Do Global Financial, Oil and Gold Volatility Shocks Affect the GCC Stock Markets?

2019 ◽  
Vol 5 (2) ◽  
pp. 157-175 ◽  
Author(s):  
Abdullah Alqahtani
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Stock Markets ◽  
Structural Var ◽  
Causality Test ◽  
Data Set ◽  
Financial Volatility ◽  
Daily Data ◽  
Positive Shock ◽  
The Impact

This study employed the non-structural VAR econometrics approach to examine the impact of Global Oil (OVX), Financial (VIX), and Gold (GVZ) volatility indices on GCC stock markets using a daily data set spanning from January 5, 2009 to August 16, 2018. From the VAR result obtained, disequilibrium in the global financial volatility (VIX) was able to significantly transmit negative shock to Bahrain and Kuwait stock markets and positive shock on GVZ. While the global Gold volatility was capable of transmitting fairly positive shock to the UAE and VIX market. The OLS also revealed more to the result obtained from VAR as it shows that OVX and VIX can have impact on the GCC stock markets. The causality test revealed that there is a unidirectional causality running from Qatar and UAE to OVX; none of the variables was able to granger cause VIX, while unidirectional causality exist from VIX and UAE to GVZ and VIX and Qatar to Bahrain. VIX and Qatar can granger cause Kuwait stock market, and only Saudi Arabia and Oman have bidirectional causality. Unidirectional causality exists from Saudi Arabia to Qatar, and Qatar is the only stock market capable of causing UAE unidirectionally. Hence, the study concludes that VIX and GVZ are capable of transmitting shocks to three of the six GCC stock markets—(Bahrain, Kuwait and The UAE) negatively (Bahrain and Kuwait) and positively (The UAE). And on this note, the study recommends that appropriate financial and gold transaction policies should be institutionalized so as to mitigate the transmission of shocks into the markets. Also, financial and gold experts who regulate the stock and gold markets especially in Bahrain and Kuwait should watch for any abnormality changes in the volatility movement of the financial and gold markets.

Spillover of Sentiments Between the GCC Stock Markets

2020 ◽  
pp. 097215092093559
Author(s):  
Shah Saeed Hassan Chowdhury
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Impulse Response Functions ◽  
Contagion Effect ◽  
Causality Test ◽  
Market Sentiment ◽  
Correlation Models ◽  
Autoregressive Conditional Heteroscedasticity

This study examines how stock market sentiment in a Gulf Cooperation Council (GCC) stock market may spill over to affect sentiments in other markets in the region. Findings from dynamic conditional correlation models in a generalized autoregressive conditional heteroscedasticity (GARCH) framework, traditional Granger causality test and impulse response functions suggest that Kuwait and Qatar stock markets are segregated from other markets in the region. Saudi Arabia and the United Arab Emirates (UAE) markets are well integrated, and any shift in sentiment in either of the two affects the other. Bahrain and Oman are somewhat integrated with the UAE and Saudi stock market sentiments. Thus, when an investor has significant investments in both Saudi Arabia and the UAE, he must be aware of any contagion effect—especially in the case of a stock market panic.

scholarly journals A note on the relationship between COVID-19 and stock market return: evidence from South Asia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Md Arafat Rahman ◽  
Md Mohsan Khudri ◽  
Muhammad Kamran ◽  
Pakeezah Butt
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Stock Markets ◽  
Asian Countries ◽  
Causality Test ◽  
Stock Market Returns ◽  
Content Type ◽  
Market Return ◽  
Stock Market Return ◽  
The Impact

Purpose The transformation of coronavirus disease (COVID-19) from a regional health crisis in a Chinese city to a global pandemic has caused severe damage not only to the natural and economic lives of human beings but also to the financial markets. The rapidly pervading and daunting consequences of COVID-19 spread have plummeted the stock markets to their lowest levels in many decades especially in South Asia. This concern motivates us to investigate the stock markets’ response to the COVID-19 pandemic in four South Asian countries: Bangladesh, India, Pakistan and Sri Lanka. This study aims to investigate the causal impact of the number of confirmed COVID-19 cases on stock market returns using panel data of the countries stated above. Design/methodology/approach This study collects and analyzes the daily data on COVID-19 spread and stock market return over the period May 28, 2020 to October 01, 2020. Using Dumitrescu and Hurlin panel Granger non-causality test, the empirical results demonstrate that the COVID-19 spread measured through its daily confirmed cases in a country significantly induces stock market return. This paper cross-validates the results using the pairwise Granger causality test. Findings The empirical results suggest unidirectional causality from COVID-19 to stock market returns, indicating that the spread of COVID-19 has a dominant short-term influence on the stock movements. To the best of the knowledge, this study provides the first empirical insights into the impact of COVID-19 on the stock markets of selected South Asian countries taking the cross-sectional dependence into account. The results are also in line with the findings of other existing literature on COVID-19. Moreover, the results are robust across the two tests used in this study. Originality/value The findings are equally insightful to the fund managers and investors in South Asian countries. Taking into account the possible impact of COVID-19 on stock markets’ returns, investors can design their optimal portfolios more effectively. This study has another important implication in the sense that the impact of COVID-19 on the stock markets of South Asian countries may have spillover effects on other developing or even developed countries.

