dynamic linkages among equity markets local versus basket currencies this article compares the stability of interrelationships among nine national equity markets by employing basket currencies versus individual base currencies to measure rates of return we show that the average correlations of equity indexes based on basket currencies are much lower than the average correlations of equity indexes based on individual home base currencies additionally empirical directed graph results from using basket currencies are more consistent with each other than the results from using different individual currencies we conclude that basket currencies provide more robust results for studying equity market comovements than individual currencies by implication studies on equity market interrelationships including studies on potential financial contagion between equity markets should use basket currencies to avoid currency dependent results

contagion around the october 1987 stock market crash abstract this study investigates financial contagion among seven international stock markets around the october 19 1987 crash building on a recent advance in vector autoregression analysis by swanson n granger c w j 1997 impulse response functions based on a causal approach to residual orthogonalization in vector autoregression journal of the american statistical association 92 357 367 data determined historical decompositions are conducted to provide a day by day picture of price fluctuation transmission which is crucial to explore the financial contagion pattern characterized by rich dynamics the results clearly show that the crash originated in the us market and that an upward movement in the japanese market after the crash helped the recovery in the us market which has not yet been empirically documented in the literature

exploring the effects of energy consumption on output per worker a study of albania bulgaria hungary and romania in this article we explore the long run cointegration between output capital and energy consumption in per worker terms for albania bulgaria hungary and romania we use the augmented solow 1956 model and the ardl bounds procedure pesaran et al 2001 to examine the short run and long run effects of energy and capital on output in per worker terms we also conduct causality test using the toda and yamamoto 1995 non causality procedure our results show the existence of long run cointegration between output per worker and energy per worker for all the four countries we find that energy per worker have a dynamic short run positive effect in albania 0 37 bulgaria 0 25 hungary 0 36 and romania 0 68 and a long run positive effect in bulgaria 0 32 and romania 0 63 which duly indicate that energy consumption has a momentous long run effect in these two countries the causality results indicate a unidirectional causation from output per worker to energy per worker for all the four countries and from capital per worker to energy per worker for albania and romania consequently a balance between effective energy consumption and sound energy conservation policies are likely to support economic growth in the four countries

the causal relationship between biomass energy use and economic growth in the united states abstract this paper examines the causality relations among economic growth biomass energy consumption employment and capital in the u s between 1961 and 2011 using the ardl bounds testing approach to cointegration long and short run relationships among the variables are estimated long run and short run coefficients indicate that biomass energy consumption has positive impacts on economic growth for the u s in addition the granger causality results illustrate that unidirectional causality from biomass energy consumption to real gdp supportive of the growth hypothesis

on the risk spillover across the oil market stock market and the oil related cds sectors a volatility impulse response approach abstract compared to credit default swap cds literature this study focuses on the magnitude of volatility transmission and the risk spillover mechanism across the oil market financial market risks and the oil related cds sectors our dataset includes futures prices of west texas intermediate wti and seven different measures of markets and credit risks four of the vast risk measures are the oil related cdss for auto chemicals natural gas and utility sectors in addition three measures of the financial market risk the one month expected equity volatility measured by vix move and smove are included the daily dataset covers the period from 6 january 2004 to 2 february 2016 the volatility transmission mechanism across the oil and financial markets and cds sectors is examined using the volatility impulse response model we evaluate the risk transmission due to several recent crisis shocks around the world and the results show complicated transmission mechanisms that spread over long periods among these events the lehman brothers bankruptcy has destabilizing effects on all oil related sectors findings also show that all oil market related shocks have significant risk transmission effects

disaggregate energy consumption employment and income in turkey the purpose of this paper is to contribute to literature on energy consumption and economic growth relationship by examining how much of the variance in national income growth can be explained by the growth of different sources of energy consumption and employment in turkey we use the recently developed generalized forecast error variance decomposition technique of koop et al j econom 74 1996 119 and pesaran and shin econ lett 58 1998 17 to determine the information content of the growth rate of energy consumption waste seems to have the largest initial impact followed by oil however over a 3 year horizon lignite appears to explain the largest forecast error variance of gdp the total energy consumption explains 21 of forecast error variance of gdp energy consumption appears to be almost as important as employment in turkey therefore policy makers may be interested in identifying the energy dependencies of economic growth in allocating the energy investment budget

asymmetric increasing trends in dependence in international equity markets abstract this paper investigates asymmetric increasing trends in dependence in major international equity markets to this end we develop a multiple regime smooth transition copula garch model and address several important questions including the number of regimes and the existence of increasing asymmetric trends in dependence our results suggest that two or three regimes are sufficient for describing the dependence trends in international equity markets over the last 35 years with significant asymmetric increases in addition the implied time series of three dependence measures show a wide variety of dynamics demonstrating the usefulness of our framework to describe asymmetric increasing dependence trends finally we evaluate the economic significance of our empirical finding based on the 99 value at risk and expected shortfall our result indicates that both risk measures have increased approximately 20 over the last 35 years in major equity markets

