scholarly journals The impacts of Covid-19 pandemic on the smooth transition dynamics of stock market index volatilities for the Four Asian Tigers and Japan

2021 ◽  
Vol 10 (4) ◽  
pp. 183-194
Author(s):  
Day Yang Liu ◽  
Ming Chen Chun ◽  
Yi Kai Su
Keyword(s):  
Stock Market ◽  
South Korea ◽  
Global Economy ◽  
Structural Changes ◽  
Smooth Transition ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Market Index ◽  
Transition Functions ◽  
Asian Tigers

This rapid propagation of the Novel Coronavirus Disease (COVID-19) has caused the global healthcare system to break down. The infectious disease originated from East Asia and spread to the world. This unprecedented pandemic further damages the global economy. It seems highly probable that the COVID-19 recession changes stock market volatility. Therefore, this study resorts to the Generalized Autoregressive Conditional Heteroscedastic (GARCH) model with a smooth transition method to capture the influences of the COVID-19 pandemic on the dynamic structure of the stock market index volatilities for some Asian countries (the Four Asian Tigers and Japan). The empirical results show that the shocks of the COVID-19 change the dynamic volatility structure for all stock market indices. Moreover, we acquire the transition function for all stock market index volatilities and find out that most of their regime adjustment processes start following the outbreak of the COVID-19 pandemic in the Four Asian Tigers except South Korea and Japan. Additionally, the estimated transition functions show that the stock market index volatilities contain U-shaped patterns of structural changes. This article also computes the corresponding calendar dates of structure change about dynamic volatility patterns. In the light of estimation of location parameters, we demonstrate that the structure changing the date of stock market index volatility for South Korea and Japan has occurred in late 2019.

Forecasting the Time Volatility of Emerging Asian Stock Market Index

2007 ◽  
Vol 3 (2) ◽  
pp. 38-51 ◽  
Author(s):  
M. Selvam ◽  
M. Raja ◽  
P. Yazh Mozhi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Market Index ◽  
Asian Market ◽  
Current Price ◽  
One Year ◽  
Almost All ◽  
Derivatives Markets

Volatility is the measure of how far the current price of an asset deviates from its average past prices. Greater the deviation, greater the volatility. It indicates the strength or conviction behind a price movement. Stock market volatility is the function of the arrival of positive and negative market information. Pricing of securities is supposed to be dependent on the volatility of each asset. Matured / developed markets continue to provide over long period of time high returns with low volatility. Emerging markets, except India and China exhibit low returns. The exponential growth in the Asian derivatives markets necessitated the need to test whether the Asian market indices are more volatile or not. The study finds an evidence of time varying volatility, which exhibits clustering, high persistence and predictability for almost all the Asian market indices in the sample. With this background the present paper investigates the dynamic behavior of stock returns of ten market indices from Asian countries, using symmetric GARCH (1,1) model for a period of one year from January 2006 to December 2006.

scholarly journals A Study on Affiliation between Indian Stock Market and Macro Economic Variables

2018 ◽  
Vol 5 (01) ◽  
Author(s):  
Pooja Chaturvedi Sharma
Keyword(s):  
Stock Market ◽  
Inflation Rate ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Complex Interplay ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Causality Tests ◽  
Indian Stock Market

Stock market volatility is a result of complex interplay of a host of factors. Hence, it is difficult to make a correct assessment of its movement. Macroeconomic variables have are very much influential in context of the volatility of stock market. This study inspects the association amongst stock market index and selected macroeconomic variables. For the analysis unit root, co-integration, Granger causality tests and Johansen co-integration tests were performed. Outcomes of the study showed that all the variables namely money supply, exchange rate and inflation rate are positively correlated with the stock market index except gold prices. Co-integration existed between the stock market index and macroeconomic variables. The study uses monthly data of past ten years (i.e. from April 2008 to March 2018).

