scholarly journals Crisis determination and financial contagion: an analysis of the Hong Kong and Tokyo stock markets using an MSBVAR approach

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Haytem Troug ◽  
Matt Murray
Keyword(s):  
Hong Kong ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Current Data ◽  
Financial Contagion ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Crisis Period ◽  
Dynamic Relationship ◽  
Using Data

PurposeThe purpose of this paper then, is to add to the existing literature on financial contagion. While a vast amount of the debate has been made using data from the late 1990s, this paper differentiates itself by analysing more current data, centred around the most recent global financial crisis, with specific focus on the stock markets of Hong Kong and Tokyo.Design/methodology/approachEmploying Pearson and Spearman correlation measures, the dynamic relationship of the two markets is determined over tranquil and crisis periods, as specified by an Markov-Switching Bayesian Vector AutoRegression (MSBVAR) model.FindingsThe authors find evidence in support of the existence of financial contagion (defined as an increase in correlation during a crisis period) for all frequencies of data analysed. This contagion is greatest when examining lower-frequency data. Additionally, there is also weaker evidence in some data sub-samples to support “herding” behaviour, whereby higher market correlations persist, following a crisis period.Research limitations/implicationsThe intention of this paper was not to analyse the cause or transmission mechanism of contagion between financial markets. Therefore future studies could extend the methodology used in this paper by including exogenous macroeconomic factors in the MSBVAR model.Originality/valueThe results of this paper serve to explain why the debate of the persistence and in fact existence of financial contagion remains alive. The authors have shown that the frequency of a time series dataset has a significant impact on the level of observed correlation and thus observation of financial contagion.

Phase-wise analysis of dynamic relationship among gold, crude oil, US dollar and stock market

2018 ◽  
Vol 15 (4) ◽  
pp. 480-499 ◽  
Author(s):  
Narinder Pal Singh ◽  
Sugandha Sharma
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Global Financial Crisis ◽  
Content Type ◽  
Crisis Period ◽  
Dynamic Relationship ◽  
Long Run ◽  
Us Dollar ◽  
The Relationship

Purpose The purpose of this paper is to investigate the dynamic relationship among Gold, Crude oil, Indian Rupee-US Dollar and Stock market-Sensex (gold, oil, dollar and stock market (GODS)) in the pre-crisis, the crisis and the post-crisis periods in the Indian context. Design/methodology/approach The authors use Johansen’s cointegration technique, Vector Error Correction Model (VECM), Vector Auto Regression, VEC Granger Causality/Block Exogeneity Wald Test, and Granger Causality and Toda Yamamoto modified Granger causality to study long-run relationship and causality. Findings Johansen’s cointegration test results indicate that there is a long-run equilibrium relationship among the variables in the pre-crisis and the crisis periods but not in post-crisis period. VECM results report that none of four models of the variables show long-run causality in the pre-crisis period. During the crisis period, both crude oil and Sensex models show long-run causality. However, in some cases, results indicate short-run causality. The authors find one-way causality from USD and Sensex to crude oil, and from gold and Sensex to USD. Thus, the authors conclude that the relationship among GODS is dynamic across global financial crisis. Practical implications The research findings of this study are vital to the large group of stakeholders and participants of gold, crude oil, US dollar and stock market in emerging economies like India. The results are useful to importers, exporters, government, policy makers, corporate houses, retail investors, portfolio managers, commodity traders, treasury and fund managers, other commercial traders, etc. Originality/value This study is one of its kinds as it investigates the relationship among GODS in India in different sub-periods like before, during and after the global financial crisis of 2008. None of the studies compare phase-wise relationship among GODS in the Indian context. The study contributes to the economic theory and the body of knowledge. It highlights the need to revisit the economic theory to explain the interplay mechanism among GODS.

The Eurozone crisis and its contagion effects on the European stock markets

2014 ◽  
Vol 31 (3) ◽  
pp. 325-352 ◽  
Author(s):  
Wasim Ahmad ◽  
N.R. Bhanumurthy ◽  
Sanjay Sehgal
Keyword(s):  
Stock Markets ◽  
Regime Switching ◽  
Financial Integration ◽  
Policy Research ◽  
Financial Contagion ◽  
The European Union ◽  
Eurozone Crisis ◽  
Content Type ◽  
Crisis Period ◽  
Contagion Effects

