MULTIFRACTALS IN WESTERN MAJOR STOCK MARKETS HISTORICAL VOLATILITIES IN TIMES OF FINANCIAL CRISIS

Fractals ◽  
2017 ◽  
Vol 25 (01) ◽  
pp. 1750010 ◽  
Author(s):  
SALIM LAHMIRI
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Strong Evidence ◽  
Hurst Exponent ◽  
Market Price ◽  
2008 Financial Crisis ◽  
Empirical Results ◽  
Return Levels ◽  
Generalized Hurst Exponent

In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.

scholarly journals The Spillover and Transmission of Chinese Financial Markets Risk

2018 ◽  
Vol 11 (8) ◽  
pp. 66
Author(s):  
Sha Zhu
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Spillover Effect ◽  
Financial Stress ◽  
Stress Index ◽  
2008 Financial Crisis ◽  
The Us ◽  
Financial Stress Index

After the 2008 financial crisis, the whole world financial markets became more fluctuates, the same to China also. It is necessary to pay great attention to high volatility problem in Chinese market, and also the uncertainty problem, risk accumulation and spillover effect come along with it. This paper calculates stock market return and builds financial stress index to explore the risk spillover effect. Empirical results show that the Chinese financial market have higher volatility than other countries. The Chinese stock market had higher dynamic market co-movement with international financial markets after 2008 financial crisis. What’s more, this article also finds the financial risk spreads between China and US. When the US financial stress index increases, China's financial stress index experiences a larger increase. However, after the change in China's financial stress index, the US financial stress index has no obvious trend of change. So we should pay more attention to periods of Chinese financial market risk and its spillover.

International diversification during financial crises

2018 ◽  
Vol 44 (12) ◽  
pp. 1434-1445
Author(s):  
Chu-Sheng Tai
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Financial Crises ◽  
International Diversification ◽  
Subprime Crisis ◽  
Content Type ◽  
Empirical Results ◽  
The Impact ◽  
Dot Com

Purpose The purpose of this paper is to provide empirical evidence on how 1999–2001 dot-com crisis and 2007–2009 subprime crisis affect the gains from international diversification from the perspective of US investors. Design/methodology/approach A conditional international CAPM with asymmetric multivariate GARCH-M specification is used to estimate international diversification gains. Findings The authors find that over the entire sample period, the average gains from international diversification is statistically significant and about 1.253 percent per year. During the subprime crisis period, the average gains decreases to about 0.567 percent per year, but it increases to 2.829 percent per year during the dot-com crisis. Research limitations/implications These research findings although confirm the conjectures that international financial turmoil tends to increase the co-movements among global financial markets, are in contrast to the conjectures that international diversification does not work during the financial crisis as evidence from the dot-com crisis. Therefore, future research on international diversification should not just focus on the correlation among international financial markets and should adopt a fully parameterized asset pricing model to study this research topic. Practical implications Given the empirical results found in this paper that international diversification gains may be decreasing or increasing during the financial crisis, as long as investors are not able to predict international financial crises, it is the average gains from international diversification over the longer periods that should encourage investors to diversify, regardless of potentially lower benefits over the shorter periods of time. Originality/value The major value of this paper is that although the increase in the conditional correlation during the financial turmoil is consistent with previous studies, the empirical results clearly show that the impact of a financial crisis on the gains from international diversification cannot be solely determined by the correlation between domestic and world stock market returns since the gains also depend on the unsystematic risk from the domestic stock market. Consequently, it is premature for previous studies to conclude that the gain from international diversification is diminishing due to an increasing correlation among international stock markets during the 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 The Effect of FOMC Votes on Financial Markets

2019 ◽  
Vol 101 (5) ◽  
pp. 921-932
Author(s):  
Carlos Madeira ◽  
João Madeira
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Open Market ◽  
Federal Open Market Committee ◽  
2008 Financial Crisis ◽  
Treasury Securities ◽  
Stock Market Reaction

This paper shows that since votes of members of the Federal Open Market Committee have been included in press statements, stock prices increase after the announcement when votes are unanimous but fall when dissent (which typically is due to preference for higher interest rates) occurs. This pattern started prior to the 2007–2008 financial crisis. The differences in stock market reaction between unanimity and dissent remain, even controlling for the stance of monetary policy and consecutive dissent. Statement semantics also do not seem to explain the documented effect. We find no differences between unanimity and dissent with respect to impact on market risk and Treasury securities.

The Financial Crisis

2019 ◽  
pp. 1-12
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Economic Impact ◽  
Free Fall ◽  
Regulatory Framework ◽  
Subprime Lending ◽  
Crisis Period ◽  
The U.S ◽  
Trump Administration

This chapter discusses the origins of the 2007 financial crisis, subprime lending, and government-sponsored entities. It argues that the events driving financial markets to the precipice of collapse during the global financial meltdown gave rise to a regulatory framework that may have been a rational response to a market in free fall, but need to be reassessed in an era of recovery. In 2018, the U.S. economy may be, by many measures, viewed as wholly recovered from the economic impact of the crisis. The stock market is trading at record highs, having erased all the losses of the crisis period and then some. With this recovery, the Trump administration seeks to restrain the regulatory burden imposed during the crisis.

scholarly journals Does American Stock Market React Differently to Expected Versus Surprise Ratings During Crisis Period? The Case of the 2008 Worldwide Financial Crisis

2018 ◽  
Vol 8 (3) ◽  
pp. 108
Author(s):  
Abdelkader Boudriga ◽  
Dorsaf Azouz Ghachem
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Market Reaction ◽  
Positive Impact ◽  
Good News ◽  
Crisis Period ◽  
Rating Agencies

We study the rating impact on American stock market during crisis period by distinguishing expected versus surprise announcements. If unexpected ratings generate stronger reaction than expected ones, which means that rating agencies maintain credibility and influence on investors’ decisions. Otherwise, they have to revise their methodologies and procedures in order to recover place on financial markets. Results show that during crisis period market reaction to bad and neutral expected rating announcements is negative and more accentuated than reaction to surprise announcements; on contrary to good news that produce a short positive impact when they are unexpected and are not perceived by the market otherwise. Results reflect once more market distrust to rating agencies and faith loss towards announcements.

Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach

2019 ◽  
Vol 20 (4) ◽  
pp. 962-980 ◽  
Author(s):  
Shegorika Rajwani ◽  
Dilip Kumar
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Tail Dependence ◽  
Time Varying ◽  
The Us ◽  
Asian Economies ◽  
Copula Approach

During the past few years, many of the financial markets have gone through devastating effects due to the crisis in one or the other economy of the world. The recent global financial crisis has triggered dramatic movements in various stock markets which may arise from interdependence or contagion between the markets. This article attempts to measure the contagion between the equity markets of Asia and the US stock market. The countries considered in the Asian group are China, India, Indonesia, South Korea, Taiwan, Hong Kong, Malaysia and Japan. Most of the Asian economies have experienced drastic higher volatility and uncertainty in the financial markets. If the markets are contagious, then the investors will be unable to reap benefits through international diversification of the portfolio. In such a case, the policymakers will further frame policies so that they can insulate themselves from inflicting heavy damage from various crises. To achieve our goal, we make use of the time-varying copula approach which helps us to study the joint behaviour of the series based on their marginal distribution. Time-varying copula approach can also capture the non-linear dependence in the series and exhibits a rich pattern of tail behaviour. Our findings support the contagion between the Asian stock markets and the US stock market during the global financial crisis. This article also highlights that the increased tail dependence is an important factor for the contagion between the Asian stock markets and the US market.

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.

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