Cai, CX, Mobarek, A and Zhang, Q (2017) International Stock Market Leadership and its Determinants. Journal of Financial Stability, 33. pp. 150-162. ISSN 1572-3089
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016, Elsevier. This is an author produced version of a paper published in Journal of Financial Stability. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Causality, price leadership, financial crisis, causality factors |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 11 Oct 2016 10:20 |
Last Modified: | 06 Apr 2018 00:38 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.jfs.2016.10.002 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:105662 |