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The twenty-first century may well be the time when the balance of power shifts to Brazil, Russia, India and China, nations collectively referred to as BRICs economies. These nations constitute the shape of the future, giving rise to a new world economy. Leaders in BRICs are frenetically laying the groundwork for decades of new growth. Foreign Inves...
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Citations
... While globalization has contributed to increased consumption, employability (Dutt et al., 2009), technology transfer (Etokakpan et al., 2020;Ibrahiem & Hanafy, 2021), and economic growth (Feridun et al., 2006;Navarro, 1998) in countries, it has also been associated with detrimental environmental effects such as deforestation (Hecht et al., 2006), pollution (Feridun et al., 2006;Shahbaz et al., 2018), and loss of biodiversity (Chhogyel et al., 2021;Rehman et al., 2021). Trade facilitates the integration of different markets and countries, which in turn allows for the transfer of knowledge and resources across international boundaries (Mishra et al., 2022;Modi et al., 2010;. On the contrary, globalization poses the challenge which embraces increased air pollution that causes climate change, water pollution and overuse that harms human health, depletion of forest and fishery areas, loss of habitats, and biodiversity loss (Aslam & Azhar, 2013). ...
In the face of mounting global concerns over climate change and its far-reaching consequences, this research paper examines the effect of economic growth, natural resources, energy sources, trade, environment-related technologies, energy intensity, and environmental tax on carbon dioxide (CO2) emissions. This study employs the Method of Moments Quantile Regression approach with data from 108 countries between 1990 and 2020. The empirical outcomes revealed a positive relationship between economic growth and CO2 emissions, following an inverted U-shaped pattern known as the Environmental Kuznets Curve. Energy intensity and the use of fossil fuels both raise CO₂ emissions, whereas environmental taxes and the generation of renewable energy significantly reduce carbon emissions, especially at higher quantiles. Hence, implementing higher environmental tax levels and promoting cleaner energy sources mitigate pollution. Trade and the development of environment-related technologies appear to contribute to mitigating CO2 emissions, yet their statistical significance remains inconclusive. The findings emphasize the importance of sustainable development strategies that balance economic growth with environmental protection. Policymakers should prioritize promoting renewable energy, improving energy efficiency, and reassessing environmental tax levels to align with climate change goals.
... Globalization is the process of bringing together a variety of nations and markets, enabling the spread of information and assets across international boundaries (Mishra et al., 2022;Modi et al., 2010;. Globalization helps the interconnectedness and integration of economies and societies around the world. ...
To achieve Sustainable Development Goals, countries face the challenge of expanding economic activities while mitigating pollution. Using the panel autoregressive distributed lag and panel non‐linear autoregressive distributed lag approach, this study investigates the effects of globalization, economic development, human development, industrialization, non‐renewable energy, and population density on the carbon emissions (CO2) of 64 countries. This study validates the Environmental Kuznets Curve hypothesis in upper‐ and lower‐middle‐income countries. However, low‐income countries exhibit a U‐shaped relationship, while high‐income countries have successfully mitigated CO2 emissions to some extent. The analysis shows bidirectional causality between CO2 emissions and other variables, except for one‐way causality from globalization to CO2 emissions. Manufacturing in upper‐ and lower‐middle‐income countries depends on conventional energy sources, indicating the need for policies to promote renewable energy sources. The findings have significant policy implications for enhancing environmental sustainability and achieving sustainable economic growth while mitigating CO2 emissions to achieve the SDGs.
... Nonetheless, stock market integration is dynamic and time-varying during the crisis period (Chakrabarti & Roll, 2002;Gupta & Guidi, 2012;Huyghebaert & Wang, 2010;Joshi et al., 2021b;Longin & Solnik, 1995;Morana & Beltratti, 2008;Narayan et al., 2014;Patel & Patel, 2022). This is attributed to the diversification of foreign investors' Vision portfolios and their preference for emerging economies in the post-liberalization era (Joshi et al., 2021a;Modi et al., 2010). At the same time, institutional investors are required to protect their clients' risk-adjusted returns. ...
The socio-economic environment of a country may significantly influence the size and working of the country’s financial markets in the long run. Keeping this in mind, this study aims to analyse the long-run and short-run impact of COVID-19 cases, deaths, stringency index, and vaccinations on the US stock market. Daily time series data ranging from 22 January 2020, to 30 April 2021, was considered in this study. The ARDL bounds test approach was employed to examine long-run and short-run relationships. Our statistical evidence suggests that, in the long run, confirmed cases and stringency have a negative and significant impact on stock markets, whereas vaccinations have a positive and significant effect on the stock markets. This indicates that any public health emergency adversely affects the stock markets, such as a pandemic outbreak. The government should ramp up the efforts towards vaccinating their citizens in the earliest possible timeline. Such actions of resurgence from the pandemic instil confidence in the market. Policymakers should be thoughtful about formulating contingency measures to effectively safeguard the population while preventing the deterioration in investor confidence.
