scholarly journals Impact persistence of stock market risks in commodity markets: Evidence from China

PLoS ONE ◽  
2021 ◽  
Vol 16 (11) ◽  
pp. e0259308
Author(s):  
Shusheng Ding ◽  
Zhipan Yuan ◽  
Fan Chen ◽  
Xihan Xiong ◽  
Zheng Lu ◽  
...  
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Market Risk ◽  
Commodity Markets ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Gold Market ◽  
Shock Impact ◽  
Market Shocks ◽  
The Impact

The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets’ responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.

scholarly journals Financial contagion: The impact of the volatility of global stock exchanges on the Lima-Peru Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 13-27
Author(s):  
Pedro Pablo Chambi Condori
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Exchange ◽  
Market Volatility ◽  
Financial Contagion ◽  
Stock Market Volatility ◽  
Important Indicator ◽  
Dynamic Correlation ◽  
High Volatility ◽  
The Impact

What happens in the international financial markets in terms of volatility, have an impact on the results of the local stock market financial markets, as a result of the spread and transmission of larger stock market volatility to smaller markets such as the Peruvian, assertion that goes in accordance with the results obtained in the study in reference. The statistical evaluation of econometric models, suggest that the model obtained can be used for forecasting volatility expected in the very short term, very important estimates for agents involved, because these models can contribute to properly align the attitude to be adopted in certain circumstances of high volatility, for example in the input, output, refuge or permanence in the markets and also in the selection of best steps and in the structuring of the portfolio of investment with equity and additionally you can view through the correlation on which markets is can or not act and consequently the best results of profitability in the equity markets. This work comprises four well-defined sections; a brief history of the financial volatility of the last 15 years, a tight summary of the background and a dense summary of the methodology used in the process of the study, exposure of the results obtained and the declaration of the main conclusions which led us mention research, which allows writing, evidence of transmission and spread of the larger stock markets toward the Peruvian stock market volatility, as in the case of the American market to the market Peruvian stock market with the coefficient of dynamic correlation of 0.32, followed by the Spanish market and the market of China. Additionally, the coefficient of interrelation found by means of the model dcc mgarch is a very important indicator in the structure of portfolios of investment with instruments that they quote on the financial global markets.

scholarly journals Economic Policy Uncertainty and Chinese Stock Market Volatility: A CARR-MIDAS Approach

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Xinyu Wu ◽  
Tianyu Liu ◽  
Haibin Xie
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Model Framework ◽  
Economic Policy Uncertainty ◽  
Volatility Model ◽  
The Impact

Intraday range (the difference between intraday high and low prices) is often used to measure volatility, which has proven to be a more efficient volatility estimator than the return-based one. Meanwhile, a growing body of studies has found that economic policy uncertainty (EPU) has important impact on stock market volatility. In this paper, building on the range-based volatility model, namely, the conditional autoregressive range (CARR) model, we introduce the CARR-mixed-data sampling (CARR-MIDAS) model framework by considering intraday information to investigate the impact of EPU on the volatility of Chinese stock market and to explore the predictive ability of EPU for Chinese stock market. The empirical results show that both the China EPU (CEPU) and global EPU (GEPU) have a significantly negative effect on the long-run volatility of Chinese stock market. Furthermore, we find that taking into account the CEPU and GEPU leads to substantial improvement in the ability to forecast the volatility of Chinese stock market. We also find that the CEPU provides superior volatility forecasts compared to the GEPU. Our findings are robust to different forecasting windows.

Is stock market in Sub-Saharan Africa resilient to health shocks?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Terver Kumeka ◽  
Patricia Ajayi ◽  
Oluwatosin Adeniyi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Returns ◽  
Stock Markets ◽  
Commodity Markets ◽  
The Other ◽  
Content Type ◽  
Exogenous Shocks ◽  
The Impact

