scholarly journals Climatic Change and Financial Stability: Natural Disaster Impacts on Global Stock Markets

2021 ◽  
Author(s):  
Paolo Pagnottoni ◽  
Alessandro Spelta ◽  
Andrea Flori ◽  
Fabio Pammolli
Keyword(s):  
Stock Market ◽  
Climatic Change ◽  
Natural Disaster ◽  
Stock Markets ◽  
Financial Stability ◽  
Natural Hazard ◽  
European Continent ◽  
Natural Catastrophe ◽  
Stock Indexes ◽  
Global Stock

Abstract This paper aims to provide a comprehensive study of the impacts of worldwide climatic change and consequent natural disasters on international stock markets. By means of a suited event study methodology, we investigate the effects of biological, climatological, geophysical, hydrological and metereological disasters occurred in 104 countries across the world on 27 global stock market indexes over the period 8 February 2001 to 31 December 2019. We find diverse stock market responses to natural hazard shocks depending on the type of event under consideration, as well as on the location in which the event has occurred. We discover that climatological and biological calamities are the disaster types which induce the most extreme reactions of international financial markets, followed by geophysical ones. Furthermore, the examined stock indexes are, on average, considerably responsive to shocks occurring in countries belonging to the European continent, which, overall, tend to affect in a negative way their performances. Finally, our empirical investigation sheds light on the diversification opportunities arising from the mitigation of natural catastrophe risks, by providing evidence on the sensitivity of stock indexes to disaster-specific and country-specific natural hazards. A natural disaster risk hedging strategy highlights the diversification opportunities arising from the mitigation of natural catastrophe risks, by providing evidence on the profitability of trading stock indexes hedging for specific natural hazard sources, and particularly climatological and biological ones.JEL codes: G15, G18, G41, Q54

scholarly journals Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

2015 ◽  
Vol 10 (2) ◽  
pp. 83-98
Author(s):  
Ilhan Meric ◽  
Lan Ma Nygren ◽  
Jerome T. Bentley ◽  
Charles W. McCall
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Empirical Studies ◽  
Portfolio Diversification ◽  
Stock Market Crash ◽  
Market Crashes ◽  
Before And After ◽  
European Stock Markets ◽  
Global Stock ◽  
The U.S

Abstract Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the comovements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.

scholarly journals Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty

2009 ◽  
Vol 34 (4) ◽  
pp. 25-36 ◽  
Author(s):  
Rakesh Kumar ◽  
Raj S Dhankar
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
South Asian ◽  
Risk Premium ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Strategy ◽  
Global Market ◽  
Risk And Uncertainty ◽  
Global Stock

Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If efficient market hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems in these markets. With globalization and deregulation, the enormous opportunities of investment in South Asian stock markets have attracted the domestic and foreign institutional investors in general, and to reduce their portfolio risk by diversifying their funds across the markets in particular. The efforts are made in this study to examine the cross-correlation in stock returns of South Asian stock markets, their regional integration, and interdependence on global stock market. The study also examines the important aspects of investment strategy when investment decisions are made under risk and uncertainty. The study uses Bombay stock exchange listed index BSE 100 for India, Colombo stock exchange listed Milanka Price Index for Sri Lanka, Karachi stock exchange listed KSE 100 for Pakistan, Dhaka stock exchange listed DSE-General Index for Bangladesh, and S & P Global 1200 to represent the global market. It carries out a comprehensive analysis, tracing the autocorrelation in stock returns, cross correlations in stock returns under risk and uncertainty, interdependency among the South Asian stock markets, and that with the global stock market. The research methodology applied in the study includes application of Ljung-Box to examine the cross-correlation in stock returns, ARCH and its generalized models for the estimation of conditional and asymmetric volatilities, and Ljung-Box as a diagnostic testing of fitted models, and finally correlation to examine the interdependency of these markets in terms of stock returns and expected volatility. The results bring out the following: L-B statistics suggests the presence of autocorrelation in stock returns in all Asian stock markets; however, for the global market, autocorrelations are significant at 15 lags, and thereafter they are insignificant. The significant autocorrelations in stock returns report volatility clustering in stock returns, reject the EMH, and hold that current stock returns are significantly affected by returns being offered in the past. ARCH and its generalized models significantly explain the conditional volatility in all stock markets in question. The study rejects the relationship between stock returns and expected volatility; however, the relationship is significant with unexpected volatility. It brings out that investors adjust their risk premium for expected variations in stock prices, but they expect extra risk premium for unexpected variations. With their entry into the liberalization phase, South Asian stock markets have reported regional interdependence, and also interdependence with the global stock market.

