scholarly journals STOCK MARKET LINKAGES AND CAUSAL RELATIONSHIPS: EMPIRICAL INVESTIGATION OF EM7 ECONOMIES

2021 ◽  
Vol 9 (09) ◽  
pp. 252-261
Author(s):  
Mearaj Ud Din Dar ◽  
◽  
Khursheed Ahmad Butt ◽  
Keyword(s):  
Financial Markets ◽  
Emerging Economies ◽  
Stock Markets ◽  
Descriptive Analysis ◽  
Stock Exchanges ◽  
Technological Advancement ◽  
Causality Test ◽  
Fund Managers ◽  
Diffusion Of Information ◽  
Monthly Return

Diffusion of information in the present era has become very fast, whether it is related to natural phenomena or human activities. Due to the technological advancement and fast face globalisation and liberalisation, events happening in financial markets are no exception, especially due to electronic stock exchanges and free flow of capital and financial information across borders. The present study aims to examine return patterns and find inter linkages/integration among the stock markets of seven largest emerging economies popularly known as EM7 (India, China, Russia, Brazil, Indonesia, Mexico and Turkey) by examining the monthly return data from Jan 2010 to Dec 2019. The study used descriptive analysis, correlation analysis, regression analysis and causality test to attain its objectives. The results indicate that EM7 stock markets are not interlinked, suggesting markets are quite segmented and there is scope for fund managers and both international and domestic investors to reap the advantages of portfolio diversification and mitigate the risks associated with their investments.

scholarly journals BEHAVIOUR OF FINANCIAL MARKETS DURING THE SUBPRIME CRISIS

2016 ◽  
Vol 11 (2) ◽  
pp. 2657-2672
Author(s):  
SAMOUT Ammar
Keyword(s):  
United States ◽  
Great Britain ◽  
Financial Markets ◽  
Stock Markets ◽  
Subprime Crisis ◽  
Causality Test ◽  
United State ◽  
Stock Indices ◽  
The Relationship

The objective of this article is to highlight the nature of the relationship between several stock markets (France, the great Britain, Germany, and United States). The behavior of those facing the subprime crisis that took place in United State markets we tried to analyze in August 2007. Empirically to make think back to these questions, we relied primarily on testing correlation. The result of this test demonstrates the significant increase in the correlation between stock markets: US, French, Germany and Britain during the period of the crisis. We interpret this increase as evidence of contagion. Secondly, it was based on the theory of co-integration. The results of the co-integration tests show the existence of three co-integration relationships between the most stock markets. The existence of co-integration relationship is evidence of contagion and integration of stock markets. Thirdly, we tried to apply the causality test between stock indices. The result of this test shows the existence of several causality between these indices confirming the importance of contagion during the crisis.

Review of top five financial markets during the pandemic times

2021 ◽  
pp. 2131001
Author(s):  
Tahir Mumtaz Awan ◽  
Jamal Maqsood
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market News ◽  
Stock Markets ◽  
Stock Exchanges ◽  
Future Market ◽  
Virus Origin ◽  
The World ◽  
Global Stock Markets ◽  
Global Stock

The purpose of this paper is to jot down the devastating impacts of COVID-19 towards the top five financial markets of the world and to see how they reacted back in different phases of COVID-19 from start till July 2020. The review is based on the financial market news, blogs, the governmental, and other financial bodies’ websites. The effects of the pandemic are like the damage never seen before in a much shorter time, vanishing a quarter portion of wealth in about a month and creating continuous uncertainties for investors throughout. China despite being the virus origin still performed well and better among all top markets whereas the rest all the stock exchanges remained inconsistent. This paper is the first of its kind to review the COVID-19 effects on the top five global stock markets and the governmental responses towards them. The study along with contributing to the existing literature is also assisting investors, analysts, specialists, and authorities to analyze their opinions w.r.t. stock markets performances, government responses, and their future market-related decisions.

scholarly journals CONTAGION EFFECT ANTAR NEGARA ASEAN-5

2018 ◽  
Vol 3 (2) ◽  
pp. 203
Author(s):  
R Adisetiawan ◽  
Ahmadi Ahmadi
Keyword(s):  
Granger Causality ◽  
Mutual Influence ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Stock Exchanges ◽  
Contagion Effect ◽  
Causality Test ◽  
Monthly Return ◽  
Return Data

This study was conducted to determine whether there is a contagion effect on the stock exchanges among ASEAN-5 countries (Indonesia, Singapore, Malaysia, Thailand and Philippines) during 2001.1 - 2018.5 period using the monthly return data of the five ASEAN-5 stock exchanges. This study uses granger causality test to see the direction of mutual influence that indicates the existence of contagion effect. The results revealed that the Indonesian stock exchange has a mutually influential relationship with the Thai stock exchange.

Do Stock Markets Comove in Emerging Economies?

