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Analysis of Intraday Non-Linear Asymmetrical Relationship in US Stock Exchanges with Momentum Threshold Models

Year 2022, , 63 - 76, 27.04.2022
https://doi.org/10.33203/mfy.1038136

Abstract

The study examines intraday price relationships between SP500 and Dow Jones Industrial (DJI) in the 3 months following the V-type recovery from the stock market crash due to the pandemic. Analysis with Momentum Threshold Value (MTAR) cointegration and error correction models revealed the existence of an intraday non-linear asymmetric relationship in US stock markets. Findings of the MTAR Vector error correction model applied to the 5-minute observations indicate the existence of an asymmetric causality relationship from the SP500 index to the DJI index in the long run.

References

  • Aktar, İ. (2009). Is there any comovement between stock markets of Turkey, Russia and Hungary?.
  • Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) - An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341.
  • Aragó-Manzana, V., & Fernández-Izquierdo, M. Á. (2007). Influence of structural changes in transmission of information between stock markets: A European empirical study. Journal of multinational financial management, 17(2), 112-124.
  • Aslam, F., Ferreira, P., Mughal, K. S., & Bashir, B. (2021). Intraday volatility spillovers among european financial markets during COVID-19. International Journal of Financial Studies, 9(1), 5.
  • Barro, R. J., Ursúa, J. F., & Weng, J. (2020). The coronavirus and the great influenza pandemic: Lessons from the “spanish flu” for the coronavirus’s potential effects on mortality and economic activity (No. w26866). National Bureau of Economic Research.
  • Berberoğlu, M. (2020). The Investigation of Volatility Spillover Effect Between Stock Markets of Turkey, Italy, Greece And Russia. Business & Management Studies: An International Journal, 8(2), 1576-1598.
  • Berument*, H., & Ince, O. (2005). Effect of S&P500's return on emerging markets: Turkish experience. Applied Financial Economics Letters, 1(1), 59-64.
  • Bloomberg. 2020. Perfect Storm Plunges Asia Stocks into Bear Markets One by One. Available online: https://www.bloomberg.com/news/articles/2020-03-09/perfect-storm-is-plunging-asia-stocks-to-bear-markets-one-by-one
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.
  • Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
  • Fama, E.F., (1970) Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Fama, E.F. (1991). Efficient capital markets: II. The journal of finance, 46(5), 1575-1617.
  • Güriş, B., (2020). R Uygulamalı Doğrusal Olmayan Zaman Serileri Analizi, Der Yayınları (202-207).
  • Jebran, K., Chen, S., Ullah, I., & Mirza, S. S. (2017). Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia. The Journal of Finance and Data Science, 3(1-4), 20-30.
  • Kohonen, A. (2012). On detection of volatility spillovers in simultaneously open stock markets. Available at SSRN 2026423.
  • Malkiel, B.G. (1973). A Random Walk Down Wall Street, W. W. Norton, New York.
  • Mavrakis, E. K., & Alexakis, C. A. (2008). Stock markets’ linkages: An empirical investigation for long-term international diversification benefits. International Research Journal of Finance and Economics, 21, 163-178.
  • McKibbin, W., & Vines, D. (2020). Global macroeconomic cooperation in response to the COVID-19 pandemic: a roadmap for the G20 and the IMF. Oxford Review of Economic Policy, 36(Supplement_1), 297-337.
  • Milunovich, G., & Thorp, S. (2006). Valuing volatility spillovers. Global Finance Journal, 17(1), 1-22.
  • Sharkasi, A., Ruskin, H. J., & Crane, M. (2006). Interdependence between emerging and major markets.
  • Tan, T. A. (2012). Stock market integration: Case of the Philippines. Philippine Management Review, 19.
  • The Economist. 2020a. Spread and Stutter. Available online: https://www.economist.com/finance-and-economics/2020/02/27/markets-wake-up-with-a-jolt-to-the-implications-of-covid-19
  • The Economist. 2020c. Sneezy Money. Available online: https://espresso.economist.com/b0b9da81cf357c8884a06de8ef72bea0
  • Xu, Y., Li, S., Xiong, X., & Ren, F. (2017). Intraday volatility spillover between the Shanghai and Hong Kong stock markets—evidence from a+ H shares after the launch of the Shanghai-Hong Kong stock connect. Journal of Management Science and Engineering, 2(4), 290-317.
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528.

