scholarly journals Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis

2019 ◽  
Author(s):  
Vassilios Babalos ◽  
Guglielmo Maria Caporale ◽  
Nicola Spagnolo
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Fund Flows ◽  
Market Returns ◽  
Equity Fund ◽  
Stock Market Returns ◽  
Before And After ◽  
The Usa ◽  
The Global Financial Crisis

Abstract The 2008–2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper provides new insights by using US monthly data over the period 2000:1–2015:8 and estimating a VAR-GARCH(1, 1)-in-mean model with a BEKK representation, which also includes a switch dummy for the global financial crisis. We find causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before and after the crisis; however, this relationship is not stable, becoming weaker in the crisis period. As a robustness check, we augment the model with a set of macroeconomic control variables. Their inclusion does not affect the main results.

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.  

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.

Revisiting Macroeconomy–Stock Market Relationship During Times of Economic Crisis: A Study of Emerging Markets

2017 ◽  
Vol 13 (1-2) ◽  
pp. 52-69
Author(s):  
Gagan Deep Sharma ◽  
Mrinalini Srivastava ◽  
Mansi Jain
Keyword(s):  
Latin America ◽  
Financial Crisis ◽  
Stock Market ◽  
Emerging Markets ◽  
Economic Crisis ◽  
Global Financial Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
The Relationship

This article examines the relationship between six macroeconomic variables and stock market returns of 13 emerging markets from Latin America, Europe, Africa and Asia in the context of global financial crisis of 2008. The findings reveal some commonality in determination and variation of returns with macroeconomic variables from pre-crisis (1st January 2005–31st March 2009) to post-crisis period (1st April 2009–31st March 2016). Further, results show co-integration among most of the macroeconomic variables depicting significant implications for investors and policymakers.

scholarly journals Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies

2019 ◽  
pp. 99-117
Author(s):  
Masazumi Hattori ◽  
Ilhyock Shim ◽  
Yoshihiko Sugihara
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Emerging Market ◽  
Equity Markets ◽  
Emerging Market Economies ◽  
Fund Flows ◽  
Equity Fund ◽  
Market Economies ◽  
Developed Economies ◽  
The Global Financial Crisis

Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007–15, this chapter documents the correlation of VRPs across markets, examining whether equity fund flows work as a path through which VRPs spill over globally. It finds that VRPs tend to spike up during market turmoil such as the peak of the global financial crisis and the European debt crisis; that all cross-equity market correlations of VRPs are positive, and that some economy pairs exhibit high levels of the correlation. In terms of volatility contagion, it finds that an increase in US VRPs significantly reduces equity fund flows to other developed economies, but not those to EMEs, following the global financial crisis. Two-stage least squares estimation results show that equity fund flows are a channel for spillover of US VRPs to VRPs in other developed economies.

scholarly journals The Global Financial Crisis, Inflation Rate And Stock Market Returns In Kenya

2017 ◽  
Vol 13 (19) ◽  
pp. 191
Author(s):  
Donald A. Otieno ◽  
Rose W. Ngugi ◽  
Nelson H. W. Wawire
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Regression Model ◽  
Inflation Rate ◽  
Global Financial Crisis ◽  
Moderating Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Crisis Period ◽  
Product Term

The moderating effect of events such as the 2008 Global Financial Crisis (GFC) on the relation between stock market returns and macroeconomic variables has attracted very little attention. This study investigates the extent to which the 2008 GFC moderated the relationship between inflation rate and stock market returns. The study uses month-onmonth inflation rate and year-on-year inflation rate from 1st January 1993 to 31st December 2015 and divides the sample data into pre-crisis period (from 1st January 1993 to 31st December 2007); crisis period (from 1st January 2008 to 30th June 2009); and post-crisis period (from 1st July 2009 to 31st December 2015). It uses a product-term regression model instead of the most widely applied additive regression model. Results indicate that a unit increase in the both measures of inflation rate had significant depressing effects on stock market returns after the crisis compared to before the crisis. Likewise, the results reveal that average stock market returns were significantly higher after the crisis compared to before the crisis at low rather than medium or high values of the two measures of inflation rate. These results suggest that the Kenyan stock market is highly sensitive to variations in inflation rate, especially as it emerges from a financial or political turmoil. This study is empirically innovative in the sense that it is the first to examine the moderating effect of the 2008 GFC on the relation between inflation rate and stock market returns in Kenya using a product-term model.

scholarly journals The Impact of the Global Financial Crisis, Does It Sustain?

2016 ◽  
Vol 8 (10) ◽  
pp. 82 ◽  
Author(s):  
Bashar Al-Zu'bi ◽  
Hussein Salameh ◽  
Qasim Mousa Abu Eid
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Market Index ◽  
The World ◽  
The Usa ◽  
Short And Long Term ◽  
The Global Financial Crisis ◽  
The Impact

<p>This paper studies the short and long term relationship between S&amp;P500 USA stock market index and the stock market indices of 30 countries around the world over the period June 2010-April 2015. We implement OLS regression and use error correction model to examine the short and long term relationship between the variables. Empirically, we find that there is a relationship on the short and long term between S&amp;P500 and the indices of 27 countries from East Asia, Europe, Latin America, Middle East as well as the countries of Australia and Canada. These results conclude that the global financial crisis of 2007-2008 significantly and lengthy increased the already high level of co-movement between the USA financial market and the observed stock market for 27 countries around the world. The findings from our research are important; however, we believe that further research based on our findings is necessary.</p>

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