The purpose of this paper is to review and organize the status of research already conducted on financial market contagion so as to provide easy access to future researchers…
Abstract
Purpose
The purpose of this paper is to review and organize the status of research already conducted on financial market contagion so as to provide easy access to future researchers. Additional objective of the study is to classify the available literature and provide a complete bibliography on the subject and analyze the findings of the studies considered for review.
Design/methodology/approach
A number of resources were looked at to review the past literature and out of hundreds of papers, 104 research papers form the sample for the present study. These 104 research papers are further classified on the basis of various variables so as to know the status of research done on the topic.
Findings
This paper classifies the past research done on financial market contagion and found that the research work in this field has increased significantly during recent times, particularly between 2011 and 2015. Apart from the above finding, many other findings were revealed by the studies used for this paper.
Practical implications
This paper presents the concise view of available literature. It helps the future researchers with the same research interest. This is the major implication of such literature review paper.
Originality/value
This paper provides collection, classification and comprehensive bibliography on financial market contagion. This paper is surely going to be of great value for academicians, practitioners and future researchers who study the existing research work as well as for conducting future research in the same subject.
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Neha Seth, Monica Singhania and Saif Siddiqui
The paper aims to resolve the ongoing issue of asset pricing in indexed based investments, primarily in Sukuks. It is to be done by modeling the returns of S&P MENA (Middle East…
Abstract
Purpose
The paper aims to resolve the ongoing issue of asset pricing in indexed based investments, primarily in Sukuks. It is to be done by modeling the returns of S&P MENA (Middle East and North Africa) Sukuk index (SPS), S&P MENA bonds indices (SPM) and Dow Jones MENA (DJM) equity index using system equations and to find out cointegration among them.
Design/methodology/approach
In this study, daily data of stated regional market indices, from the month July 2013 to June 2017, are analyzed using the cointegration model and Generalized Method of Moments (GMM) estimation.
Findings
Findings revealed through cointegration test that indices are found to be not integrated in the long run; however, in short run, DJM is having one way relation with other two indices, and SPM and SPS are having unidirectional relation. The results of the GMM model show that SPS is significant in influencing SPM and vice-versa, and rest other variables are insignificant in influencing each other systems equations.
Originality/value
There is ample work available on various Islamic indices, but there is no study found on the MENA (Middle East and North Africa) Equity, MENA Bond and MENA Sukuk indices together.
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Neha Seth and Monica Singhania
The purpose of this paper is to understand the situation of Accurate and then to consider possible options for Accurate to face competition in future. Several opportunities are…
Abstract
Learning outcomes
The purpose of this paper is to understand the situation of Accurate and then to consider possible options for Accurate to face competition in future. Several opportunities are also linked with certain drawbacks and hence by studying the entire mechanism, the decision makers of Accurate may decide on its future direction and how to go about it.
Case overview/synopsis
Accurate Weld Arc was established in New Delhi in 1993, his son. The company focused on manufacturing wire drawings and selling to niche customer segment. Due to this, they were operating at a modest turnover. At this juncture, the organization took two critical decisions, first, to enter the welding electrodes market which had a bigger target segment, and second, to hire a Marketing Head who conducted an extensive marketing research to recognize the need of customers and to identify differentiating factors for the organization. Later, the company made further investment in middle-gauge welding electrodes and its turnover climbed in the first year. After that, the company had set up a manufacturing unit in Raipur, Chattisgarh which generated huge profit and is now looking forward to spread its wings in other parts of the country.
Complexity academic level
This case may be used for postgraduate students, who are doing their specialization in finance and accounting.
Supplementary materials
Teaching Notes are available for educators only. Please contact your library to gain login details or email support@emeraldinsight.com to request teaching notes.
Subject code
CSS 1: Accounting and Finance
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Neha Seth and Monica Singhania
The purpose of this paper is to analyze the existence of volatility spillover effect in frontier markets. This study also examines whether any linkages exist among these markets…
Abstract
Purpose
The purpose of this paper is to analyze the existence of volatility spillover effect in frontier markets. This study also examines whether any linkages exist among these markets or not.
Design/methodology/approach
Monthly data of regional frontier markets, from 2009 to 2016, are analyzed using Multivariate GARCH (BEKK and Dynamic Conditional Correlation (DCC)) models.
Findings
The result of cointegration test shows that the sample frontier markets are not linked in long run, and Granger causality test reveals that the markets under consideration do not cause each other even in the short run. BEKK test says that the effect of the arrival of shock from the own market does not last for longer, whereas shock from other markets lasts with the stronger persistence, and according to DCC test, the volatility spillover exists for all the markets.
Practical implications
The results of present study suggest that the frontier markets are not cointegrated in the long run as well as in the short run, which opens the doors for long-term investments in these markets in future, which may lead to decent returns. Long-term investors may draw the benefits from including the financial assets in their portfolios from these non-integrated frontier markets; nevertheless, they have to consider and implement diversification and hedging strategies during the period of financial turmoil, so as to protect themselves against economic and financial distress.
