A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries

Journal of International Financial Markets, Institutions and Money

Volumn 27, Issue 1, 2013, Pages 99-112

  Liu, Tengdong ^a   Hammoudeh, Shawkat ^b   Thompson, Mark A ^c  

^a SOUTHWESTERN UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^b DREXEL UNIVERSITY   (United States)

^c AUGUSTA UNIVERSITY   (United States)

Author keywords

Asymmetry; Convergence; Country risk ratings; Multivariate MTAR model

Indexed keywords

EID: 84884927888     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2013.07.013     Document Type: Article

References (30)

1. Arellano C. Default risk and income fluctuations in emerging Economies. American Economics Review 2008, 98:690-712.
2. Balcilar M., Demirer R., Hammoudeh S. Do domestic or foreign investors drive herd behavior in stock markets? Evidence from the segmented Chinese markets 2013, Drexel University, Philadelphia, PA, (Working paper).
3. Balke N.S., Fomby T. Threshold cointegration. International Economic Review 1997, 38:627-643.
4. Bernanke B.S., Kuttner K.N. What explains the stock market's reaction to Federal Reserve policy?. Journal of Finance 2005, 60:1221-1257.
5. Chan K.S., Petruccelli J., Woolford S., Tong H. A multiple threshold AR(1) model. Journal of Applied Probability 1985, 22(2):267-279.
6. Chan K. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Annals of Statistics 1993, 21:520-533.
7. Chang H.L., Su C.W., Zhu M.N., Liu P. Long-Run Purchasing Power Parity and Asymmetric Adjustment in BRICS. Applied Economics Letters 2010, 17:1083-1087.
8. Chuliá H., Martens M., van Dijk D. Asymmetric effects of federal funds target rate changes on S&P 100 stock returns, volatilities and correlations. Journal of Banking and Finance 2010, 34:834-839.
9. Diamonte R.L., Liew J.M., Stevens R. Political risk in emerging and developed markets. Financial Analyst Journal 1996, 52(3):71-76.
10. Enders W., Siklos P.L. Cointegration and threshold adjustment. Journal of Business and Economic Statistics 2001, 19:166-176.
11. Erb C.B., Harvey C.R., Viskanta T.E. Country risk and global equity selection. Journal of Portfolio Management 1995, 21(2):74-83.
12. Erb C.B., Harvey C.R., Viskanta T.E. Political risk, economic risk, and financial risk. Financial Analysts Journal 1996, 52(6):29-46.
13. Erb C.B., Harvey C.R., Viskanta T.E. Expected returns and volatility in 135 countries. Journal of Portfolio Management 1996, 22(3):46-58.
14. Hammoudeh S., Chen L.-H., Fattouh B. Asymmetric adjustments in oil and metals markets. Energy Journal 2010, 31:183-203.
15. Hammoudeh S., Sari R., Uzunkaya M., Liu T. The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price. Mathematics and Computers in Simulation 2014, (in press).
16. Hilscher J., Nosbusch Y. Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance 2010, 14:235-262.
17. Hong H., Stein J. A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance 1999, 54:2143-2184.
18. Hoti S., McAleer M. Modelling the Riskiness in Country Risk Ratings. Contributions to Economic Analysis Series 2005, vol. 273. Elsevier, Amsterdam.
19. Hoti S., McAleer M. Modelling spillover effects for country risk ratings and returns. Risk Letter 2005, 1:11-17.
20. Johansen S. Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 1988, 12:231-254.
21. Kaminsky G., Schmukler S.L. Emerging markets instability: do sovereign ratings affect country risk and stock returns. World Bank Economic Review 2002, 16(2):171-196.
22. Kiymaz H. The impact of country risk ratings on U.S. firms in large cross-border acquisitions. Global Finance Journal 2009, 20:235-247.
23. Lewellen J. Momentum and autocorrelation in stock returns. Review of Financial Studies 2002, 15:533-563.
24. Lin C.-L., Wang M.-C., Gau Y.-F. Expected risk and excess returns predictability in emerging bond markets. Applied Economics 2007, 39(12):1511-1529.
25. Lobo B.J. Asymmetric effects of interest rate changes on stock prices. Financial Review 2000, 35:125-144.
26. Ng S., Perron P. Unit root tests in ARMA models with data dependent methods for truncation lag. Journal of the American Statistical Association 1995, 429:268-281.
27. Oetzel J.M., Bettis R.A., Zenner M. Country risk measures: how risky are they?. Journal of World Business 2001, 36:128-145.
28. Ono S. Oil price shocks and stock markets in BRICs European. Journal of Comparative Economics 2011, 8(1):29-45.
29. Sari R., Uzunkaya M., Hammoudeh S. The relationship between disaggregated country risk ratings and stock market movements: an ARDL approach. Emerging Markets Finance and Trade 2013, 49(1):5-17.
30. Thompson M.A. Are adjustments in the default risk premium asymmetric?. Applied Economics 2007, 39:2693-2698.