Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

2016 ◽  
Vol 447 ◽  
pp. 116-128 ◽  
Author(s):  
P. Anagnostidis ◽  
C. Varsakelis ◽  
C.J. Emmanouilides
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Market Efficiency ◽  
2008 Financial Crisis ◽  
Stock Market Efficiency ◽  
The 2008 Financial Crisis

RESPONSE OF STOCK MARKET DURING COVID-19 AND 2008 FINANCIAL CRISIS: A COMPARATIVE EVIDENCE FROM BRICS NATIONS

2021 ◽  
pp. 1-24
Author(s):  
SANJEEV KUMAR ◽  
JASPREET KAUR ◽  
MOSAB I. TABASH ◽  
DANG K. TRAN ◽  
RAJ S DHANKAR
Keyword(s):  
South Africa ◽  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
2008 Financial Crisis ◽  
First Case ◽  
Egarch Model ◽  
The 2008 Financial Crisis ◽  
The Impact

This study attempts to examine the response of stock markets amid the COVID-19 pandemic on prominent stock markets of the BRICS nation and compare it with the 2008 financial crisis by employing the GARCH and EGARCH model. First, average and variance of stock returns are tested for differences before and after the pandemic, t-test and F-test were applied. Further, OLS regression was applied to study the impact of COVID-19 on the standard deviation of returns using daily data of total cases, total deaths, and returns of the indices from the date on which the first case was reported till June 2020. Second, GARCH and EGARCH models are employed to compare the impact of COVID-19 and the 2008 financial crisis on the stock market volatility by using the data of respective stock indices for the period 2005–2020. The results suggest that the increasing number of COVID-19 cases and reported death cases hurt stock markets of the five countries except for South Africa in the latter case. The findings of the GARCH and EGARCH model indicate that for India and Russia, the financial crisis of 2008 has caused more stock volatility whereas stock markets of China, Brazil, and South Africa have been more volatile during the COVID-19 pandemic. The study has practical implications for investors, portfolio managers, institutional investors, regulatory institutions, and policymakers as it provides an understanding of stock market behavior in response to a major global crisis and helps them in taking decisions considering the risk of these events.

scholarly journals Analysis of the Distribution of Exchange-Rates near the 2008 Global Financial Crisis

2020 ◽  
Vol 9 (4) ◽  
pp. 187
Author(s):  
Doobae Jun ◽  
Jinsu Kim ◽  
Gwangil Kim
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Global Financial Crisis ◽  
2008 Financial Crisis ◽  
Early Indicator ◽  
Exceptional Value ◽  
The 2008 Financial Crisis

We search for indicators that might have predicted the 2008 financial crisis, by analyzing the standardized normalized distribution of exchange-rates. We find that this distribution was close to normal during the crisis, but had an exceptionally high kurtosis in the second quarter of 2006, indicating the beginning of long-term USD weakness. Somewhat nearer to the crisis, we can also see suggestive fluctuations in some exchange-rates. Further, we analyze stock-market indices across the crisis, and show that they responded more sensitively than exchange-rates, and that the distribution of stock-market indices also has an exceptional value of kurtosis at Q2 2006, suggesting that the kurtosis of the distribution of exchange-rates might have provided as an early indicator of the crisis.

THE IMPACTS OF THE IMF-SUPPORTED STRUCTURAL REFORM PROGRAM ON ASIAN STOCK MARKET EFFICIENCY

2012 ◽  
Vol 57 (04) ◽  
pp. 1250029
Author(s):  
TATSUYOSHI MIYAKOSHI ◽  
YOSHIHIKO TSUKUDA ◽  
JUNJI SHIMADA
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Market Efficiency ◽  
Event Study ◽  
Abnormal Returns ◽  
Structural Reform ◽  
Reform Program ◽  
Stock Market Efficiency ◽  
Positive Effect ◽  
The Imf

We investigate the impact of the IMF-supported structural reform program in the 1997 Asian crisis on stock market efficiency using the before–after, with–without and event study approaches by applying a time-varying parameter model to eight Asian stock markets. All the supported countries, including Indonesia and Korea, but not Thailand, experienced significantly improved market efficiency after the implementation of the program, implying a positive effect of the program according to the before–after approach. Among the nonsupported countries, China, Taiwan and Malaysia did not improve efficiency (however, Hong Kong and Singapore did) after the start of the crisis, providing some evidence of a positive effect according to the with–without approach. The Thailand, Indonesia and Korean markets showed positive abnormal returns on the days or days following policy announcements in this IMF-supported program, indicating positive effects of the policy according to the event study approach. These findings suggest that the IMF program was successful during the 1997 Asian financial crisis and that it was helpful in resolving the recent global financial crisis.

International stock market efficiency and integration

2015 ◽  
Vol 12 (2) ◽  
pp. 88-106 ◽  
Author(s):  
Neha Seth ◽  
A. K. Sharma
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Market Efficiency ◽  
Stock Markets ◽  
Research Work ◽  
Abnormal Returns ◽  
Content Type ◽  
Stock Market Efficiency ◽  
Recent Financial Crisis ◽  
The Impact

Purpose – The purpose of this paper is to examine the informational efficiency and integration simultaneously for select Asian and US stock markets while considering the impact of recent financial crisis. Design/methodology/approach – Daily stock market data from 13 world markets covering the period of ten years (from January 1, 2000 to December 31, 2010) is tested using Run test, Unit root test, GARCH(1, 1) model, Pearson correlation coefficient, Johansen’s cointegration test and Granger causality test. Findings – It is concluded that the markets under study are inefficient in weak form which creates the chances of earning abnormal returns for the investors. Furthermore, the markets are found to be correlated and integrated in long-run, which makes the international fund diversification insignificant. The degree of inefficiency, in general, is not affected by the recent financial crisis but the level of integration among stock markets is reduced with the effect of recent financial crisis. Practical implications – Individual/institutional investors, portfolio managers, corporate executives, policy makers and practitioners may draw meaningful conclusions from the findings of this type of researches while operating in stock markets. They can use such studies for the management of their existing portfolios as their portfolio management strategies may be, up to some extent, dependent upon such research work. Originality/value – The originality of the present study lies in the fact that this paper is an attempt to fill the time gap of comprehensive researches on Asian and US markets and an effort to test stock market efficiency and integration simultaneously.

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