Purpose – This paper aims to examine the contagion effects of Greece, Ireland, Portugal, Spain and Italy (GIPSI) and US stock markets on seven Eurozone and six non-Eurozone stock markets. Design/methodology/approach – In this paper, a dynamic conditional correlation (DCC) model popularly known as DCC-GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model given by Engle (2002) is applied to estimate the DCCs across sample markets. Findings – Analyzing the Eurozone crisis period, the empirical results suggest that among GIPSI stock markets, Spain, Italy, Portugal and Ireland appear to be most contagious for Eurozone and non-Eurozone markets. The study finds that France, Belgium, Austria and Germany in Eurozone and UK, Sweden and Denmark in non-Eurozone are strongly hit by the contagion shock. Practical implications – The findings of the study have significant implications for the concerned regulatory authorities, as it may provide an important direction for further policy research with regard to financial integration in the European Union (EU). From global investors’ perspective, the EU-based diversification strategies seem to be inefficient especially during Eurozone crisis. Originality/value – To the best of the authors’ knowledge, this is the first study that examines the issue of financial contagion of Eurozone crisis for a large basket of stock markets of European countries comprising seven Eurozone and six non-Eurozone markets for the period 2009-2012. The study uses the Markov regime switching model to identify crisis period and utilizes the DCC estimates of DCC-GARCH to examine the patterns of financial contagion. The finding of this study is quite interesting and is different in several ways than existing studies in the literature.

Managers ability and investment dynamics during the global financial crisis: an emerging market context

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rehana Naheed ◽  
Bushra Sarwar ◽  
Rukhsana Naheed
Keyword(s):  
Global Financial Crisis ◽  
Stock Exchange ◽  
Emerging Market ◽  
Investment Policy ◽  
Managerial Ability ◽  
Content Type ◽  
Crisis Period ◽  
Managerial Talent ◽  
The Impact

Purpose Many scholars have developed several theories and empirics to study issues related to investment policy. However, there are still some unexplored issues in the field of finance that require further analysis and investigation, particularly in the corporate governance literature such as the role of managerial talent in the firms. This study investigated the impact of managerial ability on investment decisions of the firms. Design/methodology/approach The study first uses firm efficiency and managerial ability by using data envelope analysis (DEA) proposed by Demerjian, Lev and McVay, 2012. Data is collected for the firms listed in Shenzhen and Shanghai stock exchange for an emerging market of China during the crisis period with 1,640 number of observations. Findings The study reveals that the presence of more managerial talent in a firm is significant for the strategic decisions of the firms. Findings follow a resource-based view and identify that more talented managers help the firms in the acquisition of resources specifically during financial distress. The study subdivides the firms based on: ownership structures and financial constraints. Results generated from propensity score matching imply that the role of high-talented managers is significantly different from that of low-talented managers. Originality/value The study reveals managerial ability as a determinant of investment policy. To the researchers’ best knowledge, none of the previous studies have been conducted in emerging market literature during the crisis period.

Global financial crisis, ownership structure and firm financial performance

2017 ◽  
Vol 34 (4) ◽  
pp. 447-465 ◽  
Author(s):  
Ali Salman Saleh ◽  
Enver Halili ◽  
Rami Zeitun ◽  
Ruhul Salim
Keyword(s):  
Financial Crisis ◽  
Financial Performance ◽  
Ownership Structure ◽  
Family Firms ◽  
Global Financial Crisis ◽  
Ownership Concentration ◽  
Financial Leverage ◽  
Content Type ◽  
Crisis Period ◽  
The Global Financial Crisis

Purpose This paper aims to investigate the financial performance of listed firms on the Australian Securities Exchange (ASX) over two sample periods (1998-2007 and 2008-2010) before and during the global financial crisis periods. Design/methodology/approach The generalized method of moments (GMM) has been used to examine the relationship between family ownership and a firm’s performance during the financial crisis period, reflecting on the higher risk exposure associated with capital markets. Findings Applying firm-based measures of financial performance (ROA and ROE), the empirical results show that family firms with ownership concentration performed better than nonfamily firms with dispersed ownership structures. The results also show that ownership concentration has a positive and significant impact on family- and nonfamily-owned firms during the crisis period. In addition, financial leverage had a positive and significant effect on the performance of Australian family-owned firms during both periods. However, if the impact of the crisis by sector is taking into account, the financial leverage only becomes significant for the nonmining family firms during the pre-crisis period. The results also reveal that family businesses are risk-averse business organizations. These findings are consistent with the underlying economic theories. Originality/value This paper contributes to the debate whether the ownership structure affects firms’ financial performance such as ROE and ROA during the global financial crisis by investigating family and nonfamily firms listed on the Australian capital market. It also identifies several influential drivers of financial performance in both normal and crisis periods. Given the paucity of studies in the area of family business, the empirical results of this research provide useful information for researchers, practitioners and investors, who are operating in capital markets for family and nonfamily businesses.

