Cai, Charlie X ORCID: 0000-0003-1398-3715, Mobarek, Asma and Zhang, Qi
(2017)
International stock market leadership and its determinants.
JOURNAL OF FINANCIAL STABILITY, 33.
pp. 150-162.
Text
Internat'nl stock mkt ldrship19 July 2015 full.pdf - Author Accepted Manuscript 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 |
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Uncontrolled Keywords: | Causality, Price leadership, Financial crisis, Causality factors |
Depositing User: | Symplectic Admin |
Date Deposited: | 04 Jul 2018 08:53 |
Last Modified: | 19 Jan 2023 01:31 |
DOI: | 10.1016/j.jfs.2016.10.002 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3023337 |