scholarly journals Impacts Of The 2008 Financial Crisis On South American Equity Markets

2014 ◽  
Vol 13 (3) ◽  
pp. 573
Author(s):  
Jae-Kwang Hwang ◽  
Young Dimkpah ◽  
Alex I. Ogwu
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Latin American ◽  
Stock Markets ◽  
Financial Integration ◽  
South American ◽  
2008 Financial Crisis ◽  
International Portfolio Diversification ◽  
The 2008 Financial Crisis ◽  
Us Financial Crisis

This paper examines the transmission of the 2008 US financial crisis to four Latin American stock markets using daily stock returns from 2006 to 2009, analyzing returns before and during the 2008 financial crisis. The empirical evidence presents a financial integration by showing persistently higher volatility during the crisis period. This indicates that most of the stock markets in this study were severely hit by the US financial crisis. However, the evidence shows that Chile was less impacted by the 2008 financial crisis. The results here could be useful in international portfolio diversification decision-making in South American region.

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.

Regional volatility: common or country-specific? Exploration of international stock market

2014 ◽  
Vol 31 (4) ◽  
pp. 406-425
Author(s):  
Asma Mobarek ◽  
Michelle Li
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Latin American ◽  
Stock Markets ◽  
Asia Pacific ◽  
Stock Market Volatility ◽  
Common Component ◽  
Content Type ◽  
Country Specific

Purpose – The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country-specific for 46 international markets of the Asian, European, African and Latin American regions using the Morgan Stanley Capital International daily prices in the period from January 1998 to December 2009. Further, the study has been divided into two sub-periods to distinguish the effects of the current sub-prime financial crisis and to determine whether the crisis has an impact on the fluctuations of common component of stock market volatility. Design/methodology/approach – The paper applies the time-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or common across the countries. Findings – The results evidence that the volatility of stock returns is due to common factors, rather than country-specific ones, but this is not always the case. However, this common component is more stable in European and Latin American countries than in the Asia-Pacific and African regions. Furthermore, the results suggest that the influence of a common component has been enhanced significantly during the current sub-prime financial crisis. Practical implications – The study has implication for domestic and international investors, portfolio managers, as well as policy-makers to implement economic and financial policy that promote stability, reduce vulnerability to crises and encourage sustained growth and living standards. Originality/value – To the best of the authors’ knowledge, this is the first study to include four regional samples and test the common component of fluctuations of regional stock markets volatility.

On The Risk-Return Relationship in European and MENA Major Stock Markets During the 2008 Financial Crisis

2016 ◽  
pp. 252-264
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
Risk Return ◽  
Show Evidence ◽  
The 2008 Financial Crisis ◽  
European Stock Markets ◽  
The Relationship

The purpose of this study is to examine the relationship between risk and return in financial markets. In particular, a comparative study is conducted to shed light on such association by using stock market data from Middle East and North Africa (MENA) and Europe. The exponential generalized autoregressive conditionally heteroskedastic in the mean (EGARCH-M) methodology is adopted to investigate the return generating process in financial markets under study during the 2008 financial crisis. Empirical findings show evidence that some MENA region financial markets generated more risk reward than European stock markets.

scholarly journals Linkages between gold and Latin American equity markets: portfolio implications

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Imran Yousaf ◽  
Hasan Hanif ◽  
Shoaib Ali ◽  
Syed Moudud-Ul-Huq
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Latin American ◽  
Portfolio Management ◽  
Stock Markets ◽  
Equity Markets ◽  
Content Type ◽  
The Us ◽  
Equity Portfolios ◽  
Us Financial Crisis

PurposeThe authors aim to examine the mean and volatility linkages between the gold market and the Latin American equity markets in the entire sample period and two crises periods, namely the US financial crisis and the Chinese crash.Design/methodology/approachTo examine the return and volatility spillovers, the authors employ VAR-BEKK-GARCH model on the daily data of four emerging Latin American equity markets which include Peru, Chile, Brazil and Mexico, which ranges from January 2000 to June 2018.FindingsThe results show that the return transmissions vary across the stock markets and the crises periods. The volatility transmission is found to be bidirectional between the gold and stock markets of Brazil and Chile during the US financial crisis. Furthermore, the volatility spillover is unidirectional from Brazil to gold and from gold to Peru stock market during the Chinese crash. We also calculate the optimal weights hedge ratios for gold and stock portfolio. The result suggests that portfolio managers need to increase the weight of gold for the equity portfolios of Peru and Mexico during the US financial crisis. Furthermore, during the Chinese crisis, investors may raise the investment in gold for the equity portfolios of Brazil and Chile. Finally, the cheapest hedging strategy is CHIL/GOLD during the US financial crisis, whereas MEXI/GOLD during the Chinese crash.Practical implicationsThese findings have useful insights for portfolio diversification, asset pricing and risk management.Originality/valueThe study's outcome provides policymakers and investors with in-depth insights regarding hedging, risk management and portfolio management.

Sign in / Sign up

Export Citation Format

Share Document