2017 ◽  
pp. 197-213
Author(s):  
Sadullah Çelik ◽  
Emel Baydan
Keyword(s):  
South Africa ◽  
Emerging Markets ◽  
Financial Markets ◽  
Emerging Economies ◽  
Stock Markets ◽  
High Concentration ◽  
Foreign Investors ◽  
Market Participants ◽  
Emerging Stock Markets ◽  
Unconventional Methods

Great Recession has brought the need to model and assess the financial markets with unconventional approaches. The nature of consumer behavior in financial markets has become crucial as real and financial sector comoving overtime was a dream of no rationality. The union of consumers looking for higher wealth and speculative stock market participants was not a sustainable case. But, what happened to the consumers/investors in emerging economies? This chapter assesses the behavior of emerging stock markets during the turmoil using weekly data for Brazil, China, India, Indonesia, Russia, South Africa and Turkey with US as the benchmark for January 2003–March 2014. Two unconventional methods are used for checking asymmetric contagion; the wavelet comovement and frequency domain causality. The findings show that markets with rather high concentration of foreign investors are highly affected but consumers were not due to smaller participation. The asymmetric contagion argument is verified for some emerging markets as consumers/investors suffered as much as any other market participant.

scholarly journals Linkage between Stock Market Prices and Exchange Rate: A Causality Analysis for Pakistan

2004 ◽  
Vol 43 (4II) ◽  
pp. 639-649 ◽  
Author(s):  
Mohammad Farooq ◽  
Wong Wing Keung
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Financial Markets ◽  
Emerging Economies ◽  
Stock Markets ◽  
Developing Economies ◽  
Causality Analysis ◽  
Market Prices ◽  
Financial Architecture ◽  
Developed Markets

Globalisation and financial sector reforms in developing economies have ushered in a sea change in the financial architecture of the economies. In the contemporary scenario, the activities in the financial markets and their relationships with the real sector have assumed significant importance. Correspondingly, researches are also being conducted to understand the current working of the economic and the financial system in the new scenario. Interesting results are emerging particularly for the developing countries where the markets are experiencing new relationships which are not perceived earlier. The analysis on stock markets has come to the fore since this is the most sensitive segment of the economy. The stock markets of emerging economies have been of vital importance to the global investment community. Since emerging markets are more volatile than the well developed stock market, therefore the emerging markets tend to be unrelated to one another and with the developed markets. Numerous investors worldwide select to diversify their funds across the emerging markets.

scholarly journals Competitive Investorism: Governance of Market Infrastructure Institutions and their Social Responsibility

2015 ◽  
Vol 2 (1) ◽  
Author(s):  
K. V. Bhanu Murthy
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Market Discipline ◽  
Regulatory Control ◽  
Necessary Condition ◽  
Stock Exchanges ◽  
For Profit ◽  
Cross Listing ◽  
Economic Understanding ◽  
Market Infrastructure

There has been an on-going debate over the Market Infrastructure Institutions (MIIs): their number and growth, as well as, the need for regulation and governance of MIIs, including stock exchanges (Lee (2010)). This paper raises a set of questions: (i) What is the economic understanding of governance of MIIs?, (ii) What is its role in developing competitive financial markets?, and (iii) What are the implications for investors? The Bimal Jalan Committee (2010) for the reform of MIIs fails to recognise the real issues in bringing about stock market reforms. It ignores the need for competition and dynamics amongst the MIIs. Apart from such a need, there is the larger interest that stock markets should serve: that of investors. A necessary condition for ‘competitive investorism’ to happen is the establishment of new Market Infrastructure Institutions, especially stock exchanges that are for-profit and are cross-listed. Cross-listing brings market discipline and may go beyond regulatory control by doing well for stock markets and investors alike. It makes stock markets competitive and efficient and passes on these benefits to the investors.

The COVID-19 and bond spreads

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Rui Esteves ◽  
Nathan Sussman
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Emerging Economies ◽  
Explanatory Power ◽  
Financial Stress ◽  
International Financial Crisis ◽  
Bond Spreads

AbstractFinancial markets reacted with a vengeance to the COVID-19 pandemic. We argue that while the spread of the pandemic is statistically significant in explaining changes to bond spreads, it has little additional explanatory power over variables that capture financial stress. Financial markets reacted as in any international financial crisis by penalizing emerging economies exposing existing vulnerabilities. This finding highlights the need for credible, but flexible, sovereign currencies and the need to build up liquidity reserves.

COVID -19 and Indian Financial Markets: A Review

2020 ◽  
Vol 16 (02) ◽  
pp. 1-8
Author(s):  
Kamaldeep Kaur Sarna
Keyword(s):  
Financial Markets ◽  
Financial Institutions ◽  
Financial Services ◽  
Stock Markets ◽  
Global Economy ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Negative Impact ◽  
Management Strategies ◽  
The Impact

COVID-19 is aptly stated as a Black Swan event that has stifled the global economy. As coronavirus wreaked havoc, Gross Domestic Product (GDP) contracted globally, unemployment rate soared high, and economic recovery still seems a far-fetched dream. Most importantly, the pandemic has set up turbulence in the global financial markets and resulted in heightened risk elements (market risk, credit risk, bank runs etc.) across the globe. Such uncertainty and volatility has not been witnessed since the Global Financial Crisis of 2008. The spread of COVID-19 has largely eroded investors’ confidence as the stock markets neared lifetimes lows, bad loans spiked and investment values degraded. Due to this, many turned their backs on the risk-reward trade off and carted their money towards traditionally safer investments like gold. While the banking sector remains particularly vulnerable, central banks have provided extensive loan moratoriums and interest waivers. Overall, COVID-19 resulted in a short term negative impact on the financial markets in India, though it is making a way towards V-shaped recovery. In this context, the present paper attempts to identify and evaluate the impact of the pandemic on the financial markets in India. Relying on rich literature and live illustrations, the influence of COVID-19 is studied on the stock markets, banking and financial institutions, private equities, and debt funds. The paper covers several recommendations so as to bring stability in the financial markets. The suggestions include, but are not limited to, methods to regularly monitor results, establishing a robust mechanism for risk management, strategies to reduce Non-Performing Assets, continuous assessment of stress and crisis readiness of the financial institutions etc. The paper also emphasizes on enhancing the role of technology (Artificial Intelligence and Virtual/Augmented Reality) in the financial services sector to optimize the outcomes and set the path towards recovery.

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