Macro-economic determinant and interdependence of the stock markets
This study examines the time-varying long-term stock market interdependence between china and the ten emerging economies, using Johansen co-integration and Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC GARCH) model. It analyses the dynamic associatio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2019-07-01
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| Series: | Economic Journal of Emerging Markets |
| Subjects: | |
| Online Access: | https://www.hmj.accounting.uii.ac.id/JEP/article/view/11597 |
| _version_ | 1811323718342803456 |
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| author | Asim Rafiq Shahbib Hassan |
| author_facet | Asim Rafiq Shahbib Hassan |
| author_sort | Asim Rafiq |
| collection | DOAJ |
| description |
This study examines the time-varying long-term stock market interdependence between china and the ten emerging economies, using Johansen co-integration and Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC GARCH) model. It analyses the dynamic association between the equity markets and the macroeconomic determinants using panel regression analysis. Findings/originality: The results indicate that the Chinese stock market are co-integrated with the stock market of the other emerging markets. It confirms that the relationship between china and the other emerging economies has been increasing over time. It concludes that there is long run interdependence between the Chinese and the other emerging economies. In addition, the results of the panel regression show that macroeconomic determinants have no significant effect on the equity market correlations between China and the ten emerging economies.
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| first_indexed | 2024-04-13T14:00:21Z |
| format | Article |
| id | doaj.art-bfe90f1a5f8d4e16800d522753d9e1a1 |
| institution | Directory Open Access Journal |
| issn | 2086-3128 2502-180X |
| language | English |
| last_indexed | 2024-04-13T14:00:21Z |
| publishDate | 2019-07-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj.art-bfe90f1a5f8d4e16800d522753d9e1a12022-12-22T02:44:04ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2019-07-01111Macro-economic determinant and interdependence of the stock marketsAsim Rafiq0Shahbib Hassan1Hamdard Institute of Management Sciences, KarachiHamdard Institute of Management Sciences, Karachi This study examines the time-varying long-term stock market interdependence between china and the ten emerging economies, using Johansen co-integration and Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC GARCH) model. It analyses the dynamic association between the equity markets and the macroeconomic determinants using panel regression analysis. Findings/originality: The results indicate that the Chinese stock market are co-integrated with the stock market of the other emerging markets. It confirms that the relationship between china and the other emerging economies has been increasing over time. It concludes that there is long run interdependence between the Chinese and the other emerging economies. In addition, the results of the panel regression show that macroeconomic determinants have no significant effect on the equity market correlations between China and the ten emerging economies. https://www.hmj.accounting.uii.ac.id/JEP/article/view/11597Co-integrationDCC GARCHMacro-economic determinantsPanel regression |
| spellingShingle | Asim Rafiq Shahbib Hassan Macro-economic determinant and interdependence of the stock markets Economic Journal of Emerging Markets Co-integration DCC GARCH Macro-economic determinants Panel regression |
| title | Macro-economic determinant and interdependence of the stock markets |
| title_full | Macro-economic determinant and interdependence of the stock markets |
| title_fullStr | Macro-economic determinant and interdependence of the stock markets |
| title_full_unstemmed | Macro-economic determinant and interdependence of the stock markets |
| title_short | Macro-economic determinant and interdependence of the stock markets |
| title_sort | macro economic determinant and interdependence of the stock markets |
| topic | Co-integration DCC GARCH Macro-economic determinants Panel regression |
| url | https://www.hmj.accounting.uii.ac.id/JEP/article/view/11597 |
| work_keys_str_mv | AT asimrafiq macroeconomicdeterminantandinterdependenceofthestockmarkets AT shahbibhassan macroeconomicdeterminantandinterdependenceofthestockmarkets |