Cai, Charlie X, Mobarek, Asma and Zhang, Qi
(2017)
International stock market leadership and its determinants.
JOURNAL OF FINANCIAL STABILITY, 33.
150 - 162.
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Internat'nl stock mkt ldrship19 July 2015 full.pdf - Accepted Version Download (886kB) |
Abstract
We study time-varying price leadership between international stock markets using a Markov switching causality model. We demonstrate variations in the causality pattern over time, with the US being the dominant country in causing other markets. We examine the factors which determine a country’s role in the causal relationship. For country-specific factors, we show that trades openness increases price leadership. We also find that the lead–lag relationship between the stock markets is weaker during crisis periods, confirming the “wake-up call” hypothesis, with markets and investors focusing substantially more on idiosyncratic, country-specific characteristics during the crisis.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Causality, Price leadership, Financial crisis, Causality factors |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 04 Jul 2018 08:53 |
| Last Modified: | 09 Aug 2022 19:11 |
| DOI: | 10.1016/j.jfs.2016.10.002 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3023337 |
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