دورية أكاديمية
Emerging stock market reactions to shocks during various crisis periods.
| العنوان: | Emerging stock market reactions to shocks during various crisis periods. |
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| المؤلفون: | Bhowmik R; School of Business, Guangdong University of Foreign Studies, Guangzhou, China.; Department of Business Administration, Daffodil International University, Dhaka, Bangladesh., Debnath GC; School of Business & Economics, United International University, Dhaka, Bangladesh., Debnath NC; Kalinga Institute of Industrial Technology (KIIT), Bhubaneswar, India.; Bangladesh Academy for Securities Markets, Dhaka, Bangladesh., Wang S; Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China. |
| المصدر: | PloS one [PLoS One] 2022 Sep 13; Vol. 17 (9), pp. e0272450. Date of Electronic Publication: 2022 Sep 13 (Print Publication: 2022). |
| نوع المنشور: | Journal Article |
| اللغة: | English |
| بيانات الدورية: | Publisher: Public Library of Science Country of Publication: United States NLM ID: 101285081 Publication Model: eCollection Cited Medium: Internet ISSN: 1932-6203 (Electronic) Linking ISSN: 19326203 NLM ISO Abbreviation: PLoS One Subsets: MEDLINE |
| أسماء مطبوعة: | Original Publication: San Francisco, CA : Public Library of Science |
| مواضيع طبية MeSH: | COVID-19*/epidemiology , Investments*, China ; Forecasting ; Humans ; Uncertainty |
| مستخلص: | This study investigates granger causal linkages among six Asian emerging stock markets and the US market over the period 2002-2020, taking into account several crisis periods. The pairwise Granger causality tests for investigating the short-run causality show significant bi- and uni-directional causal relationships in those markets and evidence that they have become more internationally integrated after every crisis period. An exception is Bangladesh with almost no significant short-term causal linkages with other markets. For understanding, how the financial linkages amplify volatility spillover effects, we apply the GARCH-M model and find that volatility and return spillovers act very inversely over time. However, market interface is weak before the crisis periods and becomes very strong during the financial crisis and US-China economic policy uncertainty periods. The US market plays a dominant role during the financial crisis and COVID-19 periods. Further analysis using the VAR model shows that a large proportion of the forecast variance of the Asian emerging stock markets is affected by the S&P 500 and that market shock starts to rise notably from the 1 to 10 period. The overall findings could provide important policy implications in the six countries under study regarding hedging, trading strategies, and financial market regulation. Competing Interests: The authors have declared that no competing interests exist. |
| References: | Financ Res Lett. 2021 Oct;42:101884. (PMID: 34903954) Financ Res Lett. 2021 Jan;38:101872. (PMID: 36569655) Econometrica. 1980 Jan;48(1):227-40. (PMID: 12261749) J Econ Bus. 2021 May-Jun;115:105966. (PMID: 33518845) Entropy (Basel). 2020 May 04;22(5):. (PMID: 33286294) |
| سلسلة جزيئية: | figshare 10.6084/m9.figshare.20474277 |
| تواريخ الأحداث: | Date Created: 20220913 Date Completed: 20220915 Latest Revision: 20240904 |
| رمز التحديث: | 20240904 |
| مُعرف محوري في PubMed: | PMC9469992 |
| DOI: | 10.1371/journal.pone.0272450 |
| PMID: | 36099256 |
| قاعدة البيانات: | MEDLINE |
Full Text Finder | تدمد: | 1932-6203 |
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| DOI: | 10.1371/journal.pone.0272450 |