scholarly journals Contagion of the shareholder market: cases of Colombia, México, Perú, Chile and Argentina

2019 ◽  
Vol 18 ((1)) ◽  
Author(s):  
Marcos Vera Leyton
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Time Window ◽  
Sum Of Squares ◽  
Conditional Correlation ◽  
Cumulative Sum ◽  
Crisis Period ◽  
Dynamic Conditional Correlation ◽  
Highly Sensitive ◽  
Before And After

This document study the existence of financial crisis contagion, it defined like the transmission of the shocks between countries, which translates in increasing in the correlation anything beyond or fundamental link, taking as a source of contagion by EEUU, Brasil, and analyzing Mexico, Colombia, Peru, Chile and Argentina like “Infected” countries, for the period covered between July 3 of 2001, date of unification of the Colombia Stock Market, to July 3 of 2010. To identify crisis period, and to evoid volatility overestimation, it used the algorithm iterative cumulative sum of squares ICCS, developed by Inclan y Tiao (1994), additionally calculated the dynamic conditional correlation (DCC) Engle Model (2002). The document includes a review of several studies, concepts, and transmission (Contagion) methodologies, and it constitutes one of the few studies that includes Colombia like analysis source.  So this study verifies the existence of contagion in the countries studies, except Argentina, but warns that the measure of impact that a crisis in a given country has over other countries is highly sensitive to the way we choose the time window before and after the crisis.

The Financial Crisis

2019 ◽  
pp. 1-12
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Economic Impact ◽  
Free Fall ◽  
Regulatory Framework ◽  
Subprime Lending ◽  
Crisis Period ◽  
The U.S ◽  
Trump Administration

This chapter discusses the origins of the 2007 financial crisis, subprime lending, and government-sponsored entities. It argues that the events driving financial markets to the precipice of collapse during the global financial meltdown gave rise to a regulatory framework that may have been a rational response to a market in free fall, but need to be reassessed in an era of recovery. In 2018, the U.S. economy may be, by many measures, viewed as wholly recovered from the economic impact of the crisis. The stock market is trading at record highs, having erased all the losses of the crisis period and then some. With this recovery, the Trump administration seeks to restrain the regulatory burden imposed during the crisis.

scholarly journals Does American Stock Market React Differently to Expected Versus Surprise Ratings During Crisis Period? The Case of the 2008 Worldwide Financial Crisis

2018 ◽  
Vol 8 (3) ◽  
pp. 108
Author(s):  
Abdelkader Boudriga ◽  
Dorsaf Azouz Ghachem
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Market Reaction ◽  
Positive Impact ◽  
Good News ◽  
Crisis Period ◽  
Rating Agencies

We study the rating impact on American stock market during crisis period by distinguishing expected versus surprise announcements. If unexpected ratings generate stronger reaction than expected ones, which means that rating agencies maintain credibility and influence on investors’ decisions. Otherwise, they have to revise their methodologies and procedures in order to recover place on financial markets. Results show that during crisis period market reaction to bad and neutral expected rating announcements is negative and more accentuated than reaction to surprise announcements; on contrary to good news that produce a short positive impact when they are unexpected and are not perceived by the market otherwise. Results reflect once more market distrust to rating agencies and faith loss towards announcements.

Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US

2006 ◽  
Vol 09 (02) ◽  
pp. 297-315 ◽  
Author(s):  
Hwahsin Cheng ◽  
John L. Glascock
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
The United States ◽  
Asian Financial Crisis ◽  
Greater China ◽  
Market Linkages ◽  
Economic Area ◽  
Before And After

We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.

Stock‐market forecasts by Singapore newspapers before and after the 1997 Asian financial crisis

2002 ◽  
Vol 12 (1) ◽  
pp. 100-125 ◽  
Author(s):  
Choy How Yun ◽  
Koh Siau Wei ◽  
Tay Hwee Peng ◽  
Hao Xiaoming
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Asian Financial Crisis ◽  
Before And After

scholarly journals The Global Financial Crisis, Inflation Rate And Stock Market Returns In Kenya

2017 ◽  
Vol 13 (19) ◽  
pp. 191
Author(s):  
Donald A. Otieno ◽  
Rose W. Ngugi ◽  
Nelson H. W. Wawire
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Regression Model ◽  
Inflation Rate ◽  
Global Financial Crisis ◽  
Moderating Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Crisis Period ◽  
Product Term

The moderating effect of events such as the 2008 Global Financial Crisis (GFC) on the relation between stock market returns and macroeconomic variables has attracted very little attention. This study investigates the extent to which the 2008 GFC moderated the relationship between inflation rate and stock market returns. The study uses month-onmonth inflation rate and year-on-year inflation rate from 1st January 1993 to 31st December 2015 and divides the sample data into pre-crisis period (from 1st January 1993 to 31st December 2007); crisis period (from 1st January 2008 to 30th June 2009); and post-crisis period (from 1st July 2009 to 31st December 2015). It uses a product-term regression model instead of the most widely applied additive regression model. Results indicate that a unit increase in the both measures of inflation rate had significant depressing effects on stock market returns after the crisis compared to before the crisis. Likewise, the results reveal that average stock market returns were significantly higher after the crisis compared to before the crisis at low rather than medium or high values of the two measures of inflation rate. These results suggest that the Kenyan stock market is highly sensitive to variations in inflation rate, especially as it emerges from a financial or political turmoil. This study is empirically innovative in the sense that it is the first to examine the moderating effect of the 2008 GFC on the relation between inflation rate and stock market returns in Kenya using a product-term model.

scholarly journals Dynamic Conditional Correlation between Electricity, Energy (Commodity) and Financial Markets during the Financial Crisis in Greece

2017 ◽  
Vol 07 (04) ◽  
pp. 990-1033
Author(s):  
Panagiotis G. Papaioannou ◽  
George P. Papaioannou ◽  
Kostas Sietos ◽  
Akylas Stratigakos ◽  
Christos Dikaiakos
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation

Permutation entropy and statistical analysis of the historical evolution of the Mexican stock market index

2022 ◽  
Author(s):  
M. Rodríguez-Achach ◽  
A. Suárez-Solís ◽  
A. R. Hernández Montoya ◽  
J. E. Escalante-Martínez ◽  
C. Calderón-Ramón
Keyword(s):  
Stock Market ◽  
Time Window ◽  
Stock Index ◽  
Permutation Entropy ◽  
Stock Market Index ◽  
Statistical Tools ◽  
Efficient Market ◽  
Market Index ◽  
Before And After ◽  
Year 2000

The objective of this work is to analyze the Indice de Precios y Cotizaciones (IPC), which is the Mexican stock market index, by using several statistical tools in order to study the tendencies that can shed light on the evolution of the IPC towards a more efficient market. The methodology used is to apply the statistical tools to the Mexican index and compare the results with a mature and well-known market index such as the Dow Jones Industrial Average (DJIA). We employ an autocorrelation analysis, and the volatility of the indexes, applied to the daily returns of the closing price on a moving time window during the studied period (1980–2018). Additionally, we perform an order three permutation entropy analysis, which can quantify the disorder present in the time series. Our results show that there is evidence that the IPC has become more mature since its creation and that it can be considered an efficient market since around year 2000. The behavior of the several techniques used shows a similar behavior to the DJIA which is not observed before that year. There are some limitations mainly because there is no high frequency data that would permit a more detailed analysis, specifically in the periods before and after a crisis is located. Our conclusion is that since around the year 2000, the Mexican stock index displays the typical behavior of other mature markets and can be considered as one.

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