scholarly journals Lessons for Euro markets from the first wave of COVID-19

2021 ◽  
Vol 18 (1) ◽  
pp. 285-298
Author(s):  
Costas Siriopoulos ◽  
Argyro Svingou ◽  
Jagadish Dandu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Impulse Response Function ◽  
Decomposition Methods ◽  
Var Model ◽  
Stock Exchanges ◽  
Panel Var ◽  
Chinese Stock Market ◽  
European Stock Markets ◽  
The Impact

Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.

The Impact of Regulatory Standards, Interest Rates and Trading Volume on Volatility Transmission between Cross-Listed European Equities

2009 ◽  
Vol 10 (1) ◽  
pp. 89-105
Author(s):  
Koulakiotis Dasilas ◽  
Tolikas Molyneux
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Trading Volume ◽  
Positive Impact ◽  
Stock Exchanges ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Regulatory Standards ◽  
European Stock Markets ◽  
The Impact

This paper investigates the relationship between volatility transmission and stock market regulatory structures, interest rates and trading volume for European securities which are cross-listed on stock exchanges of higher, lower or similar regulatory standards compared to their home stock markets. The empirical results suggested that the regulatory environment has a significant impact on volatility spillovers and the level of interest rates and trading volume have a positive impact on the magnitude and persistence of these volatility spillovers. These findings have potentially important implications for both regulators and investors who are concerned with the effectiveness of legislation aiming to harmonise the European stock markets and the effects of volatility transmission on investment positions across European stock markets.

scholarly journals Analysis on the Impact of Short-Term International Capital Flows on Chinese Stock Market on the Basis of VAR Model

2018 ◽  
Vol 10 (8) ◽  
pp. 77
Author(s):  
Ning Wu
Keyword(s):  
Stock Market ◽  
Capital Flows ◽  
Composite Index ◽  
International Capital Flows ◽  
Capital Inflows ◽  
Var Model ◽  
Chinese Stock Market ◽  
International Capital ◽  
Short Term ◽  
The Impact

With the continuous development of global economic integration and financial markets, international capital flows more and more frequently, the frequent flow of international capital will inevitably affect the yield of Chinese stock market. This article uses short-term international capital inflows SS and Shanghai composite index R as research objects. Based on monthly data from January 2002 to October 2017, VAR model was constructed using Eviews8.0 to study the impact of short-term international capital flows on Chinese stock market. Empirical studies have found that short-term international capital flow is the granger cause of changes in the Shanghai composite index yield, while the yield of Chinese stock market will not affect short-term international capital flows. At the end of this paper, relevant suggestions are put forward according to the conclusions.

scholarly journals How US wages effect post-socialist European stock markets: an empirical study

2018 ◽  
Vol 7 (4) ◽  
pp. 179 ◽  
Author(s):  
Deniz Ilalan
Keyword(s):  
Monetary Policy ◽  
Empirical Study ◽  
Stock Markets ◽  
Stock Exchanges ◽  
Hourly Wage ◽  
Fed Funds Rate ◽  
Average Hourly Wage ◽  
Wage Increases ◽  
European Stock Markets ◽  
The Impact

Following the famous tapering speech of Bernanke on 2013, US non-farm payroll data became the leading indicator for the monetary policy of Fed. After midst of 2014 Fed shifted its attention to average hourly wage increases which was regarded as the determinant of inflation. As inflation is closely linked with possible increments of Fed funds rate, investors began to follow US wages more closely. We investigate the impact of US wages especially through concentrating on some Post-Socialist European stock markets. As US wages are found to Granger cause these stock exchanges, interestingly with domestic wages, a similar causation relation could not be achieved. This brings out the question whether wages are indeed an indicator for stock markets or not. 

scholarly journals Exploring Return Transmission in Asian Stock Markets

2019 ◽  
Vol 11 (4) ◽  
pp. 48
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Vector Autoregression ◽  
The Other ◽  
Var Model ◽  
Chinese Stock Market ◽  
Transmission Effect ◽  
Cross Country ◽  
Japanese Stock Market

This paper investigates the return transmission between four Asian stock markets in Japan, China, Korea, and Taiwan. Specifically, applying a vector autoregression (VAR) model, this study derives the following interesting findings and interpretations. First, our results reveal that (1) rapid cross-country and autoregressive return transmission between the four Asian stock markets recently decreased, and (2) recently, the effects from the Japanese stock market to the other three Asian stock markets became weaker. Furthermore, our results clarify that (3) the return transmission effect from the Chinese stock market to the other three Asian stock markets is generally weak, also meaning that the Chinese stock market evolves autonomously.