scholarly journals Financial stress and farm bankruptcies in US agriculture

2018 ◽  
Vol 78 (4) ◽  
pp. 441-456 ◽  
Author(s):  
Robert Dinterman ◽  
Ani L. Katchova ◽  
James Michael Harris
Keyword(s):  
Fixed Effects ◽  
Agricultural Land ◽  
Strong Predictor ◽  
Financial Stress ◽  
Land Values ◽  
Bankruptcy Law ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Dynamic Relationship ◽  
On Farm

Purpose The purpose of this paper is to evaluate farm financial stress within the USA over the past 20 years and the agricultural and economic factors which have impacted farm businesses. The effect of the 2005 Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA) on farm financial stress is further evaluated. In particular, Chapter 12 bankruptcies – which can only be filed by farmers – were only a temporary measure until BAPCPA made Chapter 12 a permanent fixture in bankruptcy law. Design/methodology/approach Chapter 12 bankruptcy filings from 1997 until 2016 are used as a proxy for farm financial stress. Panel fixed effects models are used to determine relevant factors affecting financial stress for farmers from agricultural and macroeconomic perspectives. Further, models incorporating pre- and post-BAPCPA regimes are utilized. Findings The results show that macroeconomic factors (interest and unemployment rates) are strong predictors of farm bankruptcies for farms while agricultural land values are the only consistent strong predictor among the agricultural factors. When evaluating the post-BAPCPA regime, only agricultural land values continue to be a significant predictor of farm bankruptcies. The findings also indicate a dynamic relationship with agricultural land values, where current year values are negatively related but previous year land values are positively related to bankruptcies. Originality/value The authors provide an analysis of the post-BAPCPA regime on farm bankruptcies that has not been evaluated within the literature yet. Further, the findings illuminate discussion on a potentially dynamic relationship with financial stress and agricultural land values.

The 2008–2009 global financial crisis and the cost of debt capital among SMEs: Swedish evidence

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Darush Yazdanfar ◽  
Peter Öhman
Keyword(s):  
Financial Crisis ◽  
Large Scale ◽  
Global Financial Crisis ◽  
Dynamic Panel Data ◽  
Cost Of Debt ◽  
Cross Sectional ◽  
Content Type ◽  
Debt Capital ◽  
Using Data ◽  
The Cost

PurposeThe main purpose of this study is to describe and analyse the relationship between the 2008–2009 global financial crisis and small and medium-sized enterprises' cost of debt capital.Design/methodology/approachStatistical methods, including multiple OLS and dynamic panel data, were used to analyse a longitudinal cross-sectional panel dataset of 3865 Swedish SMEs operating in five industry sectors over the 2008–2015 period.FindingsThe results suggest that the cost of debt was influenced by the financial crisis and another macroeconomic factor, i.e. the interbank interest rate, and by firm-specific factors such as firm size and lagged cost of debt.Originality/valueTo the authors' best knowledge, this is one of few studies to examine the cost of debt among SMEs during the crisis and post-crisis periods using data from a large-scale, longitudinal, cross-sectional database.

scholarly journals Determinants of the Long-Term Correlation between Crude Oil and Stock Markets

Energies ◽  
2019 ◽  
Vol 12 (21) ◽  
pp. 4123 ◽  
Author(s):  
Lu Yang ◽  
Lei Yang ◽  
Kung-Cheng Ho ◽  
Shigeyuki Hamori
Keyword(s):  
Crude Oil ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Panel Data Analysis ◽  
Mixed Data ◽  
Data Sampling ◽  
Conditional Correlation ◽  
Macroeconomic Factors

This study employed a dynamic conditional correlation–mixed-data sampling (DCC–MIDAS) approach and panel data analysis to examine the factors that influence the long-term correlation between crude oil and stock markets. Our study shows that there is a positive long-term conditional correlation between oil prices and stock markets, except during the 2008 global financial crisis and the 2011 European debt crisis. We also found that macroeconomic factors have a significant impact on this correlation. Specifically, risk-free rate has a positive effect, whereas economic activity and credit risk has a negative effect. Our results provide useful information for investors and monetary authorities.

scholarly journals Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach

2019 ◽  
Vol 28 (3) ◽  
pp. 301-322 ◽  
Author(s):  
Aymen Ben Rejeb ◽  
Mongi Arfaoui
Keyword(s):  
State Space ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Financial Instability ◽  
Informational Efficiency ◽  
Time Varying ◽  
Content Type ◽  
Volatility Spillovers ◽  
Space Modeling ◽  
Stock Indexes

