Assessing the relationship between dependence and volume in stock markets: A dynamic analysis

2019 ◽  
Vol 516 ◽  
pp. 90-97 ◽  
Author(s):  
Paulo Ferreira
Keyword(s):  
Dynamic Analysis ◽  
Stock Markets ◽  
The Relationship

The Relationship Between COVID-19 (Cases and Deaths) and Stock Markets

2021 ◽  
pp. 323-341
Author(s):  
Paulo Ferreira ◽  
Éder Pereira
Keyword(s):  
Shock Waves ◽  
Dynamic Analysis ◽  
Correlation Coefficient ◽  
Stock Markets ◽  
Pearson Correlation ◽  
Pearson Correlation Coefficient ◽  
The World ◽  
Negative Effect ◽  
The Relationship ◽  
Second Wave

The numbers of COVID-19 increase daily, both confirmed cases and deaths. All over the world, shock waves are felt with impacts on economies in general and the financial sector in particular. Aiming to assess the relationship between confirmed cases and deaths and the behaviour of stock markets, the authors perform a dynamic analysis, based on the Pearson correlation coefficient, for 10 of the most affected countries in the world. As expected, they find evidence that the number of COVID-19 cases had a negative effect on stock markets, and that the current second wave is penalizing them. They also find that deaths have a more relevant impact than the number of confirmed cases.

scholarly journals The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

2021 ◽  
Vol 14 (3) ◽  
pp. 122
Author(s):  
Maud Korley ◽  
Evangelos Giouvris
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Regime Switching ◽  
Markov Switching ◽  
Sub Saharan Africa ◽  
Var Model ◽  
High Volatility ◽  
Sub Saharan ◽  
The Relationship ◽  
Fx Market

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

Does the weather affect the Chinese stock markets? Evidence from the analysis of DCCA cross-correlation coefficient

2014 ◽  
Vol 29 (01) ◽  
pp. 1450236 ◽  
Author(s):  
Guangxi Cao ◽  
Yan Han
Keyword(s):  
Correlation Coefficient ◽  
Stock Markets ◽  
Cross Correlation ◽  
Sunshine Duration ◽  
Statistical Test ◽  
Nonlinear Method ◽  
Weather Variables ◽  
Chinese Stock Markets ◽  
The Cross ◽  
The Relationship

Recent studies confirm that weather affects the Chinese stock markets, based on a linear model. This paper revisits this topic using DCCA cross-correlation coefficient (ρ DCCA (n)), which is a nonlinear method, to determine if weather variables (i.e., temperature, humidity, wind and sunshine duration) affect the returns/volatilities of the Shanghai and Shenzhen stock markets. We propose an asymmetric ρ DCCA (n) by improving the traditional ρ DCCA (n) to determine if different cross-correlated properties exist when one time series trending is either positive or negative. Further, we improve a statistical test for the asymmetric ρ DCCA (n). We find that cross-correlation exists between weather variables and the stock markets on certain time scales and that the cross-correlation is asymmetric. We also analyze the cross-correlation at different intervals; that is, the relationship between weather variables and the stock markets at different intervals is not always the same as the relationship on the whole.

The Effect of the Relationship Between Oil Price and Stock Markets in Energy Sustainable Countries

2016 ◽  
pp. 123-144
Author(s):  
Şahnaz Koçoğlu ◽  
Mehmet Baha Karan ◽  
Ayhan Kapusuzoğlu
Keyword(s):  
Stock Markets ◽  
Oil Price ◽  
The Relationship

A new vision about the influence of major stock markets in CEEC indices: a bidirectional dynamic analysis using transfer entropy

2021 ◽  
pp. 1-16
Author(s):  
Paulo Ferreira ◽  
Andreia Dionísio ◽  
Dora Almeida ◽  
Derick Quintino ◽  
Faheem Aslam
Keyword(s):  
Dynamic Analysis ◽  
Stock Markets ◽  
Transfer Entropy ◽  
New Vision

scholarly journals Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets

2020 ◽  
Vol 12 (21) ◽  
pp. 8989
Author(s):  
Ming-Chu Chiang ◽  
I-Chun Tsai
Keyword(s):  
Stock Markets ◽  
Stock Price ◽  
Structural Changes ◽  
Housing Price ◽  
Asset Markets ◽  
The United Kingdom ◽  
Asymmetrical Effect ◽  
Capital Transfer ◽  
The Relationship ◽  
Coefficient Method

In this paper, we infer that when no excess monetary liquidity exists, people tend to invest available capital in assets associated with a high return or low risk. However, when excess monetary liquidity occurs, capital may successively boost asset markets, and the stock market wealth is thus likely to spill into housing markets, resulting in bubbles in these two markets and therefore in the unsustainable development of both the housing and stock markets. This paper uses relevant data from the United Kingdom from January 1991 to March 2020 to verify whether excess monetary liquidity is a crucial factor determining the relationship between the housing and stock markets. Continuous and structural changes are found to exist between housing price and stock price returns. This paper employs the time-varying coefficient method for estimation and determines that the influence of stock price returns on housing returns is dynamic, and an asymmetrical effect can occur according to whether excess monetary liquidity exists. An excessively loose monetary policy increases asset prices and can thus easily result in a mutual rise in asset markets. By contrast, when excess monetary liquidity does not exist, capital transfer among markets can prevent autocorrelation during excessive market investment and thereby aggravate market imbalance.

LOW-FREQUENCY VOLATILITY AND MACROECONOMIC DYNAMICS: CONVENTIONAL VERSUS ISLAMIC STOCK MARKETS

2020 ◽  
pp. 1-28 ◽  
Author(s):  
HONG-BAE KIM ◽  
A.S.M. SOHEL AZAD
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Low Frequency ◽  
Frequency Component ◽  
Market Volatility ◽  
Macroeconomic Dynamics ◽  
Macroeconomic Factors ◽  
Macroeconomic Risk ◽  
Islamic Countries ◽  
The Relationship

This study investigates the relationship between macroeconomic risk and low-frequency volatility of conventional and Islamic stock markets from around the world. Using a panel of 36 countries, representing developed, emerging and Islamic countries for the period from 2000 to 2016, the study finds that low-frequency market volatility is lower for Islamic countries and, markets with more number of listed companies, higher market capitalization relative to GDP and larger variability in industrial production. The study also finds that low-frequency component of volatility is greater when the macroeconomic factors of GDP, unemployment, short-term interest rates, inflation, money supply and foreign exchange rates are more volatile. The empirical results are robust to various alternative specifications and split sample analyses. The findings imply that religiosity has an influence on the correction of market volatility and investors may consider the Islamic stocks to diversify their risks.

Analysis on Hopf Bifurcation and Complexity of one Kind Financial System

2011 ◽  
Vol 48-49 ◽  
pp. 813-816 ◽  
Author(s):  
Qi Zhang ◽  
Jun Hai Ma
Keyword(s):  
Numerical Simulation ◽  
Mathematical Model ◽  
Hopf Bifurcation ◽  
Dynamic Analysis ◽  
Dynamic Systems ◽  
Financial System ◽  
The Relationship ◽  
At Home

From a mathematical model of one kind complicated financial system, we make a dynamic analysis on this kind of system on the basis of studies of scholars both at home and abroad. We find characteristics of various dynamic systems driven by different parameters, and study possible Hopf bifurcation as well as the relationship between Hopf bifurcation and the values of parameters. Besides, we make use of algorithm to analyze complexity of the system. The results of numerical simulation prove that the theory used in the thesis is correct. This study is regarded with good theoretical and practical value.

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