scholarly journals TREND ANALYSIS OF GLOBAL STOCK MARKET LINKAGE BASED ON A DYNAMIC CONDITIONAL CORRELATION NETWORK

2017 ◽  
Vol 18 (4) ◽  
pp. 779-800 ◽  
Author(s):  
Kedong YIN ◽  
Zhe LIU ◽  
Peide LIU
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Minimum Spanning Tree ◽  
Debt Crisis ◽  
Spillover Effects ◽  
Asia Pacific ◽  
Pass Filter ◽  
Low Pass Filter ◽  
Global Stock

The paper analyses the trend of global stock market linkages via daily data of 51 stock indices spanning the period 22 July 2005 to 30 June 2016 which covers four regions: America, Europe, Asia Pacific and Africa. A dynamic conditional multivariate generalized autoregressive conditional heteroskedasticity (DCC-MVGARCH) approach was used to calculate dynamic correlation coefficient in order to construct the volatility networks. The methods of minimum spanning tree (MST) and low pass filter were for the first time applied to analyze the variable periodicity of the comovement. The original contribution of this paper is that contrary to previous works, financial events such as Quantitative Easing (QE) and Bailouts are accounted for rather than only crisis factors such as the 2008 financial crisis and the European Debt crisis. The main findings of the paper are as follows: (1) Financial crisis promotes and strengthens global stock markets linkage in the short run; (2) Linkage cycles post crisis are significantly short, due to the effect of monetary policy spillover effects caused by QE from developed to developing countries; and (3) European stock markets are the information transmission hub for global stock market. The research conclusions would be significant for both government to regulate markets as well as for investors to diversify risks.

scholarly journals PENGARUH PASAR SAHAM DUNIA TERHADAP PASAR SAHAM INDONESIA

ETIKONOMI ◽  
2012 ◽  
Vol 11 (2) ◽  
Author(s):  
Elvin Adityara
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Stock Price ◽  
Price Indices ◽  
Global Stock Markets ◽  
Global Stock

This research was intended to analyze the causality of the global stock markets to Indonesian stock market. The variables of this research were used stock price indices from nine countries. This research using Granger Causality and VAR from 2004 up to 2010. USA, Japan, and England were selected because those countries had strong economics. The results, there are causality Granger among the global stock markets to Indonesian stock market.The global stock markets that has bi-directional causality were Australian stock market, England stock market, Singapore stock market, and Philipine stock market. Meanwhile, the global stock markets that has uni-directional causality were Japan stock market, USA stock market, Hongkong stock market, and Malaysia stock market.DOI: 10.15408/etk.v11i2.1887

scholarly journals Volatility Transmission Between Dow Jones Stock Index And Emerging Islamic Stock Index: Case Of Subprime Financial Crises

2015 ◽  
Vol 5 (1) ◽  
pp. 41-49 ◽  
Author(s):  
Amir Saadaoui ◽  
Younes Boujelbene
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Index ◽  
Financial Assets ◽  
Volatility Transmission ◽  
Emerging Stock Markets ◽  
Market Index ◽  
The Global Financial Crisis ◽  
Stock Indexes

In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky.

scholarly journals Econometric Analysis of Integration of Selected New EU Member CEE Stock Markets With Global Stock Market and Eurozone: Impact of Global Financial Crisis

