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Mongolian and World Equity Markets: Volatilities and Correlations

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  • Yertai Tanai
  • Kuan-Pin Lin

Abstract

After more than 10 years since the establishment of the Shanghai Cooperation Organization (SCO), this paper studies how variances and correlations have evolved in four SCO countries’ equity markets (China, Kazakhstan, Mongolia, and Russia) relative to Japanese, US and EU markets. We focus on the Mongolian equity market. We trace stock market co-movements of Mongolia and SCO member countries to the world market since the inauguration of the SCO in 2001. We also take into account the effects of recent world financial crisis in the region. As compared to the increasing global trend of market integration among countries, we don’t find any significant contagion among SCO countries in the first half of sample periods. After 2005, market integrations among SCO countries are evident. Copyright Eurasia Business and Economics Society 2013

Suggested Citation

  • Yertai Tanai & Kuan-Pin Lin, 2013. "Mongolian and World Equity Markets: Volatilities and Correlations," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 136-164, December.
    • Handle: RePEc:spr:eurase:v:3:y:2013:i:2:p:136-164
    DOI: 10.14208/eer.2013.03.02.003
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    Cited by:

    1. Yanhui Chen & Kin Lai & Jiangze Du, 2014. "Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 113-132, December.
    2. Mike G. Tsionas & Nicholas Apergis, 2023. "Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1137-1155, January.
    3. Marco Lau & Yongyang Su & Na Tan & Zhe Zhang, 2014. "Hedging China’s energy oil market risks," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(1), pages 99-112, June.
    4. Chau Le & Dickinson David, 2014. "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 133-162, December.

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    More about this item

    Keywords

    SCO; Equity Market; Volatility; Correlation; G10; G15; F15;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F15 - International Economics - - Trade - - - Economic Integration

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