scholarly journals Zmiana poziomu efektywności amerykańskiego rynku akcji – od kryzysu finansowego 2007-2009 do pandemii COVID-19

2021 ◽  
pp. 33-47
Author(s):  
Marek Kołatka ◽  
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Rates Of Return ◽  
Linear Relationships ◽  
The Us ◽  
Investment Opportunities ◽  
Global Events ◽  
Fifth Order ◽  
The Impact ◽  
Bds Test

Purpose – Verification of the change in the efficiency of the US stock market from the 2007-2009 financial crisis to the COVID-19 pandemic. Research method – The BDS test (occurrence of non-linear relationships between daily logarithmic rates of return) and the Quenouille autocorrelation test up to the fifth order (occurrence of linear relationships between daily logarithmic rates of return) for the S&P500 and DJIA indices were used. Results – The occurrence of unusual phenomena changes the level of US stock market effectiveness. An increase in inefficiency was observed both during the 2007-2009 financial crisis and now, during the COVID-19 pandemic. Higher-level relationships between rates of return were found during the COVID-19 pandemic. Originality / value / implications / recommendations – A comparison of the impact of two recent global events on the level of efficiency of the US stock market. Additionally, the article indicates which of the two key US stock indices provided more frequent investment opportunities.

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

GLOBAL FINANCIAL CRISIS: THE BUBBLE EFFECT IN INDONESIA

2018 ◽  
pp. 27-33
Author(s):  
Mohammad Benny Alexandri ◽  
Raeny Dwisanti
Keyword(s):  
Financial Crisis ◽  
Stock Price ◽  
Price Index ◽  
Global Financial Crisis ◽  
Price Ratio ◽  
Sharp Decline ◽  
Book Value ◽  
The Us ◽  
Investment Opportunities ◽  
Us Financial Crisis

US and Indonesia stock markets are entering record heights without being offset by economic growthand profitability growth of their traded companies. There are several indicators for the stock marketbubble: (1) Price Ratio (Ear Ratio); (2) Price Ratio / Book (PB Ratio), the latter comparing thenominal price of one share at a market with the book value (the value of company's assets). Thecurrent PB ratio of the composite stock price index being 3.3 means that for each shares the assetvalue of which is 1 IDR, the stock would be worth 3.3 IDR. This is one of the most expensive price in the world today. Based on the above, for Indonesian stock market sharp decline is just a matter of time and waiting. This decline will be much sharper if triggered by the US financial crisis. We can also also see a bubble emerging from increasingly irrational investment attitudes. Currently, in addition to high prices for stocks and bonds, investors have started looking at investment opportunities in digital currencies. This research tries to know the potential of financial crisis and itseffect for the financial market in Indonesia. 

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 Loss aversion, overconfidence of investors and their impact on market performance evidence from the US stock markets

2020 ◽  
Vol 25 (50) ◽  
pp. 451-478
Author(s):  
Ahmed Bouteska ◽  
Boutheina Regaieg
Keyword(s):  
Stock Market ◽  
Economic Performance ◽  
Loss Aversion ◽  
Market Performance ◽  
Ordinary Least Squares ◽  
Company Performance ◽  
Service Firms ◽  
Content Type ◽  
The Us ◽  
The Impact

Purpose The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on market performance was discussed. Design/methodology/approach This study used around 6,777 quarterly observations on the population of US-insured industrial and services companies over the 2006-2016 period. Ordinary least squares (OLS) regression in two panel data models were used to test the hypotheses formulated for the study. Findings It was documented that the loss-aversion bias negatively affects the economic performance of companies and this is achieved for both sectors. In contrast, the findings suggest that overconfidence positively affects market performance of industrial firms but negatively affects market performance in service firms. Further robust evidence was found that overconfidence bias seems to be dominant, and hence, investors may tend to be more overconfident rather than more loss-averse. Originality/value This research can be extended by focusing on the following question: What is the impact of the contradictory (positive and negative) effects of an investor's loss aversion and overconfidence on the US company performance in case of realization of a stock market crisis or stock market crash?

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