Asymmetric and nonlinear inter-relations of US stock indices

Document Type

Article

Source of Publication

International Journal of Managerial Finance

Publication Date

1-1-2018

Abstract

© 2018, Emerald Publishing Limited. Purpose: The purpose of this paper is to examine the inter-relations among the US stock indices. Design/methodology/approach: Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model. Non-linear inter-relations are researched via Breitung’s nonlinear cointegration, a M-G nonlinear causality model, shocks to the forecast error variance, a shock spillover index and an asymmetric VAR-GARCH (VAR-ABEKK) approach. Findings: The inter-relations are significant. The results are robust across all types of inter-relations. They are highest in the Lehman Brothers sub-period. Higher stability after the EU debt crisis, enhances independence and growth for the US stock indices. Originality/value: To the best of the knowledge, this is the first study to examine the inter-relations of US stock indices. Most studies on inter-relations concentrate on the portfolio analysis to reveal diversification benefits among various asset markets internationally. Hence this study contributes to this literature on the inter-relations of a specific asset market (stock), and in a specific nation (USA). The evident inter-relations support the notion of diversification benefits in the US stock markets.

ISSN

1743-9132

Publisher

Emerald Group Publishing Ltd.

Volume

14

Issue

1

First Page

78

Last Page

129

Disciplines

Business

Keywords

Crises, Inter-relations, Non-linear, Stock markets

Scopus ID

85037034815

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Green: A manuscript of this publication is openly available in a repository

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