International stock market leadership and its determinants



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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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