intraday volatility in international stock index futures markets the international transmission of intraday price volatility among the united states united kingdom and japanese stock index futures markets in the period 1988 1994 is investigated in this paper

reexamining intraday simultaneity in stock index futures markets abstract this note examines three empirical examples involving intraday dynamic relationships associated with stock index futures markets researchers often employ a vector autoregressive var model to analyze such high frequency transactions data while such a model can provide useful information regarding the nature of causal priority inherent in the data it is not the proper model to investigate the structural relationships of interest because it omits the contemporaneous interaction on the other hand a var model specification which is altered to incorporate simultaneity may enable the data to reveal the structural relationships of interest

the relationship amongst energy consumption renewable and non renewable and gdp in algeria abstract this study aims to explore economic growth energy consumption nexus in algeria between 1980 and 2012 with cointegration tests we demonstrate the existence of long run link between real gross domestic product real capital and the two categories of energy consumption i e renewable energy per capita and non renewable energy the long run and the short run autoregressive distributed lag ardl estimates indicate that only the non renewable energy sort and capital can contribute to enhancing economic growth whereas renewable energy does not show any significant effect the outcome of causality tests proves a feedback link among non renewable energy consumption and gross domestic product among capital and gross domestic product and among non renewable energy and capital in both short run and long run terms moreover the results reveal a unidirectional link going from renewable energy to economic growth capital and non renewable energy respectively in the long run furthermore the results illustrate the presence of a unidirectional link going from non renewable energy to renewable energy in the short term our outcome suggests that policy makers in algeria should enhance the renewable energy share together with controlling the non renewable one

returns synchronization and daily correlation dynamics between international stock markets the use of close to close returns underestimates returns correlation because international stock markets have different trading hours with the availability of 16 00 london time stock market series we find dynamics of daily correlation and covariance estimated using two non synchroneity adjustment procedures to be substantially different from their synchronous counterparts conditional correlation may have different signs depending on the model and data type used other findings include volatility spillover from the us to the uk and france and a reverse spillover which is not documented before also unlike previous findings we found the increase in daily correlation is prominent only under extremely adverse conditions when a large negative return has been registered

rejecting renewables the socio technical impediments to renewable electricity in the united states if renewable power systems deliver such impressive benefits why do they still provide only 3 percent of national electricity generation in the united states as an answer this article demonstrates that the impediments to renewable power are socio technical a term that encompasses the technological social political regulatory and cultural aspects of electricity supply and use extensive interviews of public utility commissioners utility managers system operators manufacturers researchers business owners and ordinary consumers reveal that it is these socio technical barriers that often explain why wind solar biomass geothermal and hydroelectric power sources are not embraced utility operators reject renewable resources because they are trained to think only in terms of big conventional power plants consumers practically ignore renewable power systems because they are not given accurate price signals about electricity consumption intentional market distortions such as subsidies and unintentional market distortions such as split incentives prevent consumers from becoming fully invested in their electricity choices as a result newer and cleaner technologies that may offer social and environmental benefits but are not consistent with the dominant paradigm of the electricity industry continue to face comparative rejection

the fuelwood market in greece an empirical approach abstract wood has been since ancient times the basic household heating medium nowadays wood remains the primary energy source in rural areas of developing countries mainly in africa in greece the domestic demand of fuelwood is relied mainly on the fuelwood domestic supply especially during the post war period the domestic supply satisfies adequately the domestic demand eliminating the role of imports the present study surveys the long run relationship between the fuelwood prices of different forest species in order to determine the role of the special market conditions in their price formation in addition the error correction model is estimated in order to survey the direction of the granger causality among the prices of the fuelwood forest species the implementation of the impulse response analysis and the variance decomposition confirmed that coniferous and beech fuelwood producer price may account for the volatility of the oak fuelwood producer price this result may contribute greatly to the conservation of oak forest an important carbon storage forest ecosystem

the growth of income and energy consumption in six developing countries this paper reexamines the inter temporal link between energy consumption and income in six developing countries with diverse economic backgrounds and energy statistics in a production function framework we employ the generalized variance decompositions and generalized impulse response techniques to see if the growth of income and energy consumption contains considerable information to predict each other in all countries energy appears as an essential factor of production results indicate that energy may be a relatively more important input than labor and or capital in some countries hence neutrality of energy does not seem to hold

information trading volume and international stock return comovements evidence from cross listed stocks we investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross listed on u s markets heterogeneous agent trading models rationalize how trading volume reflects the quality of traders information signals and how it helps to disentangle whether returns are associated with portfolio rebalancing trades or information motivated trades based on these models we hypothesize that returns in the home u s market on high volume days are more likely to continue to spill over into the u s home market for those cross listed stocks subject to the risk of greater informed trading our empirical evidence provides support for these predictions which confirms the link between information trading volume and international stock return comovements that has eluded previous empirical investigations

