlinear autoregressive distributed lag (NARDL) approach in the sample period between January 1998 to December 2018. Our results show positive interdependencies between the Polish and the Spanish stock markets with the international reference stock markets analyzed in this research, as well as significant long-run relations between most of the stock markets. Furthermore, the Polish and the Spanish stock market returns may similarly react to positive and negative changes in international stock market returns, evidencing strong short-run asymmetry. In addition, both countries show great persistence in response to both positive and negative changes in stock market returns in the other mayor international markets. Finally, the NARDL model proposed in this research would show good explanatory power, mainly to changes in the international stock market returns, except for the Chinese market.https://www.mdpi.com/2227-7390/9/1/6stock marketfinancial crisisNARDLPolish marketSpanish marketinterdependencies |
| spellingShingle | Francisco Jareño Ana Escribano Monika W. Koczar Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case Mathematics stock market financial crisis NARDL Polish market Spanish market interdependencies |
| title | Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case |
| title_full | Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case |
| title_fullStr | Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case |
| title_full_unstemmed | Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case |
| title_short | Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case |
| title_sort | non linear interdependencies between international stock markets the polish and spanish case |
| topic | stock market financial crisis NARDL Polish market Spanish market interdependencies |
| url | https://www.mdpi.com/2227-7390/9/1/6 |
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