scholarly journals Corruption and stock market development in EAP countries

2020 ◽  
Vol 17 (2) ◽  
pp. 266-276
Author(s):  
Phuong Lai Cao Mai
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Positive Impact ◽  
Economic Benefits ◽  
Data Set ◽  
Macroeconomic Factors ◽  
Market Capitalization ◽  
Developed Stock Markets ◽  
The Impact ◽  
Stock Market Capitalization

Using macroeconomic factors as control variables, this paper examines the impact of corruption on the development of the stock market in East Asia and the Pacific (EAP) from 2008 to 2018. The research model uses GMM techniques to estimate panel data on two sub-sets of data, including five developed markets and seven emerging markets, and a dataset of both market groups. The market capitalization and the stock transaction value relative to GDP represent the development of the stock market, and the corruption control index represents the corruption factor. The empirical results found that corruption has a positive impact on the EAP stock market capitalization with the entire sample data set, which positively affects both size of the market capitalization value and value of stock transactions in underdeveloped markets. However, it is not statistically significant in explaining the development of developed stock markets. Besides, macroeconomic factors such as inflation, interest rates, savings, and credit affect some stock markets at EAP. Compared to previous studies, the article’s results found that corruption affects stock market capitalization and has a positive impact on stock liquidity in underdeveloped stock markets. Corruption affects more underdeveloped stock markets than developed stock markets. This may be due to the implicit relationship of economic benefits between large enterprises and officials in underdeveloped markets.

scholarly journals Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach

2020 ◽  
pp. 3-3
Author(s):  
Le Nghi ◽  
Nguyen Kieu
Keyword(s):  
United States ◽  
Stock Market ◽  
Frequency Domain ◽  
Stock Markets ◽  
The United States ◽  
Frequency Domain Analysis ◽  
Volatility Spillover ◽  
Causality Test ◽  
Daily Data ◽  
Frequency Domain Approach

Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is used to estimate volatilities in these stock markets; the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature.

The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets

2018 ◽  
Vol 17 (3_suppl) ◽  
pp. S344-S375
Author(s):  
Thai-Ha Le ◽  
Donghyun Park ◽  
Cong-Phu-Khanh Tran ◽  
Binh Tran-Nam
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Jel Classification ◽  
Daily Data ◽  
Stock Market Performance ◽  
Paracel Islands ◽  
Overall Performance ◽  
Oil Rig ◽  
The Impact

This study examines the extent to which the Hai Yang Shi You 981 (HD-981) event, the sudden deployment of a Chinese oil rig in disputed territorial waters near Paracel Islands in May 2014, affected the stock market performance of 20 sectors of the Vietnamese economy. The impact was measured in terms of stock returns, using daily data on stock market indices. The results strongly indicate that the HD-981 event significantly and negatively affected the overall performance of Vietnam’s stock markets. There is, however, considerable variation across sectors. While most sectors which are heavily dependent on the economy of China were adversely affected, the impact on some sectors was negligible. By conducting this study on Vietnam’s stock markets, we hope to generate implications and lessons for other emerging markets in the region. JEL Classification: G1, G14, C58

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

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.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

scholarly journals The Symmetric and Asymmetric Time-Varying Causality Relationships Between the COVID-19 Outbreak and the Stock Exchange: The Case of Selected Countries

Ekonomika ◽  
2021 ◽  
Vol 100 (2) ◽  
pp. 144-170
Author(s):  
Cuma Demirtaş ◽  
Munise Ilıkkan Özgür ◽  
Esra Soyu
Keyword(s):  
Mortality Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Time Varying ◽  
Causality Test ◽  
Causality Tests ◽  
Bed Capacity ◽  
Case Rate ◽  
Asymmetric Causality ◽  
Second Wave

In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.

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