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the emerging market crisis and stock market linkages further evidence this study examines the long run price relationship and the dynamic price transmission among the usa germany and four major eastern european emerging stock markets with particular attention to the impact of the 1998 russian financial crisis the results show that both the long run price relationship and the dynamic price transmission were strengthened among these markets after the crisis the influence of germany became noticeable on all the eastern european markets only after the crisis but not before the crisis we also conduct a rolling generalized var analysis to confirm the robustness of the main findings copyright 2006 john wiley sons ltd

renewable energy consumption and income in emerging economies abstract increased economic growth and demand for energy in emerging economies is creating an opportunity for these countries to increase their usage of renewable energy this paper presents and estimates two empirical models of renewable energy consumption and income for a panel of emerging economies panel cointegration estimates show that increases in real per capita income have a positive and statistically significant impact on per capita renewable energy consumption in the long term a 1 increase in real income per capita increases the consumption of renewable energy per capita in emerging economies by approximately 3 5 long term renewable energy per capita consumption price elasticity estimates are approximately equal to 0 70

economic growth fossil fuel and non fossil consumption a pooled mean group analysis using proxies for capital this study employs a pooled mean group estimator to examine the nexus between economic growth and fossil and non fossil fuel consumption for 53 countries between 1990 and 2012 the global sample was divided into four categories developed exporters developed importers developing exporters and developing importers the purpose of these categories was to observe whether factors unique to these countries influence the relationship between energy consumption and economic growth with the exception of developing importers evidence of bi directional causality between fossil fuel consumption and real gdp across all subsamples is observed this leads to the conclusion that efforts to directly conserve fossil fuels may harm economic growth in terms of non fossil fuel use the results are more diverse bi directional causality between non fossil fuel use and real gdp is found in the long and short run for developed importers bi directional causality only in the long run for developed exporters negative long run causality from real gdp to non fossil fuels for developing exporters and long run causality from non fossil fuel use to real gdp for developing importers these results lead to the conclusion that other factors have been responsible for the progress seen in non fossil fuel use thus it is concluded that economic growth on its own is insufficient to promote clean energy development there is a need for policy makers to create an environment conducive to renewable energy investment

intraday volatility in international stock index futures markets meteor showers or heat waves the international transmission of intraday price volatility among the united states united kingdom and japanese stock index futures markets in the period 1988 1994 is investigated in this paper the empirical results based on extreme value estimators and vector autoregression indicate the rapid transmission of information between markets the volatilities of the u s and u k futures markets appear to follow a meteor shower rather than a heat wave type of process this means that these volatilities react to shocks from other markets i e they cannot be described only by their past values however the heat wave hypothesis is not rejected for the japanese market meaning that the shocks to japanese volatility are mostly country specific a multivariate garch model supports the u k and japanese but not the u s results

renewable and non renewable energy consumption growth nexus evidence from a panel error correction model abstract unlike previous renewable energy consumption growth studies this study examines the relationship between renewable and non renewable energy consumption and economic growth for 80 countries within a multivariate panel framework over the period 1990 2007 the pedroni 1999 2004 heterogeneous panel cointegration test show a long run equilibrium relationship between real gdp renewable energy consumption non renewable energy consumption real gross fixed capital formation and the labor force with the respective coefficient estimates positive and statistically significant there is little difference in the elasticity estimates with respect to renewable and non renewable energy consumption the results from the panel error correction model reveal bidirectional causality between renewable and non renewable energy consumption and economic growth in both the short and long run also there is bidirectional short run causality between renewable and non renewable energy consumption indicative of substitutability between the two energy sources

a multivariate garch model of international transmissions of stock returns and volatility the case of the united states and canada this study examines the short run dynamics of returns and volatility for stocks traded on the new york and toronto stock exchanges the main finding is that inferences about the magnitude and persistence of return innovations that originate in either market and that transmit to the other market depend importantly on how the cross market dynamics in volatility are modeled moreover much weaker cross market dynamics in returns and volatility prevail during later subperiods and especially for canadian stocks with shares dually listed in new york implications for international asset pricing hedging strategies and regulatory policy are discussed

day of the week and intraday effects in stock returns abstract this study examines day of the week effects using hourly values of the dow jones industrial average we find that over the 1963 1983 period the weekend effect has sifted from characterizing active trading on monday to characterizing the non trading weekend over the early part of our sample period negative returns characterize each hour of trading on monday while the return from friday close to monday open is positive in the most recent subperiod monday average hourly returns after noon are all positive and the weekend effect is due to negative average returns from friday close to monday open

