The PIIGS stock markets before and after the 2008 financial crisis: a dynamic cointegration and causality analysis

2012 ◽  
Vol 4 (3) ◽  
pp. 232 ◽  
Author(s):  
Andreas S. Chouliaras ◽  
Apostolos G. Christopoulos ◽  
Dimitris Kenourgios ◽  
Petros Kalantonis
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Causality Analysis ◽  
2008 Financial Crisis ◽  
Before And After ◽  
The 2008 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.

scholarly journals IPO Underpricing After the 2008 Financial Crisis: A Study of the Chinese Stock Markets

2018 ◽  
Vol 10 (8) ◽  
pp. 2844 ◽  
Author(s):  
Rui Li ◽  
Wei Liu ◽  
Yong Liu ◽  
Sang-Bing Tsai
Keyword(s):  
Financial Crisis ◽  
Initial Public Offering ◽  
Small Firms ◽  
Effective Means ◽  
Ipo Underpricing ◽  
2008 Financial Crisis ◽  
Before And After ◽  
The Difference ◽  
The 2008 Financial Crisis ◽  
Public Offering

A firm’s capability of raising funding is closely related to its sustainable development. With a more efficient allocation of funding among the whole society, social resources will be better utilized. Initial Public Offering (IPO) can indeed be an effective means of raising capital for corporate ventures. Using 1069 firms which completed IPOs on Chinese stock exchanges between 1st January 2004 and 1st January 2013, we investigate the difference in IPO underpricing before and after the 2008 financial crisis. Based on OLS regression models, we find that the IPOs are less underpriced in the post-crisis period. We examine the moderating effects of firm size on the difference in IPO underpricing between pre- and post-crisis periods, finding that small firms experienced less IPO underpricing than large firms after the financial crisis. After applying different model specifications such as Robust and OProbit regressions, the results remain consistent. Our study contributes to understanding the dynamics and influences of the financial crisis on firms’ IPO cost from the perspective of information asymmetry.

scholarly journals Risk Analysis of World Major Stock Index Before and After the 2008 Financial Crisis – Based on GARCH-VaR Approach

2018 ◽  
Vol 9 (2) ◽  
pp. 39
Author(s):  
Maoguo Wu ◽  
Yanyuan Wang
Keyword(s):  
Financial Crisis ◽  
Time Lag ◽  
Policy Implications ◽  
Stock Index ◽  
2008 Financial Crisis ◽  
Before And After ◽  
The 2008 Financial Crisis ◽  
Global Stock Markets ◽  
Stock Indexes ◽  
Global Stock

In 2008, the U.S. subprime mortgage crisis overwhelmed the global financial system, which sparked drastic fluctuation of world stock index. Subsequently, the risk of investment in global stock markets has augmented considerably. Applying the VaR approach based on GARCH model, this paper attempts to thoroughly investigate the volatility of S&P 500, NASDAQ, DJIA, GDAXI and CSI 300. For the purpose of comparison, data are divided into 2 parts: before the 2008 financial crisis and after the 2008 financial crisis. Thus, the paper elaborates impacts of the 2008 financial crisis on global stock index. In addition, this paper puts forward policy implications of risk control in Chinese financial market. According to empirical results, before the 2008 financial crisis, S&P 500, NASDAQ and DJIA were relatively stable; GDAXI was slightly fluctuant while CSI 300 fluctuated dramatically. When confronting with the 2008 financial crisis, the volatility of three American stock indexes surged at once, even exceeding that of CSI 300. GDAXI, however, experienced a time lag in the increase of volatility. So far, S&P 500, NASDAQ, DJIA and GDAXI have gradually recovered. On the contrary, CSI 300 still undulates frequently and erratically.

COMPARATIVE TFP GROWTH BETWEEN GCC CONVENTIONAL AND ISLAMIC BANKS BEFORE AND AFTER THE 2008 FINANCIAL CRISIS

2020 ◽  
pp. 1-20
Author(s):  
AZZEDDINE AZZAM ◽  
BELAID RETTAB
Keyword(s):  
Financial Crisis ◽  
Technical Change ◽  
Islamic Banks ◽  
2008 Financial Crisis ◽  
Before And After ◽  
Product And Process Innovation ◽  
Product And Process ◽  
The 2008 Financial Crisis ◽  
Conventional Banks ◽  
Conventional And Islamic Banks

This paper measures and compares the performance of GCC conventional and Islamic banks in terms of total factor productivity growth (TFPG) before and after the 2008 financial crisis. The sources of TFPG are technical change, size economies, and observed asset growth. Technical change and size economies are measured by estimating a translog cost function and factor share equations. Results show that Islamic banks outperformed conventional banks overall and across different sizes. To the extent that product and process innovation improves TFPG, Islamic banks have weathered the 2008 financial crisis by being more innovative than conventional banks.

Comparing state pension reforms in EU countries before and after 2008

2017 ◽  
Vol 33 (3) ◽  
pp. 225-239 ◽  
Author(s):  
Aaron George Grech
Keyword(s):  
Financial Crisis ◽  
Negative Impact ◽  
Reform Process ◽  
2008 Financial Crisis ◽  
Pension Reforms ◽  
Permanent Change ◽  
Eu Countries ◽  
Before And After ◽  
The 2008 Financial Crisis ◽  
State Pension

AbstractMany EU countries have been carrying out substantial state pension reforms since the mid-1990s. This article studies whether the reforms that were carried out in ten EU countries before and after the 2008 financial crisis are different. This is done through an analysis of the different elements of these reforms and also by comparing pension entitlements after each set of reforms. The main conclusion is that the pre-crisis reforms were much stronger and had a more negative impact on women than the post-crisis reforms. It is harder to determine whether this represents a temporary break in the reform process or a permanent change in the orientation of pension reforms in these ten countries.

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