Search:
Computing and Library Services - delivering an inspiring information environment

Stock Market Comovements Around the Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets

Yarovaya, Larisa and Lau, Marco Chi Keung (2016) Stock Market Comovements Around the Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets. Research in International Business and Finance, 37. pp. 605-619. ISSN 0275-5319

Metadata only available from this repository.

Abstract

This paper analyses stock market co-movements around recent crises and explores the international portfolio diversification benefits available for UK investors holding a portfolio in the BRICS and MIST emerging markets. The application of conventional and regime-switch cointegration techniques suggests an absence of diversification benefits. Further evidence from application of a multivariate time-varying asymmetric model (i.e. AG-DCC) suggests that conditional correlation among the stock markets exhibits higher dependency when it is driven by negative shocks to the market. The asymmetric causality test provides supporting evidence of the decoupling hypothesis. The results indicate that the Chinese stock market is the most attractive option for the UK investor.

Item Type: Article
Uncontrolled Keywords: International portfolio diversification; Cointegration analysis with breaks; BRICS; MIST; Asymmetric response
Subjects: H Social Sciences > HC Economic History and Conditions
Schools: Huddersfield Business School
Related URLs:
Depositing User: Jonathan Cook
Date Deposited: 14 Nov 2017 14:28
Last Modified: 14 Nov 2017 14:28
URI: http://eprints.hud.ac.uk/id/eprint/33892

Downloads

Downloads per month over past year

Repository Staff Only: item control page

View Item View Item

University of Huddersfield, Queensgate, Huddersfield, HD1 3DH Copyright and Disclaimer All rights reserved ©