A Study on the Spillover of Stock Market Volatility between India and US in the Context of the Global Financial Crisis of 2007–08

2018 ◽  
pp. 81-96
Author(s):  
Soma Das ◽  
Basabi Bhattacharya
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
The Global Financial Crisis

scholarly journals GARCH (1,1) Models and Analysis of Stock Market Turmoil during COVID-19 Outbreak in an Emerging and Developed Economy

2021 ◽  
Vol 14 (12) ◽  
pp. 576
Author(s):  
Budi Setiawan ◽  
Marwa Ben Abdallah ◽  
Maria Fekete-Farkas ◽  
Robert Jeyakumar Nathan ◽  
Zoltan Zeman
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Global Financial Crisis ◽  
The Impact

COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The pandemic has caused volatilities in the financial market at varying magnitudes, in the emerging versus developed economy. To examine this phenomenon, this study investigates the impact of COVID-19 pandemic on stock market returns and volatility in an emerging economy, i.e., Indonesia, versus developed country, i.e., Hungary, using an event-study approach methodology utilizing GARCH (1,1) model. In this study, the Jakarta Composite Index (JCI) and the b (BUX) data were obtained from Investing and Bloomberg, covering two global events observed within the selected period from 27 September 2006 to 31 August 2021. The data is compared with the stock market volatility data from the global financial crisis in 2007/08. Findings reveal that the recent COVID-19 pandemic had negative stock market returns at a greater magnitude compared to the global financial crisis, in both the emerging and developed economy’s equity market. Stock markets in Indonesia and Hungary have experienced volatility during the crisis. While comparing the result between COVID-19 and the global financial crisis, we found that the volatility on the stock markets is higher in the COVID-19 pandemic than during the global financial crisis. The higher stock market negative returns and volatility during the COVID-19 pandemic triggered the lockdown and limited economic activities, which impacted supply and demand shock. The virus’s propagation and mutation are continually evolving, reminding us that the pandemic is far from over. Developed countries with larger fiscal space seem to find it easier to make responsive policies than countries with a tighter financial budget. Fiscal and monetary policies seem to be a quick solution to stabilize the economy and maintain investor confidence in the Indonesian and Hungarian capital markets. Furthermore, the extension of stock market volatility understanding ensures relevant information for investors, which benefits to mitigate the risk and build sustainable investments of the unprecedented events and enables the promotion of Sustainable Development Goal number 8 (SDG8) to communities, with access to financial products including the stock market, especially during economic and financial uncertainties.

scholarly journals Impact of Global Financial Crisis on Stock Market Volatility: Evidence from India

2014 ◽  
Vol 10 (10) ◽  
Author(s):  
P Sakthivel ◽  
K VeeraKumar ◽  
G Raghuram ◽  
K Govindarajan ◽  
V Vijay Anand
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Market Volatility ◽  
Stock Market Volatility

scholarly journals COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

2021 ◽  
Vol 14 (8) ◽  
pp. 341
Author(s):  
Ștefan Cristian Gherghina ◽  
Daniel Ștefan Armeanu ◽  
Camelia Cătălina Joldeș
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Market Volatility ◽  
Causal Connection ◽  
Stock Market Volatility ◽  
Quantitative Investigation ◽  
The Global Financial Crisis ◽  
The Garch Model ◽  
Daily Returns

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

scholarly journals Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Agriculture ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 93
Author(s):  
Pavel Kotyza ◽  
Katarzyna Czech ◽  
Michał Wielechowski ◽  
Luboš Smutka ◽  
Petr Procházka
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Market ◽  
Structural Breaks ◽  
Structural Changes ◽  
Global Financial Crisis ◽  
Market Uncertainty ◽  
Volatility Index ◽  
The Global Financial Crisis ◽  
The Relationship

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

Stock Market Reaction to Corporate Real Estate Divestitures and Acquisitions during the Global Financial Crisis

2015 ◽  
Vol 73 (5) ◽  
Author(s):  
Annie Wong Ping Eng ◽  
Janice YM Lee ◽  
Muhammad Najib Mohamed Razali ◽  
Mat Naim Abdullah @ Mohd Asmoni ◽  
Izran Sarrazin Mohammad
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Market Reaction ◽  
Corporate Real Estate ◽  
The Global Financial Crisis ◽  
Real Estate Assets

Real estate divestitures and acquisitions (D&A) are conducted as part of corporate restructuring. This study aims to fill the knowledge gap on abnormal stock market returns (AR) toward D&A activities during the Global Financial Crisis (GFC) in a developing country. Malaysian listed non-real estate companies that conducted D&A during the GFC are used as sample. Event study is applied to determine AR surrounding D&A announcements within (-10day, +10day) event window. Results for both D&A announcements shows insignificant AR on and around announcement date (-1 to +1). For pre-announcement, divesting (acquiring) companies obtain negative (positive) AR, signifying that the market does not favor (favor) divestitures (acquisitions) due to leakage of information. The outcome of post-announcement proves that divesting companies continue to experience negative ARs, although most divesting companies were paid premium prices. However, acquiring companies experience significant and negative post-announcement AR. This is probably due to the price premium which most acquiring companies paid exceeding valuation for their acquisitions. In summary, the market disapproves divestitures in general and acquisitions of real estate assets exceeding their valuations during economic recessions.  

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