energy consumption and economic growth evidence from the commonwealth of independent states abstract this study examines the relationship between energy consumption and economic growth for eleven countries of the commonwealth of independent states over the period 1991 2005 within a multivariate panel data framework based on pedroni 1999 pedroni 2004 heterogeneous panel cointegration test and corresponding error correction model cointegration is present between real gdp energy consumption real gross fixed capital formation and labor force with the respective coefficients positive and statistically significant the results of the error correction model reveal the presence of unidirectional causality from energy consumption to economic growth in the short run while bidirectional causality between energy consumption and economic growth in the long run thus the results lend support for the feedback hypothesis associated with the relationship between energy consumption and economic growth

measuring global money market interrelationships an investigation of five major world currencies abstract this paper extends the study of global money market integration in two primary directions first a technique which combines stationarity and cointegration tests as a basis for constructing an error correction model is applied to assess the existence of long run equilibrium relationships between money market series second analysis for the increasingly significant asian offshore markets of singapore and hong kong is added to traditional european and national markets analysis major findings are 1 the error correction model is an appropriate technique for identifying causality relationships and 2 major domestic markets and included offshore markets are partially segmented

international transmission of stock market movements this paper investigates the international transmission mechanism of stock market movements by estimating a nine market vector autoregression var system using simulated responses of the estimated var system we i locate all the main channels of interactions among national stock markets and ii trace out the dynamic responses of one market to innovations in another generally speaking a substantial amount of multi lateral interaction is detected among national stock markets innovations in the u s are rapidly transmitted to other markets in a clearly recognizable fashion whereas no single foreign market can significantly explain the u s market movements also the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets

the causal relationship between energy resources and economic growth in brazil abstract this study investigates the causal relationship between clean and non clean energy consumption and economic growth in brazil over the period of 1980 2009 clean energy consumption at aggregated level of total renewable energy consumption and disaggregated levels of hydroelectric new renewables and nuclear energy consumption are tested within a production function framework a cointegration test reveals a long term equilibrium relationship between real output capital labor and renewable and non renewable energy consumption at aggregated level and a long term equilibrium relationship between real output capital labor and hydroelectric new renewables nuclear and fossil fuel energy consumption at disaggregated level the capital labor and new renewables elasticities of real output are positive and statistically significant other energy consumption item s elasticities are insignificant the results from error correction model reveal the interdependencies between new renewables nuclear fossil fuel and total non renewable energy consumption and economic growth the unidirectional causality from hydroelectric total renewable consumption to economic growth the substitutability between new renewables and fossil fuel consumption and the substitutability between new renewables and nuclear energy consumption additionally nuclear and new renewables energy consumption responds to bring the system back to equilibrium overall aggregated analysis may obscure the relationship between different types of clean energy consumption and economic growth

modelling the linkages between us and latin american stock markets this paper examines the linkages between us and latin american stock markets during the 1995 2002 period using recently developed cointegration techniques that allow for structural shifts in the long run relationship results suggest that when conventional cointegration tests are applied a long run relationship is found only in the cases of brazil and mexico for the dow jones dj index and in the case of brazil for the standard and poor s 500 sp500 index in contrast if the possibility of structural breaks is introduced strong evidence is found in favour of such a relationship between the argentine chilean and venezuelan indices and the dj index after the 1998 financial turmoil and between the brazilian and mexican indices and the dj index before such turbulence while some marginal cointegration is detected between the mexican and dj indices from february 1998 additionally evidence is found of a cointegrating relationship between the argentine chilean and mexican indices and the sp500 index f

the structure of interdependence in international stock markets abstract this study investigates the dynamic structure of nine major stock markets using an error correction model and directed acyclic graphs dag the dag representation provides a structure of causality among these markets in contemporaneous time building on this contemporaneous structure and the estimated error correction model innovation accounting techniques are applied the results show that the japanese market is among the most highly exogenous and the canadian and french markets among the least exogenous in our nine market study the us market is highly influenced by its own historical innovations but it is also influenced by market innovations from the uk switzerland hong kong france and germany the us market is the only market that has a consistently strong impact on price movements in other major stock markets in the longer run

on the causal dynamics between economic growth renewable energy consumption co2 emissions and trade openness fresh evidence from brics countries abstract the current study investigates the causal relationship between economic growth and renewable energy consumption in the brics countries over the period 1971 2010 within a multivariate framework the ardl bounds testing approach to cointegration and vector error correction model vecm are used to examine the long run and causal relationships between economic growth renewable energy consumption trade openness and carbon dioxide emissions empirical evidence shows that based on the ardl estimates there exist long run equilibrium relationships among the competing variables regarding the vecm results bi directional granger causality exists between economic growth and renewable energy consumption suggesting the feedback hypothesis which can explain the role of renewable energy in stimulating economic growth in brics countries