Originality/value
Significant work has been done on developed, developing and emerging markets but frontier markets are not explored much so far. This paper is an attempt to see the status of frontier stock markets as potential financial markets for diversification benefits.
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The purpose of this paper is to obtain a comprehensive structure of past empirical studies on financial contagion which can provide the present growth and future scope of research…
Abstract
Purpose
The purpose of this paper is to obtain a comprehensive structure of past empirical studies on financial contagion which can provide the present growth and future scope of research work on the field of contagion analysis.
Design/methodology/approach
Present study identifies 151 empirical studies on financial contagion and summarises all the studies on the basis of tools and methodology used, year of the studies, origin of the studies, sample period and sample countries taken, studies undertaken on the basis of different crisis period and markets considered and finally sources of the studies.
Findings
The results of the analysis show that the empirical studies on contagion increased continuously over the past five years. Higher order test of contagion with more number of sample countries may provide more accurate picture on financial contagion.
Originality/value
This paper collects, classifies and summarises past empirical studies on financial contagion and provides valuable conclusion on present growth and future scope of studies on financial contagion. The information given in this paper can be helpful for future researchers and academicians on this particular field; the summary of the conclusion (from past reviews) may be helpful for the policy makers for asset allocation and risk management.
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This paper aims to provide a bibliometric review and visualisation analysis of the literature on Sustainable Stock Indices (SSI) between January 2001 and March 2022. The purpose…
Abstract
Purpose
This paper aims to provide a bibliometric review and visualisation analysis of the literature on Sustainable Stock Indices (SSI) between January 2001 and March 2022. The purpose of performing this bibliometric analysis is to empirically report the trend, intellectual structure, knowledge development directions and identify prospective research topics in the area of SSI.
Design/methodology/approach
A total of 222 publications were selected after evaluating, identifying and synthesising the extensive publications using the Preferred Reporting Items for the Systematic Reviews and Meta-Analyses (PRISMA) approach. The articles were extracted from the databases of SCOPUS, Web of Science and Google Scholar. The study uses VOSviewer and RStudio software to answer four research questions.
Findings
The results signify that there has been a considerable increase in the level of research considering SSI. Further, the study shows that SSI is among the top five trending keywords in the research related to finance and environment. Most papers considered as a sample for this study are based on Dow Jones Sustainable Indices. Noteworthy, very few economies are participating in this research domain, and the significant contribution is from the developed countries.
Practical implications
The present review paper may assist the researchers in identifying the trending research topics in this domain. It may serve as a roadmap for several further studies in the area.
Originality/value
This study is unique in terms of reviewing the literature based on SSI. Further, it provides a holistic view of the current trend, global position and research hotspots of SSI, which has important implications for future research.
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Anil Sharma and Neha Seth
The purpose of this paper is to organize and take stock of the present situation of research on stock market integration by reviewing the available literature, to provide quick…
Abstract
Purpose
The purpose of this paper is to organize and take stock of the present situation of research on stock market integration by reviewing the available literature, to provide quick and easy access for future researchers. Another objective of the present study is to classify the literature and to provide the comprehensive bibliography on stock market integration and to analyse the findings and results of the studies taken into consideration for review.
Design/methodology/approach
A range of sources were searched to review the past literature on stock market integration and out of thousands of papers, 100 research papers form the sample for the present study. These 100 research papers are classified on the basis of various variables to know the status of research on the same topic.
Findings
This paper classifies the past literature on stock markets integration and finds that the research work on the same area has been increased during the recent time period, especially from 2005 to 2010 and coverage of stock market integration across emerging economies has increased in recent years. The study revealed many other findings also.
Originality/value
The present paper provides the collection, classification and comprehensive bibliography on stock market integration, which may be helpful for academicians, practitioners and future researchers when studying the existing research work, as well as for considering future researches on the same subject area.
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The purpose of this paper is to examine the informational efficiency and integration simultaneously for select Asian and US stock markets while considering the impact of recent…
Abstract
Purpose
The purpose of this paper is to examine the informational efficiency and integration simultaneously for select Asian and US stock markets while considering the impact of recent financial crisis.
Design/methodology/approach
Daily stock market data from 13 world markets covering the period of ten years (from January 1, 2000 to December 31, 2010) is tested using Run test, Unit root test, GARCH(1, 1) model, Pearson correlation coefficient, Johansen’s cointegration test and Granger causality test.
Findings
It is concluded that the markets under study are inefficient in weak form which creates the chances of earning abnormal returns for the investors. Furthermore, the markets are found to be correlated and integrated in long-run, which makes the international fund diversification insignificant. The degree of inefficiency, in general, is not affected by the recent financial crisis but the level of integration among stock markets is reduced with the effect of recent financial crisis.
Practical implications
Individual/institutional investors, portfolio managers, corporate executives, policy makers and practitioners may draw meaningful conclusions from the findings of this type of researches while operating in stock markets. They can use such studies for the management of their existing portfolios as their portfolio management strategies may be, up to some extent, dependent upon such research work.
Originality/value
The originality of the present study lies in the fact that this paper is an attempt to fill the time gap of comprehensive researches on Asian and US markets and an effort to test stock market efficiency and integration simultaneously.