... According to the studies, the financial integration between stock markets is rising (Chien et al., 2015;Morana and Beltratti, 2008;Park, 2013;Phylaktis and Ravazzolo, 2005;Yu et al., 2010). However, there is still evidence of diversification among the emerging and developed market to diversify the risk (Al Nasser and Hajilee, 2016;Chelley-Steeley, 2004;Guidi et al., 2016;Johnson and Soenen, 2003;Lehkonen and Heimonen, 2014;Modi et al., 2010;Mohti et al., 2019;Rizwanullah et al., 2020). Chen (2018) finds the integration at a global level as well as geographical group of stock markets. ...
... This supports the view of Narayan and Smyth (2005) who note cointegration between New Zealand and US market. Modi et al. (2010) manifest a strong opportunity for portfolio diversification for US investors on the Hong Kong, Russian and Indian markets during 1997-2008. However, Huyghebaert and Wang (2010) argue that the returns in East Asia and Mainland China are heavily affected by the US, although the reverse does not hold true. ...
... The findings are consistent with Mukherjee and Mishra (2007) who observe India's contemporary relationship with France, Russia, Italy, Britain, Spain and Germany. The USA significantly influences India (Aityan et al., 2010;Mensi et al., 2016;Modi et al., 2010;Mukherjee and Bose, 2008). There are many studies who found the USA does not significantly influence the Chinese market. ...
... According to the studies, the financial integration between stock markets is rising (Chien et al., 2015;Morana and Beltratti, 2008;Park, 2013;Phylaktis and Ravazzolo, 2005;Yu et al., 2010). However, there is still evidence of diversification among the emerging and developed market to diversify the risk (Al Nasser and Hajilee, 2016;Chelley-Steeley, 2004;Guidi et al., 2016;Johnson and Soenen, 2003;Lehkonen and Heimonen, 2014;Modi et al., 2010;Mohti et al., 2019;Rizwanullah et al., 2020). Chen (2018) finds the integration at a global level as well as geographical group of stock markets. ...
... This supports the view of Narayan and Smyth (2005) who note cointegration between New Zealand and US market. Modi et al. (2010) manifest a strong opportunity for portfolio diversification for US investors on the Hong Kong, Russian and Indian markets during 1997-2008. However, Huyghebaert and Wang (2010) argue that the returns in East Asia and Mainland China are heavily affected by the US, although the reverse does not hold true. ...
... The findings are consistent with Mukherjee and Mishra (2007) who observe India's contemporary relationship with France, Russia, Italy, Britain, Spain and Germany. The USA significantly influences India (Aityan et al., 2010;Mensi et al., 2016;Modi et al., 2010;Mukherjee and Bose, 2008). There are many studies who found the USA does not significantly influence the Chinese market. ...
... In line with the previous studies (see, e.g., Modi et al,. 2010;Natarajan et al., 2014;Singh & Kaur, 2015;Uludag&Ezzat, 2017 andHung, 2019), this study computes the daily MIR using the following formula; ...
This study aims to examine the index return variation caused by shocks transmissions among six Arabianstock markets namely (Amman stock exchange, Casablanca stock exchange, Dubai financial market, EgyptCapital Market, Saudi Stock Market, and Palestine Securities Exchanges) throughout the 2nd of January2017 and the 2nd of January 2020. The results showed weak returns and volatility spillovers within theArabian stock markets; in particular, the overall spillover index of return indicates that only 3.38% of thevariations are caused by the cross-market shocks, whereas, 96.62% of the variations are caused by themarket's shocks.In addition, the overall value of the volatility spillover index implies that only 2.4% of thevariations are caused by the cross-market shocks, whereas, 97.6% of the variations are caused by marketown shocks.The study recommended conducting further studies on all Arabian markets, especially in lightof the current conditions of the Corona crisis.Keywords: Arabian stock markets, Market index, Return and Volatility Spillover.
(7) (PDF) Market Index Return and Volatility Spillovers: Evidence from Arabian stock markets. Available from: https://www.researchgate.net/publication/354281786_Market_Index_Return_and_Volatility_Spillovers_Evidence_from_Arabian_stock_markets [accessed Oct 25 2022].
... Co-movement Theory among countries will determine the diversification strategy adopted by international investors, particularly capital markets in developing countries (Modi patel & patel, 2010). Joint movements in the international capital market are also influenced by various global factors. ...
