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International Stock Market Leadership and its Determinants

Cai, C.X.; Mobarek, A.; Zhang, Q.

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Authors

C.X. Cai

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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