Purpose The purpose of this paper is to investigate whether Islamic stock indexes outperform conventional stock indexes, in terms of informational efficiency and risk, during the recent financial instability period. Design/methodology/approach The paper uses a state space model combined with a standard GARCH(1,1) specification while taking into account structural breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate periods of financial instability. Findings Empirical results show that Islamic stock indexes are more volatile than their conventional counterparts and are not totally immune to the global financial crisis. As regards of the informational efficiency, the results show that the Islamic stock indexes are more efficient than the conventional stock indexes. Practical implications Resulting evidence of this paper has several implications for international investors who wish to invest in Islamic and/or conventional stock markets. Policy makers and even academics and Sharias researchers should as well take preventive measures in order to ensure the stability of Islamic stock markets during turmoil periods. Overall, prudent risk management and precocious financial practices are relevant and crucial for both Islamic and conventional financial markets. Originality/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational efficiency. It considers structural break dates that think about the dynamic effect of informational flows on stock markets. The study was developed in a global framework using international data. The global analysis allows avoiding country specific effects.

Global financial crisis and cyclical co-movements of Asian financial markets

2016 ◽  
Vol 34 (5) ◽  
pp. 465-495 ◽  
Author(s):  
KimHiang Liow
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Financial Markets ◽  
Frequency Domain ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Short Term ◽  
Content Type ◽  
Real Estate Markets ◽  
Asset Classes

Purpose – The purpose of this paper is to investigate the cross-spectra of stock, real estate and bond of ten selected Asian economies in the pre- and post-global financial crisis periods to detect whether there is greater cyclical co-movement post-financial crisis, and whether any observed increased co-movement measures the outcomes of contagion or integration. Design/methodology/approach – Co-spectral approach is the proper econometric tool to deliver economic insight for this research. Findings – Results indicate that Asian stock markets, and to a lesser degree, bond and real estate markets are more correlated post-financial crisis. Similarly, Asian financial markets have experienced increased co-movements with the US financial markets post-financial crisis. Moreover, these observed increased co-movements measure the outcomes of contagion in some cases of within-asset and cross-asset classes, as well as for some cross-US-Asian asset factor relationships along the high-frequency components of between two and four weeks. The stock markets are the most contagious, followed by the real estate markets and bond markets. Research limitations/implications – The results provide short-term investors with additional co-movement information at higher frequencies in order to identify short-term fluctuations of different asset classes. The empirical study also underscores the role of Asian real estate in investment portfolios in a mixed real estate, stock and bond context from a frequency domain perspective. Practical implications – The practical implication of this research is that benefits to investors from international diversification may not be as great during the present time compared to previous periods because financial/asset market movements have become more correlated. However, it does not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the values are still between low and moderate range, indicating that some diversification benefits may still be realized. Originality/value – In advancing the body of knowledge in international financial markets, this research is probably the first study to consider a multi-asset class portfolio context that includes stock, real estate and bond across the ten Asian economies and the USA in a single study. The frequency domain analysis conducted in this paper adds to the understanding of real estate, stock and bond market co-movement, integration and contagion dynamics, as well as the Asian cross-asset factor and US-Asian asset factor relationships in global mixed-investing environment.

scholarly journals A Network Analysis of the Asia-Pacific and Other Developed Stock Markets: Pre and Post Global Financial Crisis

2020 ◽  
Vol 9 ◽  
pp. 112-131
Author(s):  
Kousik Guhathakurtha ◽  
Sharad Nath Bhattacharya ◽  
Mousumi Bhattacharya
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
Portfolio Management ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Forecast Error ◽  
Asia Pacific ◽  
Volatility Spillover ◽  
Risk Transfer ◽  
Network Diagrams

This paper examines the volatility spillover and connectedness between Asia-Pacific, US, UK, and eurozone stock markets. A spillover index is built using forecast error variance decomposition in a vector autoregression framework and the spillover index is used to build network diagrams. It shows evidence of how the increase in risk transfer (volatility spillover) between the markets led to the global financial crisis and of the higher level of connectedness since. Network diagrams show the direction and strength of the connectedness. The network strength estimation enables us to understand the risk associated with connectedness across the markets in the event of a trigger and its influence in portfolio management decisions of international funds. The Chinese market appears to be the most insulated, while the South Korean, Hong Kong, and Singapore stock markets dominate in terms of risk transfer. The US, UK, EU, Singapore and Hong Kong are the top five volatility spillover recipient markets, both during pre and post global financial crisis periods. We find the market size to be irrelevant in the determination of the level of connectedness, whereas the role of geographical proximity cannot be ruled out. The findings are relevant to multinational investment strategies and in understanding the relative risk of investment in the Asia-Pacific region.

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