scholarly journals Modeling stock market volatility in Croatia

2021 ◽  
Vol 34 (2) ◽  
pp. 431-442
Author(s):  
Hrvoje Jošić ◽  
Berislav Žmuk
Keyword(s):  
Stock Market ◽  
Degrees Of Freedom ◽  
Stock Exchange ◽  
Error Distribution ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
The Past ◽  
Market Index ◽  
Generalized Error Distribution ◽  
Error Distributions

Purpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model. Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, Student’s-distribution with fixed degrees of freedom and generalized error distribution (GED) with fixed parameters). Results: The findings obtained in the research are in the line with previous research in this field (Erjavec & Cota, 2007; Sajter & Ćorić, 2009). The volatility of CROBEX returns is positively correlated with the volume of trade on the Zagreb Stock Exchange and movements on the main European and American stock markets. The movement of S&P 500 stock market index returns is transmitted from the previous day, providing signals for the direction of change of CROBEX index returns in the present. Conclusion: Therefore, this paper provides evidence that investors in Croatia strongly rely on the past information received from the American S&P500 stock market index. Furthermore, there seems to exist the co-movement between CROBEX and main European indexes on the same trading day.

scholarly journals Impact of Covid-19 on Interest Rates

2020 ◽  
Vol 1 (1) ◽  
pp. 7-11
Author(s):  
Lo Yi-Wei
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Global Economy ◽  
Banking Sector ◽  
Stock Market Index ◽  
Informal Workers ◽  
Market Index ◽  
The Usa ◽  
Economic Stimulus

The global economy is experiencing a crisis due to the Covid-19 pandemic, the stock market index has collapsed. The rupiah exchange rate against the USA dollar weakened this was due to the large number of foreign investors leaving the Indonesian financial market, the stock market plummeted. The banking sector can carry out an economic stimulus given restructuring authority for all credit or financing without requiring restrictions on the credit ceiling or type of debtor, especially debtors for MSMEs and informal workers. The economic stimulus that needs to be maximized is prundential monetary and macro policies through lowering interest rates and maintaining stability in the rupiah exchange rate. Budget relocation is also enforced to maintain the availability of basic foodstuffs for the community, which has increased due to panic buying or market panic. Also providing assistance to increase people's purchasing power.

The Relationship of Monetary and Fiscal Policy Credibility with the Stock Market Volatility in a Developing Country

2021 ◽  
pp. 097215092098251
Author(s):  
Vinícius Medeiros Magnani ◽  
Antonio Daniel Ricardo Caluz ◽  
Rafael Confetti Gatsios ◽  
Fabiano Guasti Lima
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Economic Agents ◽  
Market Index ◽  
Monetary And Fiscal Policy ◽  
Relationship Of ◽  
The Relationship

The present study aims to analyse the relationship between fiscal and monetary credibility and the volatility of the Brazilian stock market index, Ibovespa. The results demonstrate that the greater the credibility of the target imposed by the Brazilian Central Bank, the more predictable and stable are the macroeconomic variables and the greater the confidence of economic agents in the Brazilian stock market. We can conclude that the greater the fiscal and monetary credibility, the better is the performance of the stock market.

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

scholarly journals Investors’ Reactions to CSR News in Family Versus Nonfamily Firms: A Study on Signal (In)credibility

2021 ◽  
pp. 104225872110104
Author(s):  
Naciye Sekerci ◽  
Jamil Jaballah ◽  
Marc van Essen ◽  
Nadine Kammerlander
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Family Firms ◽  
Signaling Theory ◽  
Family Firm ◽  
Stock Market Index ◽  
Important Condition ◽  
Post Hoc Analysis ◽  
Market Index ◽  
Post Hoc

We study family firm status as an important condition in signaling theory; specifically, we propose that the market reacts more positively to positive, and more negatively to negative, CSR news (i.e., signals) from family firms than to similar news from nonfamily firms. Moreover, we propose that during recessions, the direction of these relationships reverses. Based on an event study of 1247 positive and negative changes in the CSR ratings for all firms listed on the French SFB120 stock market index (2003-2013), we find support for our hypotheses. Moreover, a post hoc analysis reveals that the relationships are contingent on whether a family CEO leads the firm.

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