Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations

2020 ◽  
Vol 70 ◽  
pp. 600-621
Author(s):  
Chih-Hsiang Hsu ◽  
Hsiu-Chuan Lee ◽  
Donald Lien
Keyword(s):  
Stock Market ◽  
Financial Institutions ◽  
Market Uncertainty ◽  
Bond Return

Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis

2018 ◽  
Vol 55 ◽  
pp. 285-294 ◽  
Author(s):  
Fu-Lai Lin ◽  
Sheng-Yung Yang ◽  
Terry Marsh ◽  
Yu-Fen Chen
Keyword(s):  
Stock Market ◽  
Wavelet Analysis ◽  
Market Uncertainty ◽  
Bond Return

scholarly journals Stock Market Uncertainty and the Stock-Bond Return Relation

2005 ◽  
Vol 40 (1) ◽  
pp. 161-194 ◽  
Author(s):  
Robert Connolly ◽  
Chris Stivers ◽  
Licheng Sun
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Implied Volatility ◽  
Market Uncertainty ◽  
Market Pricing ◽  
Negative Relation ◽  
Bond Returns ◽  
Treasury Bond ◽  
Bond Return ◽  
Equity Index

AbstractWe examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market uncertainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative relation between the uncertainty measures and the future correlation of stock and bond returns. Contemporaneously, we find that bond returns tend to be high (low) relative to stock returns during days when implied volatility increases (decreases) substantially and during days when stock turnover is unexpectedly high (low). Our findings suggest that stock market uncertainty has important cross-market pricing in-fluences and that stock-bond diversification benefits increase with stock market uncertainty.

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.

The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

2017 ◽  
Vol 68 (2) ◽  
Author(s):  
Dominik Kronen ◽  
Ansgar Belke
Keyword(s):  
Stock Market ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Negative Effect ◽  
Macro Variables ◽  
The Impact ◽  
Structural Vector

AbstractIn light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of policy and stock market uncertainty on a set of macroeconomic variables such as production and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research. We find that stock market volatility shows a fairly consistently negative effect. However, the implications of policy uncertainty for Europe and the euro area in particular are not so straightforward.

scholarly journals Foreign Ownership Effect to Stock Market Liquidity in Indonesia

MANAJERIAL ◽  
2021 ◽  
Vol 8 (01) ◽  
pp. 01
Author(s):  
Annisa Yasmin
Keyword(s):  
Stock Market ◽  
Financial Institutions ◽  
Capital Market ◽  
Foreign Ownership ◽  
Market Liquidity ◽  
Linear Effect ◽  
Non Linear Effect ◽  
Non Linear ◽  
Stock Market Liquidity ◽  
Research Period

Background – One of economic indicators of a country is the capital market. Liquid capital market can attract investors, both foreign and domestic investors, to invest their ownership in that country, which in turn can improve the country’s economic growth. Aim – This research aims to examine the influence foreign ownership on stock market liquidity in Indonesia. Design / methodology / approach – This research splits foreign ownership into two groups, the first one is foreign ownership by financial institutions, and the second one is foreign ownership by non-financial corporations. The type of data used is panel data using fixed effect model (FEM). The technique for examining the influence of foreign ownership on liquidity used multiple regression analysis. Findings – The result found that foreign ownership by financial institutions and non-financial corporations negatively affect liquidity.  The study also found a positively non-linear effect between foreign ownership by financial institutions to liquidity and a negatively non-linear effect between foreign ownership by non-financial institutions to liquidity. Research implication – This research can assist investors in determining investment in the Indonesian capital market by pay attention to variables such as foreign ownership, return, turnover, market capitalization and standard deviation. Limitation – The research period was short, which was only 21 months due to limited data and the research period that has passed too long, that is January 2012 to September 2013.

scholarly journals Restrição de Liquidez para Modelos de Seleção de Carteiras

2015 ◽  
Vol 13 (2) ◽  
pp. 288
Author(s):  
Gabriel Matos Pereira ◽  
Leonardo Riegel Sant'Anna ◽  
Tiago Pascoal Filomena ◽  
João Luiz Becker
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Financial Institutions ◽  
Portfolio Management ◽  
Regulatory Agency ◽  
Liquidity Constraint ◽  
Maximum Percentage ◽  
Monetary Value ◽  
High Influence

Liquidity is an important issue in portfolio management. In 2012, the Brazilian market regulatory agency (CVM) started to require all banks and brokerages to maintain liquidity control of their portfolios. This study presents a liquidity constraint which is endogenously incorporated to portfolio optimization to Brazilian Financial Institutions. The proposed constraint incorporates endogenously some practical issues such as: portfolio value, monetary volume traded, maximum percentage of monetary value, liquidation term date and liquidation level. This constrain is applied to the Brazilian Stock Market. The selected constraint parameters have high influence on the liquidity level of the portfolio.

Global financial architecture: possible directions of structural transformation

2021 ◽  
pp. 4
Author(s):  
Vladimir Andrianov
Keyword(s):  
Stock Market ◽  
Structural Transformation ◽  
Financial Institutions ◽  
Capital Market ◽  
Shadow Banking ◽  
International Financial Institutions ◽  
Financial Architecture ◽  
The World ◽  
Financial Infrastructure

The article examines the main trends in the transformation of the global financial infrastructure. The influence of shadow banking and the bubble of derivatives on the development of the world capital market and the stock market is investigated. Possible options for reforming international financial institutions and financial regulators are proposed.

Stock market uncertainty and interest rate behaviour: a panel GARCH approach

2016 ◽  
Vol 24 (11) ◽  
pp. 732-735 ◽  
Author(s):  
Harold Glenn A. Valera ◽  
Mark J. Holmes ◽  
Gazi Hassan
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Market Uncertainty ◽  
Panel Garch ◽  
Rate Behaviour
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