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The Asymmetric Responses of Stock Markets

Author

Listed:
  • Dhaoui, Abderrazak

    (University of Sousse)

  • Goutte, Stéphane

    (Université Paris 8)

  • Guesmi, Khaled

    (IPAG Business School)

Abstract

This study investigates how various Economic Integration Agreements between Turkey and its trading partners affected the exports of machinery during 1998~2013. In addition, it differentiates between trade in parts and components and finished products, and assesses the effects of Economic Integration Agreements separately on these two types of goods. Using a discrete-time probit model with random effects, we show that an Economic Integration Agreement increases the survival of export relations which were initiated before the agreement. It is found to be reasonably heterogeneous, that is, the effect is found to be larger for parts and components exports occurring within the Global Production Networks compared to finished products exports.

Suggested Citation

  • Dhaoui, Abderrazak & Goutte, Stéphane & Guesmi, Khaled, 2018. "The Asymmetric Responses of Stock Markets," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 33(1), pages 1096-1140.
    • Handle: RePEc:ris:integr:0730
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    Cited by:

    1. Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019. "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, vol. 81(C), pages 136-147.
    2. Ligia Topan & Miguel Jerez & Sonia Sotoca, 2020. "The impact of oil prices on products groups inflation: is the effect asymmetric?," Documentos de Trabajo del ICAE 2020-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Chibueze E. Onyeke & Ifeoma Nwakoby & Josaphat U. J. Onwumere & Ifeoma Ihegboro & Chidiebere Nnamani, 2020. "Impact of Oil Price Shocks on Sectoral Returns in Nigeria Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 208-215.
    4. Woo, Chiew Eng & Kun, Sek Siok, 2019. "Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 23-41.
    5. Han Liu & Peng Yang & Haiyan Song & Doris Chenguang Wu, 2024. "Global and domestic economic policy uncertainties and tourism stock market: Evidence from China," Tourism Economics, , vol. 30(3), pages 567-591, May.
    6. Bouzgarrou, Houssam & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2023. "What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 64(C).

    More about this item

    Keywords

    Oil Price Shocks; Stock Markets; Nonlinear Autoregressive Distributed Lag; Dynamic Multiplier;
    All these keywords.

    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

    Statistics

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