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International stock market leadership and its determinants

Cai, Charlie X., Mobarek, Asma ORCID: 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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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: 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: 26 May 2023 16:54

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