scholarly journals The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia

2011 ◽  
Vol 15 (4) ◽  
pp. 49-73 ◽  
Author(s):  
Kang Sang Hoon ◽  
Yoon Seong-Min
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Emerging Stock Markets ◽  
The Global Financial Crisis

Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis

2018 ◽  
Vol 59 ◽  
pp. 179-211 ◽  
Author(s):  
Chiaz Labidi ◽  
Md Lutfur Rahman ◽  
Axel Hedström ◽  
Gazi Salah Uddin ◽  
Stelios Bekiros
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Emerging Stock Markets ◽  
The Global Financial Crisis

Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets

2018 ◽  
Vol 6 (2) ◽  
pp. 97-119 ◽  
Author(s):  
Bhowmik Roni ◽  
Ghulam Abbas ◽  
Shouyang Wang
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Forecast Error ◽  
Emerging Market ◽  
Stock Market Index ◽  
Data Set ◽  
Volatility Spillovers ◽  
Emerging Stock Markets ◽  
The Global Financial Crisis

Abstract This paper examines the extent of contagion and interdependence across the six Asian emerging countries stock markets (e.g., Bangladesh, China, India, Malaysia, the Philippine, and South Korea) and then try to quantify the extent of the Asian emerging market fluctuations which are described by intra-regional contagion effect. These markets experienced both fast growth and key upheaval during the sample period, and thus, provide potentially rich information on the nature of border market interactions. Using the daily stock market index data from January 2002 to December 2016 (breaking the 15 years data set into three sub periods; pre-crisis, crisis, and post crisis periods); particularly make attention to the global financial crisis of 2007∼2008. The return and volatility spillovers are modeled through the GARCH (generalized autoregressive conditional heteroscedasticity), pairwise Granger causality tests, and the forecast error variance decomposition in a generalized VAR (vector auto regression) models. This paper shows that volatility and return spillovers behave very differently over time, during the pre-crisis, crisis, and post crisis periods. Importantly, Asian emerging stock markets interaction is less before the global financial crisis period. The return and volatility spillover indices touch their respective historical peaks during the global financial crisis 2007∼2008, however Bangladeshi market faces this condition in 2009∼2010.

scholarly journals Integration and efficiency for local and regional equity markets during the global financial crisis

2020 ◽  
Vol 16 (3) ◽  
pp. 16-33
Author(s):  
Sebai
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Market Integration ◽  
Global Financial Crisis ◽  
Methodological Approach ◽  
Explanatory Power ◽  
Informational Efficiency ◽  
Crisis Period ◽  
Emerging Stock Markets ◽  
The Global Financial Crisis

The aim of this paper is to study the link between the market integration and informational efficiency in the local and regional market, while taking into account the global financial crisis. In fact, we employ the methodological approach adopted by Hooy and Lim (2013). On a sample of 29 countries and 4 regions over the period between 1994 and 2016 divided into three phases: the pre- crisis period, 1994-2006, the crisis period, 2007-2009 and the post-crisis period, 2010-2016.  Our results showed that the markets that are more integrated with the US market are also more efficient, which implies that this association is positive and significant in the sub-sample of local and regional emerging stock markets. On the other hand, this association lost its explanatory power during the crisis period as well as when the emerging stock markets is more volatile than their developed counterparts. The results also revealed that the political efforts being made for the market integration and informational efficiency should be complementary as the two policy goals are closely related

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.

scholarly journals Comparing The South African Stock Markets Response To Two Periods Of Distinct Instability The 1997-98 East Asian And Russian Crisis And The Recent Global Financial Crisis

2014 ◽  
Vol 13 (3) ◽  
pp. 427 ◽  
Author(s):  
Anmar Pretorius ◽  
Jesse De Beer
Keyword(s):  
Financial Crisis ◽  
South African ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
East Asian ◽  
Volatility Spillover ◽  
The South ◽  
Share Prices ◽  
Export Destination ◽  
The Global Financial Crisis

This paper compares the South African stock markets response to two periods of distinct instability, namely the East Asian and Russian crisis of 1997-98 and the global financial crisis of 2007-09. Considering share prices, the Johannesburg Securities Exchange (JSE) was more severely affected by the earlier crisis, when the domestic fundamentals were weaker. The low levels of foreign reserves were the main cause of concern. The paper further empirically investigates volatility spillover between the JSE and various developed and emerging stock markets during the two crisis periods, employing twelve separate bi-variate GARCH models. The main contributors to volatility spillover during the East Asian and Russian crisis were Mexico, Thailand, Brazil, and Germany predominantly emerging markets. During the second crisis period, Germany, US, Brazil, and UK played the dominant parts predominantly developed markets. The importance of Germany in both periods can be attributed to the countrys role as main export destination of South African goods in Europe.

scholarly journals GLOBALIZATION EFFECTS ON CONTAGION RISKS IN FINANCIAL MARKETS

2020 ◽  
Vol 15 (1) ◽  
pp. 38-54
Author(s):  
Mariya Paskaleva ◽  
Ani Stoykova
Keyword(s):  
Financial Crisis ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Member States ◽  
Eu Member States ◽  
Contagion Effects ◽  
The Global Financial Crisis ◽  
The U.S

Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis also caused massive stock price volatility due in part to global availability of market information. We explore ten EU member states (France, Germany, the United Kingdom, Belgium, Bulgaria, Romania, Greece, Portugal, Ireland, and Spain), and the USA. The explored period is March 3, 2003 to June 30, 2016, and includes the effects of the global financial crisis of 2008. The purpose of the article is to determine whether there is a contagion effect between the Bulgarian stock market and the other examined stock markets during the crisis period and whether these markets are efficient. We apply an augmented Dickey-Fuller test, DCC-GARCH model, autoregressive (AR) models, TGARCH model, and descriptive statistics. Our results show that a contagion between the Bulgarian capital market and the eight capital markets examined did exist during the global financial crisis of 2008. We register the strongest contagion effects from the U.S. and German capital markets on the Bulgarian capital market. The Bulgarian capital market is relatively integrated with the stock markets of Germany and the United State, which serves as an explanation of why the Bulgarian capital market was exposed to financial contagion effects from the U.S. capital market and the capital markets of EU member states during the crisis. We register statistically significant AR (1) for UK, Greece, Ireland, Portugal, Romania, and Bulgaria, and we can define these global capital markets as inefficient.

Sign in / Sign up

Export Citation Format

Share Document