evolution in dynamic linkages across daily national stock indexes abstract this article investigates how dynamic linkages among the daily rates of return of eight national stock indexes have evolved since 1972 a dynamic simultaneous equations model is estimated to describe the contemporaneous and lead lag relationships across national equity markets over three different years 1972 1980 and 1987 results reveal growing market interdependence within the same geographical region over time while there are many significant intermarket relationships within the same 24 hour period there are few significant lagged responses across markets beyond 24 hours this suggests a high degree of international market efficiency furthermore japan s market influence has been growing to rival that of the usa

price transmission dynamics between adrs and their underlying foreign securities abstract this paper extends previous research by considering three pricing factors for american depository receipts adrs the price of the underlying shares in the local currency the relevant exchange rate and the us market index using both a vector autoregressive var model with a cointegration constraint and a seemingly unrelated regression sur approach we examine the relative importance of and the speed of adjustment of adr prices to these underlying factors our results show that while the price of the underlying shares is most important the exchange rate and the us market also have an impact on adr prices while the bulk of the shocks to the pricing factors are reflected in the adrs within the same calendar day there are indications that the adjustments are not completed until the following day curiously the adrs appear to initially overreact to the us market index but underreact to changes in underlying share prices and exchange rates

stock returns and the transfer of information between the new york and tokyo stock exchanges abstract this study examines the transmission of pricing information between the new york nyse and tokyo tse stock exchanges using opening and closing stock prices for seven japanese firms the results of this study suggest that 1 sample firm tse opening returns respond to changes in sample firm nyse intraday stock performance with transmission apparently completed at the tse opening and 2 sample firm nyse opening returns as well as subsequent trading respond to changes in sample firm tse intraday stock performance taken together the evidence reported in this study is generally consistent with the notion of semi strong form market efficiency jel g15

estimating time varying variances and covariances via nearest neighbour multivariate predictions applications to the nyse and the madrid stock exchange index in this article we present a technique to obtain the time varying covariance matrix for several time series for nearest neighbour predictors to illustrate the use of this technique we analyse the time varying variances and correlations between the daily returns on two equity stock market indexes the new york stock exchange and the madrid stock exchange index

economic growth energy intensity and the energy mix abstract this paper explores how changes in energy intensity and the switch to renewables can boost economic growth to do so we implement a dynamic panel data approach on a sample of 134 countries over the period 1960 to 2010 we incorporate a set of control variables related to human and physical capital socio economic conditions policies and institutions which have been widely used in the literature on economic growth given the current state of technology improving energy intensity is growth enhancing at the worldwide level moreover conditional to energy intensity moving from fossil fuels to frontier renewables wind solar wave or geothermic is also positively correlated with growth our results are robust to the specification of the dynamic panel with respect to alternative approaches pooled ols within group or system gmm and to alternative specifications accounting for heterogeneity across countries a set of institutional factors and other technical aspects

greenhouse gas emissions energy consumption and economic growth a panel cointegration analysis from canadian industrial sector perspective abstract this paper investigates the long run and the causal relationship between greenhouse gas emissions energy consumption and economic growth for canadian industrial sectors over the period 1990 2007 the empirical findings suggest that in the long run equilibrium energy consumption has a positive and statistically significant impact on greenhouse gas emissions whereas a non linear relationship is found between greenhouse gas emissions and economic growth consistent with the environmental kuznets curve the short run dynamics conveys that there is a unidirectional granger causality running from energy consumption to greenhouse gas emissions from economic growth to greenhouse gas emissions and a weak unidirectional causality running from greenhouse gas emissions to energy consumption from economic growth to energy consumption in the long run however there seems to be a weak one way causality flowing from energy consumption and economic growth to greenhouse gas emissions

does renewable and or non renewable energy consumption matter for total factor productivity tfp growth evidence from the brics abstract studies proved that output growth is mainly associated with the total factor productivity tfp growth and variables that affect the tfp have an important explanatory power on output in this regards the aim of this study is to examine the causal relationship between different types of energy consumption and tfp growth in the brics from 1992 to 2012 a panel bootstrap granger causality test by konya 2006 68 was employed to investigate the direction of possible connection between energy consumption and tfp growth results show that no remarkable causal link exists between renewable energy consumption and tfp growth in the brics however in the case of non renewables energy consumption creates a positive externality that contributes economic development in brazil and south africa by the growth of tfp as well as energy use itself in this respect policies that promote coal and non renewable electricity consumption in south africa and natural gas consumption in brazil may be beneficial for their economic development

