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Co-movement of International Financial Markets
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Co-movement of International Financial Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (31 December 2021) | Viewed by 8715

Special Issue Editor

Prof. Dr. Charlotte Christiansen

E-Mail Website
Guest Editor
Department of Economics and Business Economics - CREATES, Aarhus University, 8210 Aarhus V, Denmark
Interests: empirical finance; asset pricing; international finance
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This Special Issue focuses on the broad topic of “co-movement of international financial markets” and includes novel research on the relationship between international financial markets. Contributions concerning all types of international financial markets are relevant and include international stock, bond, foreign exchange markets, and other financial markets.

Theoretical financial economics models expanding our understanding of the co-movement and integration of international financial markets are welcomed. Financial econometrics contributions concerning the co-movement and integration of international financial markets are welcomed. Empirical asset pricing contributions focusing on the co-movement and integration of international financial markets are encouraged.

Prof. Dr. Charlotte Christiansen
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Comovement
  • Integration
  • International financial markets
  • International stock markets
  • International bond markets
  • International finance
  • Empirical asset pricing
  • Financial econometrics

Published Papers (3 papers)

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Research

33 pages, 1031 KiB  
Article
Oil Market Factors as a Source of Commonality in Liquidity in International Equity Markets
by Abdulrahman Alhassan, Atsuyuki Naka and Abdullah Noman
J. Risk Financial Manag. 2021, 14(8), 372; https://doi.org/10.3390/jrfm14080372 - 13 Aug 2021
Viewed by 1597
Abstract
When stock markets are less liquid or illiquid, investors are expected to require compensation for taking the risk of not being able to sell quickly. Many studies have documented the existence of the co-movements (commonality) of market liquidity in equity markets as a [...] Read more.
When stock markets are less liquid or illiquid, investors are expected to require compensation for taking the risk of not being able to sell quickly. Many studies have documented the existence of the co-movements (commonality) of market liquidity in equity markets as a priced factor. The primary objective of this paper is to introduce the oil market as a potential source of commonality in liquidity. We hypothesize that conditions specific to the oil market can contribute to commonality in liquidity affecting both supply-side and demand-side factors because of its importance to the global economy in general. To this aim, a sample of firms is drawn from 50 countries spanning the period from January 1995 to December 2015. We examine two channels that transmit the effect of oil market movements to the liquidity commonality in international equity markets, namely, oil price returns and oil price volatility. Seemingly unrelated regressions (SUR) are utilized to estimate the effect of oil factors on commonality in liquidity. We find that the returns and volatility of oil prices explain the commonality in liquidity in countries with higher integration with oil markets. In addition, we show that the effect of oil volatility is more pronounced for net oil exporters as opposed to net oil importers after controlling for oil sensitivity. These results are robust to controlling for possible sources of commonality in liquidity as found in the literature and alternative estimation specifications. Full article
(This article belongs to the Special Issue Co-movement of International Financial Markets)
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14 pages, 2058 KiB  
Article
Quantile Risk–Return Trade-Off
by Nektarios Aslanidis, Charlotte Christiansen and Christos S. Savva
J. Risk Financial Manag. 2021, 14(6), 249; https://doi.org/10.3390/jrfm14060249 - 3 Jun 2021
Cited by 6 | Viewed by 3363
Abstract
We investigate the risk–return trade-off on the US and European stock markets. We investigate the non-linear risk–return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that [...] Read more.
We investigate the risk–return trade-off on the US and European stock markets. We investigate the non-linear risk–return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk–return trade-off is significantly positive at the upper tail (0.9 quantile), where the upper tail is large positive excess returns. The positive trade-off is as expected from asset pricing models. For the lower tail (0.1 quantile), that is for large negative stock returns, the trade-off is significantly negative. Additionally, for the median (0.5 quantile), the risk–return trade-off is insignificant. These results are recovered for the US industry portfolios and for Eurozone stock market portfolios. Full article
(This article belongs to the Special Issue Co-movement of International Financial Markets)
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25 pages, 2871 KiB  
Article
Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)
by Marco Tronzano
J. Risk Financial Manag. 2021, 14(3), 127; https://doi.org/10.3390/jrfm14030127 - 17 Mar 2021
Cited by 12 | Viewed by 3018
Abstract
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are [...] Read more.
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are documented during almost all financial crises; moreover, in line with the recent literature, the defensive role of gold and the Swiss Franc in asset portfolios is highlighted. Focusing on a new set of macroeconomic and financial series, a significant impact of these variables on stock returns correlations is found, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including the Chinese stock market index. Overall, this empirical evidence is of interest for researchers, financial risk managers and policy makers. Full article
(This article belongs to the Special Issue Co-movement of International Financial Markets)
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