2021 ◽  
Vol 23 (58) ◽  
pp. 824
Author(s):  
Suchacek Jan ◽  
◽  
Koutsky Jaroslav ◽  
Caridad Lopez del Rĭo Lorena ◽  
Petr Seįa ◽  
...  
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Econometric Analysis ◽  
Global Stock

scholarly journals Analysis of stock market returns of American and European stock market from the view of an American and a European investor

2005 ◽  
Vol 53 (6) ◽  
pp. 189-200
Author(s):  
Oldřich Šoba
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Research Paper ◽  
Variation Coefficient ◽  
Investment Horizon ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Indexes ◽  
Simple Average

The paper is focused on the analysis of stock market returns of American and European stock market for different investment horizon from the view of an American and European investor. The paper also partly resumes, in the part of analysis of USD/EUR exchange rate influence on market returns of mentioned stock market, research paper REJNUŠ, O., ŠOBA, O.: Changes in the USD/EUR exchange rate and their impact on the return of stock indexes from the viewpoint of a European and of an American investor. ACTA UNIVERSITATIS AGRICULTURAE ET SILVICULTURAE MENDELIANAE BRU- NENSIS, Vol. LII, No. 6, 2004, pg. 145–159, ISSN 1211-8516.The development of both American and European stock market is put on the development of two, structure-similar Standard & Poor’s exchange indexes, particularly S&P 500 and S&P Europe 350. According to the USD/EUR exchange rate, there were used the values published by FED, with the oldest data there were accepted the count ECU to EUR. The data were taken both from the weekly closing values of mentioned stock indexes and weekly closing values of USD/EUR exchange rate.The analysis was done with using the methods of quantification of „running market returns“ (recount to the average annual values) of indexes from the view of both investors within the set investment horizon. The elemental statistical level characteristic – simple average, median and statistical characteristic of variability – standard deviation and variation coefficient were quantified from this time series of annual running market returns. The analysis, which was purposely oriented to six basic different long investment horizon (1 year, 2 years, 3 years, 5 years, 7 years, 10 years), has approved that in focused term of 1980–2004 the market returns of picked stock market from the view of both investors (American and European) was generally higher in longer investment horizon than in the shorter investment horizon. The values of variation coefficient in particular investment horizon indicated the decreasing riskiness of investments in analyzed markets with elongating length of investment horizon, from view of both investors on both stock markets. The influence of the exchange rates changes on the values of quantified characteristic of indexes market returns (stock markets) was relatively insignificant, so the conclusions of the mentioned research paper, which resumes partly this paper, where in practice verified.

scholarly journals The Impact of COVID-19 on the Dynamic Topology and Network Flow of World Stock Markets

2021 ◽  
Vol 7 (4) ◽  
pp. 241
Author(s):  
Bilal Ahmed Memon ◽  
Hongxing Yao
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Network Flow ◽  
Financial Stability ◽  
Minimum Spanning Tree ◽  
Centrality Measures ◽  
Topological Evolution ◽  
The World ◽  
Tree Length ◽  
The Impact

Studies examining the impact of COVID-19 using network dynamics are scant and tend to evaluate a specific local stock market. We present a thorough investigation of 58 world stock market networks using a complex network approach spanning across the uncertain times that have resulted from the coronavirus outbreak. First, we use the daily closing prices of the world stock market indices to construct dynamic complex networks and sixteen minimum spanning tree (MST) maps for the period from December 2019 to March 2021. Second, we present the topological evolution properties of time-varying MSTs by applying normalized tree length, diameter, average path length, and centrality measures. Moreover, the empirical results suggest that (1) the highest correlation among the world stock markets is observed during the first wave of the COVID-19 pandemic in the months of February–March 2020; (2) most of the MSTs appear lower in hierarchy, and many chain-like structures are formed due to the sheer impact of pandemic-related crises; (3) Germany remained a hub node in many of the MSTs; and (4) the tree severely contracted during the first wave of the COVID-19 outbreak (during the months of February and March 2020) and expanded slightly afterwards. Moreover, the results obtained from this study can be used for the development of financial stability policies and stock market regulations worldwide.

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