renewable energy consumption co2 emissions and oil prices in the g7 countries abstract economic and societal issues related to energy security and global warming is placing greater emphasis on the consumption of renewable energy this paper presents and estimates an empirical model of renewable energy consumption for the g7 countries panel cointegration estimates show that in the long term increases in real gdp per capita and co2 per capita are found to be major drivers behind per capita renewable energy consumption these results are robust across two different panel cointegration estimators oil price increases have a smaller although negative impact on renewable energy consumption deviations from equilibrium are driven mostly by the error correction term as opposed to short term shocks short term deviations from the long term equilibrium take anywhere from between 1 3 years france and 7 3 years japan to correct

the direct and relative effects of preferential market access abstract the proliferation of preferential trade agreements has resulted in a complex system of preferences in which market access conditions are often discriminatory in this paper we investigate how market access conditions have evolved between 2000 and 2009 and how this has affected international trade our results show that the proliferation of preferential access has increased bilateral trade not only due to lower tariffs but also because preferential access often resulted in higher preferential margins vis a vis foreign competitors the results also indicate that the evolution of the system of preferences has been disadvantageous for countries that did not actively engage in forming new trade agreements

asymmetric volatility transmission in international stock markets abstract the transmission mechanism of price and volatility spillovers across the new york tokyo and london stock markets is investigated the asymmetric impact of good news market advances and bad news market declines on volatility transmission is described by an extended multivariate exponential generalized autoregressive conditionally heteroskedastic egarch model using daily open to close returns we find strong evidence that volatility spillovers in a given market are much more pronounced when the news arriving from the last market to trade is bad a before and after october 1987 crash analysis reveals that the linkages and interactions among the three markets have increased substantially in the post crash era suggesting that national markets have grown more interdependent

common trends and convergence south east asian equity markets 1988 1999 abstract this paper uses two different estimation approaches to demonstrate that equity markets in south east asia have shown signs of converging during the 1990s according to the haldane and hall economic journal 101 436 443 1991 method of measuring convergence a subset of asian markets had converged by mid 1997 this process appears to have been abruptly halted and somewhat reversed by the recent financial crisis we find that in general there are two common trends present in the eight asian equity market indices modeled here and also two trends when the us market is additionally included in a johansen var

the relationship between daily u s and japanese equity prices evidence from spot versus futures markets abstract the daily and overnight transmission of equity prices between the u s and japan is examined in this paper this study documents that the use of the opening value of an equity index to represent equity prices at the open is unlikely to be reliable and the calculated opening values of the nikkei 225 and especially the s p500 indexes mostly reflect prior days closing prices unlike prior studies this paper accounts for this problem of non synchronous trading at the open and finds that u s equity prices do not lead japanese equity prices as both u s and japanese opening equity prices reflect overnight price changes in the other market

energy consumption and economic growth in central america evidence from a panel cointegration and error correction model abstract this study examines the relationship between energy consumption and economic growth for six central american countries over the period 1980 2004 within a multivariate framework given the relatively short span of the time series data a panel cointegration and error correction model is employed to infer the causal relationship based on the heterogeneous panel cointegration test by pedroni pedroni p 1999 critical values for cointegration tests in heterogeneous panels with multiple regressors oxford bulletin of economics and statistics 61 653 670 pedroni p 2004 panel cointegration asymptotic and finite sample properties of pooled time series tests with an application to the ppp hypothesis new results econometric theory 20 597 627 cointegration is present between real gdp energy consumption the labor force and real gross fixed capital formation with the respective coefficients positive and statistically significant the granger causality results indicate the presence of both short run and long run causality from energy consumption to economic growth which supports the growth hypothesis

linkages in international stock markets evidence from a classification procedure in this article we propose a new approach to evaluate the predictable components in stock indices using a boosting based classification technique and we use this method to examine causality among the three main stock market indices in the world during periods of large positive and negative price changes the empirical evidence seems to indicate that the standard poors 500 index contains incremental information that is not present in either the ftse 100 index financial times stock exchange index or the nikkei 225 index and that could be used to enhance the predictability of the large positive and negative returns in the three main stock market indices in the world this in turn would suggest a causality relationship running from the standard poors 500 index to both the ftse 100 and the nikkei 225 indices

economic news and equity market linkages between the u s and u k abstract the source of equity market linkages between the u s and u k is investigated by focusing on intraday price movements of stock index futures contracts we document heightened u k return volatility at 11 30 a m and 1 30 p m gmt which corresponds to regular macroeconomic releases in the u k and u s respectively the response of u k equities in the half hour surrounding the u s announcements is significant and similar to price movements for u s equities to the same announcements these results support the hypothesis that the documented international equity market linkages are attributable to reactions of foreign traders to public information originating from the u s

renewable energy consumption and economic growth evidence from a panel of oecd countries abstract this study examines the relationship between renewable energy consumption and economic growth for a panel of twenty oecd countries over the period 1985 2005 within a multivariate framework given the relatively short span of the time series data a panel cointegration and error correction model is employed to infer the causal relationship the heterogeneous panel cointegration test reveals a long run equilibrium relationship between real gdp renewable energy consumption real gross fixed capital formation and the labor force with the respective coefficients positive and statistically significant the granger causality results indicate bidirectional causality between renewable energy consumption and economic growth in both the short and long run