ABD Borsalarında Gün İçi Doğrusal Olmayan Asimetrik İlişkinin Momentum Eşik Değerli Modellerle Analizi

Year 2022, , 63 - 76, 27.04.2022
https://doi.org/10.33203/mfy.1038136

Abstract

Çalışma, pandemi nedeniyle borsalarda yaşanan çöküşün V tipi toparlanmasını takip eden 3 aylık dönemde SP500 ve Dow Jones Industrial (DJI) arasındaki güniçi fiyat ilişkilerini incelemektedir. Momentum Eşik Değerli (MTAR) eşbütünleşme ve hata düzeltme modelleri ile yapılan analizler, ABD borsalarında gün içi doğrusal olmayan asimetrik ilişkinin varlığını ortaya koymuştur. Bir dönem önceki pozitif değerleri için MTAR modeli küçük azalmalar gösterirken, değişkenlerin bir dönem önceki negatif değerleri için ise önemli azalmalar göstermektedir. Vektör hata düzeltme modeli bulguları, uzun dönemde SP500 endeksinden DJI endeksine doğru asimetrik bir nedensellik ilişkisinin varlığına işaret etmektedir.

References

  • Aktar, İ. (2009). Is there any comovement between stock markets of Turkey, Russia and Hungary?.
  • Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) - An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341.
  • Aragó-Manzana, V., & Fernández-Izquierdo, M. Á. (2007). Influence of structural changes in transmission of information between stock markets: A European empirical study. Journal of multinational financial management, 17(2), 112-124.
  • Aslam, F., Ferreira, P., Mughal, K. S., & Bashir, B. (2021). Intraday volatility spillovers among european financial markets during COVID-19. International Journal of Financial Studies, 9(1), 5.
  • Barro, R. J., Ursúa, J. F., & Weng, J. (2020). The coronavirus and the great influenza pandemic: Lessons from the “spanish flu” for the coronavirus’s potential effects on mortality and economic activity (No. w26866). National Bureau of Economic Research.
  • Berberoğlu, M. (2020). The Investigation of Volatility Spillover Effect Between Stock Markets of Turkey, Italy, Greece And Russia. Business & Management Studies: An International Journal, 8(2), 1576-1598.
  • Berument*, H., & Ince, O. (2005). Effect of S&P500's return on emerging markets: Turkish experience. Applied Financial Economics Letters, 1(1), 59-64.
  • Bloomberg. 2020. Perfect Storm Plunges Asia Stocks into Bear Markets One by One. Available online: https://www.bloomberg.com/news/articles/2020-03-09/perfect-storm-is-plunging-asia-stocks-to-bear-markets-one-by-one
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.
  • Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
  • Fama, E.F., (1970) Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Fama, E.F. (1991). Efficient capital markets: II. The journal of finance, 46(5), 1575-1617.
  • Güriş, B., (2020). R Uygulamalı Doğrusal Olmayan Zaman Serileri Analizi, Der Yayınları (202-207).
  • Jebran, K., Chen, S., Ullah, I., & Mirza, S. S. (2017). Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia. The Journal of Finance and Data Science, 3(1-4), 20-30.
  • Kohonen, A. (2012). On detection of volatility spillovers in simultaneously open stock markets. Available at SSRN 2026423.
  • Malkiel, B.G. (1973). A Random Walk Down Wall Street, W. W. Norton, New York.
  • Mavrakis, E. K., & Alexakis, C. A. (2008). Stock markets’ linkages: An empirical investigation for long-term international diversification benefits. International Research Journal of Finance and Economics, 21, 163-178.
  • McKibbin, W., & Vines, D. (2020). Global macroeconomic cooperation in response to the COVID-19 pandemic: a roadmap for the G20 and the IMF. Oxford Review of Economic Policy, 36(Supplement_1), 297-337.
  • Milunovich, G., & Thorp, S. (2006). Valuing volatility spillovers. Global Finance Journal, 17(1), 1-22.
  • Sharkasi, A., Ruskin, H. J., & Crane, M. (2006). Interdependence between emerging and major markets.
  • Tan, T. A. (2012). Stock market integration: Case of the Philippines. Philippine Management Review, 19.
  • The Economist. 2020a. Spread and Stutter. Available online: https://www.economist.com/finance-and-economics/2020/02/27/markets-wake-up-with-a-jolt-to-the-implications-of-covid-19
  • The Economist. 2020c. Sneezy Money. Available online: https://espresso.economist.com/b0b9da81cf357c8884a06de8ef72bea0
  • Xu, Y., Li, S., Xiong, X., & Ren, F. (2017). Intraday volatility spillover between the Shanghai and Hong Kong stock markets—evidence from a+ H shares after the launch of the Shanghai-Hong Kong stock connect. Journal of Management Science and Engineering, 2(4), 290-317.
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528.
There are 26 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Ayben Koy 0000-0002-2506-6634

Mehmet Yusuf Güngör 0000-0001-6480-0929

Oğuz Şimşek 0000-0001-6324-0229

Publication Date April 27, 2022
Submission Date December 17, 2021
Published in Issue Year 2022

Cite

APA Koy, A., Güngör, M. Y., & Şimşek, O. (2022). ABD Borsalarında Gün İçi Doğrusal Olmayan Asimetrik İlişkinin Momentum Eşik Değerli Modellerle Analizi. Maliye Ve Finans Yazıları(117), 63-76. https://doi.org/10.33203/mfy.1038136

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.