Cai, Charlie X., Mobarek, Asma ![]() ![]() |
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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 |
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Date Type: | Publication |
Status: | Published |
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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