correlated arch corrarch modelling the time varying conditional correlation between financial asset returns abstract although the time variation of the conditional correlations of asset returns is a well established stylized fact and of crucial importance for efficient financial decisions there is no explicit general model available for its estimation and forecasting in this paper we propose a bivariate garch covariance structure in which conditional variances can follow any garch type process while conditional correlation is generated by an explicit discrete time stochastic process the corrarch process a high order corrarch can parsimoniously be represented by a corgarch process the model successfully generates the reported stylized facts establishes an autocorrelation structure for correlations and thus provides an explicit framework for out of sample forecasting we provide empirical evidence from the g7 stock market indexes

the week end effect in common stock returns the international evidence this paper examines the daily stock market returns for four foreign countries we find a so called week end effect in each country in addition the lowest mean returns for the japanese and australian stock markets occur on tuesday the remainder of the paper answers four questions are seasonal patterns in foreign stock markets independent of those previously reported in the u s do japan and australia exhibit a seasonal one day out of phase due to different time zones do settlement procedures across countries bias week end effects does the seasonal pattern in foreign exchange offset the week end effect in stocks for americans investing overseas some of the most anomalous empirical findings in finance are associated with the sample distributions of daily common stock returns cross 1 french 2 gibbons and hess 3 and keim and stambaugh 4 have documented that the average return on friday is abnormally high and the average return on monday is abnormally low to our knowledge this so called day of the week effect or week end effect has yet to be explained because this anomaly has been reported primarily for u s stock returns it is appropriate to investigate whether similar results occur for other countries positive findings would strongly support the proposition that the weekly seasonal effect is a general world wide phenomenon rather than the result of a special type of institutional arrangement in the u s to shed more light on this proposition our paper examines stock market returns in the u k japan canada and australia since we find a week end effect in each country we can examine a set of interesting questions for example are these seasonals independent of the previously reported seasonal in the u s due to different time zones do far eastern countries exhibit a seasonal one day out of phase do different settlement procedures across countries influence weekend effects does the seasonal in foreign exchange fluctuations see mcfarland pettit and sung 7 and levi 6 offset the week end effect in stock market returns for americans investing overseas

long and short term dynamic causal transmission amongst international stock markets abstract this paper investigates the dynamic causal linkages amongst nine major international stock price indexes in order to gauge the causal transmission patterns we employ very recent methods of i vector error correction modeling and ii level var modeling with possibly integrated and cointegrated processes advocated by i toda and phillips econometrica 61 1993 1367 and ii toda and yamamoto j econometrics 66 1995 225 respectively the paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes in particular we demonstrate that previous research by using ordinary difference vars ignored an important component of linkages displayed purely over the long run this untapped evidence essentially provides robust and very useful information to international financial analysts and investors at a substantive level results of this study tend to support the contention offered by several studies in the literature of significant interdependencies between the established oecd and the asian markets and also the leadership of the us and uk markets over the short and long run the levels var however illustrate the japanese market s influence as an additional long run leader findings seem to be plausible given that these three markets us uk and japan have consistently contributed over 75 of global stock market capitalization over the major part of the sample under consideration at a methodological level this analysis also provides a primer for the wealth of applied financial econometric research focusing on dynamic causal inference which involve systems containing possibly integrated and cointegrated processes

the relationship between disaggregate energy consumption and industrial production in the united states an ardl approach abstract we re examine the relationship between disaggregate energy consumption and industrial output as well as employment in the united states using the autoregressive distributed lag ardl approach developed by pesaran and pesaran pesaran m h pesaran b 1997 working with microfit 4 0 camfit data ltd cambridge and pesaran shin and smith pesaran m h shin y smith r j 2001 bounds testing approaches to the analysis of level relationships journal of applied econometrics 16 289 326 in particular we focus attention on the following energy consumption variables coal fossil fuels conventional hydroelectric power solar energy wind energy natural gas wood and waste the sample period covers 2001 1 2005 6 our results imply that real output and employment are long run forcing variables for nearly all measures of disaggregate energy consumption

wealth effects of foreign expansion by u s banks abstract the effects of foreign expansion on the market values of u s banks usbs are examined in this study the results show that shareholders of usbs experience significant abnormal returns of 0 17 percent when banks announce foreign expansions abnormal returns are insignificant when the announced mode of expansion is through a representative office are significantly positive for announcements related to branches and are significantly negative when the announced mode of expansion is through formation of a joint venture or a subsidiary or through an acquisition abnormal returns are significantly negative when banks announce expansion into developed countries and are significantly positive when announcements relate to risky developing countries post announcement changes in the total variance of returns and in the unsystematic risk of usbs are inversely related with abnormal returns higher wealth effects are associated with higher levels of prior overseas experience

