Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US

2006 ◽  
Vol 09 (02) ◽  
pp. 297-315 ◽  
Author(s):  
Hwahsin Cheng ◽  
John L. Glascock
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
The United States ◽  
Asian Financial Crisis ◽  
Greater China ◽  
Market Linkages ◽  
Economic Area ◽  
Before And After

We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian 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.

Stock‐market forecasts by Singapore newspapers before and after the 1997 Asian financial crisis

2002 ◽  
Vol 12 (1) ◽  
pp. 100-125 ◽  
Author(s):  
Choy How Yun ◽  
Koh Siau Wei ◽  
Tay Hwee Peng ◽  
Hao Xiaoming
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Asian Financial Crisis ◽  
Before And After

scholarly journals Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach

2019 ◽  
Vol 11 (2) ◽  
pp. 303 ◽  
Author(s):  
Ahmed Shafique Joyo ◽  
Lin Lefen
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Global Financial Crisis ◽  
The United States ◽  
Positive Sign ◽  
Stock Market Integration ◽  
Trading Partners ◽  
T Distribution

A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant of stock market interdependence. The objective of this study is to analyze the co-movements and the portfolio diversification between the stock markets of Pakistan and its top trading partners, namely China, Indonesia, Malaysia, the United Kingdom, and the United States. We employed Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methodology with student t-distribution to examine time-varying correlation and volatilities of stock markets of Pakistan and its trading partners. We used Morgan Stanley capital international (MSCI) daily returns data of developed and emerging markets for the period 2005 to 2018. The results of the study highlighted that stock markets of Pakistan and its trading partners were closely integrated during the financial crisis of 2008, while the integration among stock markets decreased substantially after the period of financial crises. Furthermore, the results showed the slow decay process. Therefore, it is a positive sign for the Pakistani and international investors to diversify their portfolio among the stock markets of Pakistan and its trading partners.

scholarly journals Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation

2021 ◽  
Author(s):  
Muhammad Niaz Khan ◽  
Suzanne G. M. Fifield ◽  
Nongnuch Tantisantiwong ◽  
David M. Power
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
South Asian ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Global Market ◽  
Cointegration Analysis ◽  
Volatility Spillovers ◽  
Regional Market ◽  
Before And After

AbstractThis paper documents evidence of changes in the co-movement of stock returns and risk transmission among four South Asian stock markets over periods of regional market reform and global market instability. The sample period (1993–2015) is disaggregated into three sub-periods: before and after the establishment of the South Asian Federation of Exchanges (SAFE) and after the 2008 Global Financial Crisis. The principal components investigation and cointegration analysis conclude that the co-movement among stock returns in this region altered amidst a change in the institutional context and global economic uncertainty. Using a tetra-variate GARCH-BEKK model, we find that, after the establishment of SAFE, the interactions among the markets increased through volatility spillovers, but decreased through shock spillovers. In addition, there were more shock and volatility spillovers in the last sub-period as compared to the first two sub-periods, indicating that risk transmission across countries increased during the period of uncertainty. In particular, the Indian stock market was a risk spreader in South Asia after the setup of SAFE and its influence on the regional stock markets increased even further after the 2008 Global Financial Crisis.

Regional volatility: common or country-specific? Exploration of international stock market

2014 ◽  
Vol 31 (4) ◽  
pp. 406-425
Author(s):  
Asma Mobarek ◽  
Michelle Li
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Latin American ◽  
Stock Markets ◽  
Asia Pacific ◽  
Stock Market Volatility ◽  
Common Component ◽  
Content Type ◽  
Country Specific

Purpose – The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country-specific for 46 international markets of the Asian, European, African and Latin American regions using the Morgan Stanley Capital International daily prices in the period from January 1998 to December 2009. Further, the study has been divided into two sub-periods to distinguish the effects of the current sub-prime financial crisis and to determine whether the crisis has an impact on the fluctuations of common component of stock market volatility. Design/methodology/approach – The paper applies the time-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or common across the countries. Findings – The results evidence that the volatility of stock returns is due to common factors, rather than country-specific ones, but this is not always the case. However, this common component is more stable in European and Latin American countries than in the Asia-Pacific and African regions. Furthermore, the results suggest that the influence of a common component has been enhanced significantly during the current sub-prime financial crisis. Practical implications – The study has implication for domestic and international investors, portfolio managers, as well as policy-makers to implement economic and financial policy that promote stability, reduce vulnerability to crises and encourage sustained growth and living standards. Originality/value – To the best of the authors’ knowledge, this is the first study to include four regional samples and test the common component of fluctuations of regional stock markets volatility.

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