Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets

Yarovaya, Larisa and Lau, Chi Keung (2016) Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets. Research in International Business and Finance, 37. pp. 605-619. ISSN 0275-5319

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Abstract

This paper analyses stock market co-movements around recent crises and explores the international portfolio diversification benefits available for UK investors holding a portfolio in the BRICS and MIST emerging markets. The application of conventional and regime-switch cointegration techniques suggests an absence of diversification benefits. Further evidence from application of a multivariate time-varying asymmetric model (i.e. AG-DCC) suggests that conditional correlation among the stock markets exhibits higher dependency when it is driven by negative shocks to the market. The asymmetric causality test provides supporting evidence of the decoupling hypothesis. The results indicate that the Chinese stock market is the most attractive option for the UK investor.

Item Type:	Article
Uncontrolled Keywords:	International portfolio diversification, Cointegration analysis with breaks, BRICS, MIST, Asymmetric response
Subjects:	N300 Finance
Department:	Faculties > Business and Law > Newcastle Business School
Depositing User:	Chi Keung Lau
Date Deposited:	19 Feb 2016 11:00
Last Modified:	19 Nov 2019 09:49
URI:	http://nrl.northumbria.ac.uk/id/eprint/26056

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