This research examines the cointegration of macroeconomic variables and the Dow Jones Industrial Average Index toward IHSG. The Sampling data used is non probability sampling techniques by using historical monthly data from January 2015 to December 2019. The method used in this study are Augmented Dickey-Fuller Test for stationarity test, Johansen Test for Cointegration, and Error Correction Model for short-term relationships with eviews 10. The findings showed that DJIA Index not cointegrated with IHSG because investors are more responsive to global market and domestic sentiment. Exchange rates not cointegrated with the IHSG because exchange rate and IHSG movements do not always had a negative relationship. Interest rates are not cointegrated with IHSG because most of the sectors in the IDX affected by external sentiment than interest rates. Meanwhile, inflation have a cointegration relationship but does not have a short-term relationship with IHSG because inflation is generally known as a continuous increase in the price of goods as a whole. Crude oil have a cointegration relationship but does not have a short-term relationship with IHDG, which implies that an increase or decrease in crude oil in the short term can not affect IHSG.
... Lee [8] studied the volatility spillover effect within six Asian countries for the period from 1985 to 2004, finding that there are significant volatility spillover effects between them. Modi et al. [16] used various alternative techniques for recognizing co-movement resulting among the selected developed stock markets and the emerging stock markets of the world. These authors found that all the markets showed positive average daily returns and that there was considerable volatility in the correlations between the eight stock markets over time. ...
The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to identify the cause of coherent changes in volatility or price. The function is calculated using the product of the variations in volatility (or price) of a pair of stocks, averaged over all pair particles. In addition to the global volatility co-movement, its distribution according to the volatility of the stocks is also studied. We find that stocks with similar volatility tend to have a greater co-movement than stocks with dissimilar volatility, with a general decrease in co-movement with increasing volatility. On the other hand, when the average volatility (or log-price) is subtracted from the stock volatility (or log-price), the co-movement decreases notably and becomes almost zero. This result, interpreted within the background of many body physics, allows us to identify the index motion as the main source for the co-movement. Finally, we confirm that during crisis periods, the volatility and log-price co-movement are much higher than in calmer periods.
... Quanto ao objetivo de analisar o comportamento dos mercados, no curto e no longo prazo, são aplicados diversos procedimentos estatísticos à variável volatilidade condicionada: para analisar o comportamento das volatilidades dos mercados no curto prazo, são aplicados testes de valores extremos, com base na proposta de Lin et al. (1994); por outro lado, considerando também como objetivo analisar os comportamentos das volatilidades no longo prazo, recorre-se à análise de componentes principais, tendo como inspiração os trabalhos de Meric & Meric (1989), Morana & Beltratti (2006) e Modi & Patel (2010). A nossa proposta diferencia-se, porém, da apresentada nestes trabalhos, por recorrer à volatilidade, enquanto indicador de mercado, em lugar da habitual rendibilidade, e por selecionar uma base alargada de mercados emergentes, em representação de diversas geografias à escala global. ...
Neste trabalho é analisado o impacto da recente crise financeira global no comovimento dos mercados bolsistas emergentes, recorrendo à variável volatilidade condicionada. Com este objetivo, foram analisados vinte mercados, no período compreendido entre maio de 2002 e dezembro de 2013. Para estimar a volatilidade dos mercados, recorreu-se ao modelo exponencial de heterocedasticidade condicionada (EGARCH).
Partindo da variável volatilidade condicionada, foi aplicado o teste de valores extremos e a análise de componentes principais, de modo a perceber a influência da crise financeira no comportamento da volatilidade, no curto prazo e no longo prazo, respetivamente. Os resultados permitem concluir que, em consequência da emergência da crise, os mercados bolsistas passaram a reportar comportamentos mais próximos, para os dois horizontes temporais, o que limitou as possibilidades de diversificação à disposição dos investidores.
... The study also suggested the existence of diversification opportunities for China, given its closed nature of the financial system. Another study on co-movement among selected stock market conducted by Modi et al. (2010) found that the correlation of BSE (India) with BVSP (Brazil), MXX (Mexico), FTSE100 (UK), DJIA and NASDAQ (US) is low. Therefore, these combinations provide attractive portfolio diversification opportunities for the US and Indian investors. ...
This paper presents a comprehensive research by studying the cointegration and dynamic linkages of emerging economies all over the world with special emphasis to the US and India to point out the most attractive of them for international portfolio diversification with a lengthy data set of 2003-12 by using appropriate methodologies. It is found that the Indian stock market has short-run granger relationships with most of its BRIC counterparts and some others. In the long-run, nine co-integration relationships are found. It implies that all these stock markets are cointegrated. The US dominance on most markets and dynamic linkages with them has been proved, at least in the short-run. Overall, this study has found that the emerging economies stock markets and Russia don’t provide any portfolio diversification opportunity for the US and other investors.
