scholarly journals Systemic Risk Contribution and Contagion of Industrial Sectors in China: From the Global Financial Crisis to the COVID-19 Pandemic

2021 ◽  
Vol 2021 ◽  
pp. 1-16
Author(s):  
Jianxu Liu ◽  
Yangnan Cheng ◽  
Yefan Zhou ◽  
Xiaoqing Li ◽  
Hongyu Kang ◽  
...  
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Systemic Risk ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Spillover Effect ◽  
Industrial Sectors ◽  
Risk Contribution ◽  
The Global Financial Crisis ◽  
Over Time

This paper investigates the risk contribution of 29 industrial sectors to the China stock market by using one-factor with Durante generator copulas (FDG) and component expected shortfall (CES) analyses. Risk contagion between the systemically most important sector and other sectors is examined using a copula-based ∆CoVaR approach. The data cover the 2008 global financial crisis and the beginning of the COVID-19 pandemic. The empirical results show that the banking sector contributed most to systemic risk before and during the global financial crisis. Nonbank finance became equally important in 2020, and the COVID-19 pandemic promoted the position of the computer and pharmaceuticals sectors. The spillover effect diminishes over time, but there remains risk contagion between sectors. The risk spillover trend is consistent with that of systemic risk.

scholarly journals The mechanisms linking the finance-growth relationship in view of the financial crisis: an empirical investigation of the EU countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dimitrios Asteriou ◽  
Konstantinos Spanos
Keyword(s):  
Economic Growth ◽  
Financial Crisis ◽  
Stock Market ◽  
Financial Development ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Equity Market ◽  
Private Debt ◽  
Content Type ◽  
The Global Financial Crisis

PurposeThe paper aims to explore the mechanisms linking the impact of financial development on economic growth and focuses on the long-term post-global financial crisis.Design/methodology/approachThe study employs panel data for twenty-five European Union countries over the period 1995–2017. Principal Component Analysis is employed to produce two aggregate indices, namely financial banking sector development and stock market sector development. The empirical analysis is based on estimates through the autoregressive distributed lag (ARDL) method.FindingsThe results suggest that the outbreak of the crisis has led to a disruption of the positive finance-growth relationship, and the banking sector dominates in this adverse effect. The foreknowledge of the current study is that the linking mechanisms of the negative impact of financial development on economic growth, ten years after the global financial crisis, are household debt, private debt, and non-performing loans for the banking sector, while for the equity market this is the case through savings. Interestingly, the results reveal that unemployment increase excessively the borrowers' debt level and then the non-performing loans.Research limitations/implicationsAn implication is that the increase of credit supply and any monetary expansion along with lack of regulatory control and monitoring can lead banks to a higher risk exposure through household and private debt as well as non-performing loans. Besides, the higher levels of unemployment rates call attention for the trade-off between prudential regulation on the supply of loans and economic activity, since higher unemployment affect the non-performing loans and, as a consequence discourage the demand, increase precautionary savings, and cancel or postpone investment decisions, thus, affecting the equity market.Originality/valueThe paper provides useful insights to economists and policymakers who are interested in understanding the weakness of banking and stock market sectors to promote economic growth for a long time after the global financial crisis.

scholarly journals Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Agriculture ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 93
Author(s):  
Pavel Kotyza ◽  
Katarzyna Czech ◽  
Michał Wielechowski ◽  
Luboš Smutka ◽  
Petr Procházka
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Market ◽  
Structural Breaks ◽  
Structural Changes ◽  
Global Financial Crisis ◽  
Market Uncertainty ◽  
Volatility Index ◽  
The Global Financial Crisis ◽  
The Relationship

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.

Twin Peaks Regulation After the Global Financial Crisis: A Reform Model for China?

2017 ◽  
Vol 8 (3) ◽  
Author(s):  
Miao Han
Keyword(s):  
Financial Crisis ◽  
Central Bank ◽  
Financial Services ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Relevant Literature ◽  
Twin Peaks ◽  
The Global Financial Crisis ◽  
Peak Model ◽  
Twin Peak

AbstractThe global financial crisis (GFC) has been defined as the worst financial crisis after the Great Depression of the 1930s. Reforms underway, as well as debates in discussion, revolve around both regulatory philosophy and approaches towards better supervisory outcomes. One of the most radical institutional reforms took place in the United Kingdom (UK), where the Twin-Peak model replaced the previous fully integrated regulator – the Financial Services Authority (FSA) under the Financial Services Act 2012. This paper argues that China should also introduce twin peaks regulation, but it is rather based on the resources of risk in its financial sector than the direct GFC challenge. In theory, the core arguments focus on the structure of agencies responsible for prudential regulation and the role played by the central bank as well. The Twin-Peak model has been further examined in terms of regulatory objectives and instruments. By method, this paper is a country-specific comparative study; Australia, the Netherlands and the UK are selected to represent different Twin-Peak models. This paper contributes to the relevant literature in two main aspects. First, it has displayed the principal pattern of the Twin-Peak model after detailing the case studies, including the relationship involving in two regulators, central bank and finance minister in particular. Based on this, second, it becomes possible to design a very specific model to reform China’s current sector-based financial monitoring regime. As far as the author knows, until end-2015, this is the first paper which has proposed such a particular model to China. It is argued that the appropriate institutional structure of market regulation should fit well in with a country’s financial market. Accordingly, the Twin-Peak model will be able to balance the regulatory tasks for the over-concentrated risk in China’s large banking sector but the underdeveloped securities market. Even though, regulatory independence will continue to be challenged.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