regional pull vs global push factors china and us influence on asian financial markets abstract this paper compares spillovers from the us and chinese financial markets to markets in asia and the pacific structural var analysis points to the important influence of chinese equities and currency movements in normal times china s influence in the equity market has risen to a level close to that of the united states although the relative impact of the united states became stronger in crisis periods nonetheless china s bond market remains a negligible player china s role may be interpreted as a regional pull factor while that of the united states remains a key global push factor

the link between renewable energy production and gross domestic product in africa a comparative study between 1980 and 2008 abstract renewable energy re projects are arguably one of the most important strategies that can be used in the mitigation of climate change impacts at the same time re technologies can generate clean energy and potentially boost the economy of the african continent it is thus not surprising that recent studies have investigated the relationship between re and economic growth in some african countries however the limitation of these reductionist analytical frameworks is that they can conceal the true regional picture in terms of the link between investments in re technologies and gross domestic product gdp this holistic analysis is important in order to inform regional policies on climate change the article uses statistical analytic techniques to examine the correlation between re production and economic growth across different blocks of the african continent between 1980 and 2008 the analysis is between geographical blocks e g southern africa western africa etc and between oil and non oil producing blocks generally speaking while there exists a similar pattern in all the studied blocks in terms of mean standard deviation and correlation between re and gdp a few exceptions can be found for instance the rise in re gdp correlation from 1992 1993 onwards was conspicuously higher in north africa and oil producing countries compared to all the other blocks similarly southern africa was the only block where the correlation between re and gdp was negative throughout the period under review except 1988 1989 and 1997 when it was positive

the international price transmission in stock index futures markets i introduction numerous studies have investigated market linkages and price transmission mechanisms in major international equity markets employing the analytical framework of the vector autoregression var or its variant the error correction model ecm 1 studies such as von furstenberg and jeon 1989 eun and shim 1989 and koch and koch 1991 focus on the short run dynamic pattern of price transmission others like taylor and tonks 1989 and francis and leachman 1998 are primarily interested in the long run pattern of price transmission more recently an increasing number of studies explore both long and short run patterns of price transmission included in this last set are the works of malliaris and urrutia 1992 arshanapalli and doukas 1993 masih and masih 2001 and bessler and yang 2003 among others this study extends the examination of international price transmission to stock index futures markets the article contributes to the existing literature in three aspects first a relatively new empirical framework is applied to allow for inferences of price transmission at three different time horizons instantaneous the short run and the long run building on recent advances in statistical analysis of causal modeling using directed acyclic graphs dags as in spirtes et al 2000 pearl 1995 2000 and swanson and granger 1997 this study is able to explore the contemporaneous causal pattern underlying the correlations among market innovations the existence of strong contemporaneous correlations among market innovations has been well documented in the united states and international stock markets by agmon 1972 eun and shim 1989 koch and koch 1991 housbrouk 1995 and bessler and yang 2003 it is also well recognized by agmon 1972 849 and eun and shim 1989 246 that contemporaneous correlations among market innovations reflect the phenomenon that new information in one market is transmitted and shared by other markets in contemporaneous time due to immediate response to price changes between markets however more in depth analysis on exactly how instantaneous price transmission among market innovations is conducted in international equity markets has not yet been well addressed in the existing literature although bessler and yang 2003 touch on the issue the necessity of imposing constraints in the spirit of the block recursive structure noted by koch and koch 1991 in the dag analysis of var innovations is proposed and discussed thoroughly in this study second innovation accounting analysis is more thoroughly explored in the study innovation accounting tools i e impulse response analysis and forecast error variance decomposition have been commonly used to summarize the dynamic pattern of price transmission among international financial markets the importance of the factorization of innovations i e var residuals in yielding sound inference has been well acknowledged theoretically by bernanke 1986 sims 1986 and swanson and granger 1997 the application of the dag technique as discussed in swanson and granger 1997 and explained in the next section is further key to innovation accounting analysis in this study the instantaneous price transmission pattern between market innovations as identified by the dag analysis provides a data determined solution to the basic problem of orthogonalization of residuals from the ecm and thus is critical to impulse response analysis or forecast error variance decompositions swanson and granger 1997 argue that compared to the choleski decomposition the dag based structural decomposition is sensible but not subjective because it allows for the properties exhibited by the data although several recent studies such as those by bessler and yang 2003 bessler et al 2003 haigh and bessler forthcoming and yang 2003 have used the dag based structural decomposition in a similar setting the study is the first attempt responding to the suggestion by swanson and granger 1997 364 of investigating the empirical implications of the dag based contemporaneous causal modeling