Cai, Charlie X., Mobarek, Asma  ORCID: https://orcid.org/0000-0001-6662-4770 and Zhang, Qi
2017.
International stock market leadership and its determinants.
Journal of Financial Stability
33
, pp. 150-162.
10.1016/j.jfs.2016.10.002
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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 |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Business (Including Economics) |
| Uncontrolled Keywords: | Causality, price leadership, financial crisis, causality factors |
| Publisher: | Elsevier |
| ISSN: | 1572-3089 |
| Funders: | Jan Wallanders and Tom Hedelius Research Foundation, Handelsbanken, Sweden |
| Date of First Compliant Deposit: | 1 November 2016 |
| Date of Acceptance: | 4 October 2016 |
| Last Modified: | 06 Nov 2024 06:15 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/95793 |
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