Global Financial Crisis and Bank Productivity in Mexico

2015 ◽  
pp. 581-599
Author(s):  
Francisco Vargas Serrano ◽  
Luis Rentería Guerrero ◽  
Gang Cheng ◽  
Panagiotis D. Zervopoulos ◽  
Arnulfo Castellanos Moreno
Keyword(s):  
Financial Crisis ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Malmquist Index ◽  
Data Envelopment ◽  
Significant Difference ◽  
Before And After ◽  
Domestic Banks ◽  
Productivity Indicators ◽  
The Global Financial Crisis

This chapter presents an attempt to compare the productivity of the Mexican banking sector in two different periods: the 2007-2011 period of global financial crisis and the 2003-2006 stage, which can be regarded as a relatively stable period. The purpose of this study is to disclose whether the global financial crisis affected Mexican banking productivity. Three Data Envelopment Models (DEA) are tested in order to assess whether there is a significant difference between the productivity patterns of Mexican banks before and after the financial crisis. Such models are the radial Malmquist Index, the non-radial and slacks-based model, and non-radial and non-oriented. Essentially, no significant difference of productivity indicators for both foreign and domestic banks was found. Likewise, no significant difference between the pre- and post-crisis periods was perceived, as far as productivity indicators are concerned. Therefore, the global financial crisis was effectless in banking operation.

Shadow prices of non-performing loans and the global financial crisis

2019 ◽  
Vol 20 (5) ◽  
pp. 411-434
Author(s):  
Ameni Tarchouna ◽  
Bilel Jarraya ◽  
Abdelfettah Bouri
Keyword(s):  
Financial Crisis ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Shadow Price ◽  
Market Price ◽  
Shadow Prices ◽  
Content Type ◽  
Managerial Implications ◽  
Bad Loans ◽  
The Global Financial Crisis

Purpose This paper aims to determine the opportunity cost borne by US commercial banks to reduce non-performing loans (NPLs) by one unit within the global financial crisis framework. Design/methodology/approach To achieve this aim, the authors use the directional output distance function to estimate the technical efficiency while considering NPLs as undesirable output. Then, they estimate the shadow prices of NPLs by using the envelope theorem and solving the revenue function. Findings The results indicate that medium-sized banks are the most efficient, while small banks are the most inefficient ones. Moreover, the shadow prices of NPLs of large banks are higher than those of small and medium-sized banks. This implies a more elevated cost when lessening bad loans in large banks. This is more prominent during the crisis given that the shadow prices of NPLs of large banks have risen sharply over that period. Practical implications Shadow prices have important managerial implications given that they display the amounts of required reduced revenues to lessen NPLs. Accordingly, banks’ managers are called to reduce these loans by paying more attention when choosing their customers. Originality/value With the absence of an observable market price for bad loans in financial literature, the shadow price notion offers an adequate measure to evaluate them. To the best of authors’ knowledge, this is the first study that provides an estimation of the shadow price of NPLs in the US banking sector.

Stock Market Reaction to Corporate Real Estate Divestitures and Acquisitions during the Global Financial Crisis

2015 ◽  
Vol 73 (5) ◽  
Author(s):  
Annie Wong Ping Eng ◽  
Janice YM Lee ◽  
Muhammad Najib Mohamed Razali ◽  
Mat Naim Abdullah @ Mohd Asmoni ◽  
Izran Sarrazin Mohammad
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Market Reaction ◽  
Corporate Real Estate ◽  
The Global Financial Crisis ◽  
Real Estate Assets

Real estate divestitures and acquisitions (D&A) are conducted as part of corporate restructuring. This study aims to fill the knowledge gap on abnormal stock market returns (AR) toward D&A activities during the Global Financial Crisis (GFC) in a developing country. Malaysian listed non-real estate companies that conducted D&A during the GFC are used as sample. Event study is applied to determine AR surrounding D&A announcements within (-10day, +10day) event window. Results for both D&A announcements shows insignificant AR on and around announcement date (-1 to +1). For pre-announcement, divesting (acquiring) companies obtain negative (positive) AR, signifying that the market does not favor (favor) divestitures (acquisitions) due to leakage of information. The outcome of post-announcement proves that divesting companies continue to experience negative ARs, although most divesting companies were paid premium prices. However, acquiring companies experience significant and negative post-announcement AR. This is probably due to the price premium which most acquiring companies paid exceeding valuation for their acquisitions. In summary, the market disapproves divestitures in general and acquisitions of real estate assets exceeding their valuations during economic recessions.  

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