C.X. Cai
International Stock Market Leadership and its Determinants
Cai, C.X.; Mobarek, A.; Zhang, Q.
Authors
A. Mobarek
Q. Zhang
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.
Citation
Cai, C., Mobarek, A., & Zhang, Q. (2017). International Stock Market Leadership and its Determinants. Journal of Financial Stability, 33, 150-162. https://doi.org/10.1016/j.jfs.2016.10.002
Journal Article Type | Article |
---|---|
Acceptance Date | Oct 4, 2016 |
Online Publication Date | Oct 6, 2016 |
Publication Date | Dec 1, 2017 |
Deposit Date | Dec 20, 2016 |
Publicly Available Date | Apr 6, 2018 |
Journal | Journal of Financial Stability |
Print ISSN | 1572-3089 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 33 |
Pages | 150-162 |
DOI | https://doi.org/10.1016/j.jfs.2016.10.002 |
Public URL | https://durham-repository.worktribe.com/output/1367995 |
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http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2016 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
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