Purpose This paper aims to examine the impact of health and other exogenous shocks on stock markets in Africa. Particularly, the authors examined the resilience of the major stock markets in 12 African economies during the recent global pandemic. Design/methodology/approach This paper uses the recent panel vector autoregressive model, which enables us to capture the response of stock markets to shocks in COVID-19, commodity markets and exchange rate. For robustness, the authors also analysed the panel Granger causality test. Data was obtained for the period ranging from 2 January 2020 to 31 December 2020. Findings The results show that the growth in COVID-19 cases and deaths do not have any substantial impact on the stock market returns of these economies. In terms of commodity markets, the authors find that gold price has a negative contemporaneous effect on stock returns, but the effect fizzles out around the fifth day while crude oil price, on the other hand, has a significant positive simult aneous impact on stock returns and also converges around the fifth day. The authors further find that the exchange rate has a contemporaneous and nonlinear effect on stock returns and seems to be more dramatic when compared with the other variables. Overall, the results show that stock markets in Africa appear to be flexible and resilient against the COVID-19 outbreak but are affected by other exogenous shocks such as volatile commodity prices and the foreign exchange market. The effect is, however, short-lived – between one to five days. Practical implications Following the study’s findings, policies should be put in place to support financial markets by way of hedging against commodity instability and securing domestic currency financing. Policymakers are also recommended to concentrate on managing the uncertainties around their exchange rate markets and develop robust and efficient domestic financial markets to encourage local and foreign investors. Originality/value Several studies have been carried out on the effects of disasters (such as the COVID-19 pandemic) on stock markets, but only a few studies have examined the resilience of stock markets to health and other exogenous shocks. This study’s attempt is not only to examine the impact of COVID-19 health shocks on stock markets but also to analyse the resilience of the sampled stock markets. The authors also analyse the resilience of stock markets to commodity markets and exchange rates shocks.

scholarly journals Research on Sustainable Development of the Stock Market Based on VIX Index

2018 ◽  
Vol 10 (11) ◽  
pp. 4113
Author(s):  
Lei Ruan
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Financial Markets ◽  
Information Asymmetry ◽  
Stock Index ◽  
Chinese Stock Market ◽  
The Sustainable Development ◽  
Financial Variables ◽  
Dynamic Copula ◽  
The Impact

The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors’ returns. However, many scholars believe that the problem of information asymmetry in China has seriously negatively impacted investors, forming an unsustainable state. At present, there are still many problems in the Chinese stock market, especially the stock market fraud, which brings great challenges to the sustainable development of the stock market. Based on the idea of the STCC model, it is assumed that the Copula parameter is affected by the exogenous variables and the time-varying dynamic Copula model-ST-VCopula model is established. Based on the model, the influence of market volatility (VIX index) on the stock market is explored and then the stock index data of several countries are empirically analyzed. The empirical results show that the VIX index has a significant impact on the linkage between stock markets. The VIX index is easy and more intuitive to obtain, providing another way for the dynamic linkage research between the market, which can provide investors with some guidance and advice when conducting financial activities such as diversification.

scholarly journals New financial markets and their impact on raw material prices

2019 ◽  
Vol 53 (3) ◽  
pp. 85
Author(s):  
Marek Szturo ◽  
Bogdan Włodarczyk
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Global Financial Crisis ◽  
Raw Materials ◽  
Chinese Economy ◽  
Raw Material ◽  
Chinese Stock Market ◽  
Distributed Lag ◽  
Commodity Currencies ◽  
The Impact

<p>The purpose of the study was to determine the impact of the Chinese financial market, which is a new market, on the exchange rates of commodity currencies and, thus, the prices of raw materials. For this purpose, an autoregressive distributed lag model (ARDL) was used. The results indicate that the Chinese stock market and futures market for the yuan (the Chinese Yuan Non-Deliverable Forward Transactions; CNY NDF market) had a significant impact on commodity currencies before the global financial crisis in 2008/09, then the effect widened to include more commodity currencies in the post-crisis period. Further evidence suggests that the CNY NDF market had a greater impact on commodity currencies than the Chinese stock market. Despite the significant position of the Chinese economy, research also indicates that the impact of Chinese financial markets on commodity currencies (raw material prices) is weaker than the impact of the US stock market and US dollar market.</p>

scholarly journals IMPACT OF POLITICAL INSTABILITY AND TERRORISM ON STOCK RETURNS: EVIDENCE FROM PAKISTAN

2013 ◽  
Vol 01 (02) ◽  
pp. 47-54
Author(s):  
Hasan Raza ◽  
Shafaq Malik
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Returns ◽  
Political Instability ◽  
Bad News ◽  
Good News ◽  
Stock Market Volatility ◽  
Egarch Model ◽  
Year 2000 ◽  
The Impact

This study examines the impact of terrorist activities and regime in Pakistan on the return and volatility dynamics of the financial markets in Pakistan between year 2000 and 2010. The study constructs two dummy variables that quantify political instability and terror and examine the effect on stock market volatility. An ARCH and GARCH model to discover evidence that terrorism and regime has a significant impact on both the return and volatility dynamics of stock markets. To capture the asymmetries in terms of negative and positive shocks, this study also uses threshold GARCH (TGARCH) and an exponential GARCH (EGARCH) model. From both of the TGARCH and EGARCH results, it can be reveal that for the return of KSE-100, there are asymmetries in the news that shows bad news has a larger effect on the volatility of return than good news. Finally study of the reaction of the stock market to terrorist events may also provide indication to investors and speculators to adjust their positions when such events transpire.

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.

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

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