The First Balkan War and the St. Petersburg Stock Exchange

2020 ◽  
Vol 2020 (11-1) ◽  
pp. 40-55
Author(s):  
Pavel Lizunov
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
The State ◽  
Stock Exchanges ◽  
The Balkans ◽  
Military Conflicts ◽  
State Of Affairs ◽  
European Stock Markets

The article shows the reaction of European stock markets and, first of all, the St. Petersburg Stock Exchange to the First Balkan War. Stock market reports demonstrated that stock exchanges were sensitive to any troubling economic, political and military conflicts. Their mood changed depending on hostilities, rumors and false reports about the state of affairs in the Balkans.

Herding and BRICS markets: a study of distribution tails

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Vijay Kumar Shrotryia ◽  
Himanshi Kalra
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Chinese Stock Market ◽  
Content Type ◽  
Banking Policy ◽  
Time Period ◽  
The Usa ◽  
Data Points ◽  
The Masses ◽  
The Impact

PurposeThe present study looks into the mimicking behaviour in both normal and asymmetric scenarios. It, then, considers the contagion between the USA and the BRICS stock markets. Finally, it examines herd behaviour in the wake of a major banking policy change concerning the bloc under study.Design/methodology/approachThe current empirical analysis employs daily, weekly and monthly data points to estimate relevant herding parameters. Quantile regression specifications of Chang et al. (2000)'s dispersion method have been applied to detect herd activity. Also, dummy regression specifications have been used to examine the impact of various crises and strategically crucial events on the propensity to herd in the BRICS markets. The time period under consideration ranges from January 2011 until May 2019.FindingsThe relevant herding coefficients turn insignificant in most cases for normal and asymmetric scenarios except for China and South Africa. This can be traced to the anti-herding behaviour of investors, where individuals tend to diverge from the consensus. However, turbulence makes all stock markets to show some collective trading except Russia. Further, the Chinese stock market seems immune to the frictions in the US stock market. Finally, the Indian and South African markets witness significant herding during the formation of a common depository institution.Practical implicationsMost stock markets seem to herd during turbulence. This revelation is of strategic importance to the regulators and capital market managers. They have to be cautious during crises periods as the illusion of being secured with the masses ends up creating unprecedented frictions in the financial markets.Originality/valueThe present study seems to be the very first attempt to test the relevant distributions' tails for convergent behaviour in the BRICS markets.

scholarly journals The Impact of North Korea’s Nuclear Tests on Asian Stock Markets

2021 ◽  
Vol 14 (27) ◽  
pp. 77-90
Author(s):  
Chung BAEK ◽  
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
North Korea ◽  
Stock Return ◽  
Chinese Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Nuclear Tests ◽  
Japanese Stock Market ◽  
The Impact

This study investigates the impact of North Korea’s nuclear tests on Asian stock markets. Two approaches are used separately in order to identify how stock market returns and volatilities change immediately after the nuclear tests. We find that the Chinese stock market tends to be more sensitive to unexpected shocks from North Korea’s nuclear tests than other Asian stock markets. However, relatively, the Japanese stock market is little influenced by the nuclear tests though Japan is not only geographically close to North Korea but also politically vigilant to North Korea’s nuclear threats. Also, we find that strengthened return correlations (linearity) do not necessarily increase stock return volatilities.

scholarly journals SOCIAL MEDIA AND THE STOCK MARKETS: AN EMERGING MARKET PERSPECTIVE

2021 ◽  
Vol 22 (6) ◽  
pp. 1614-1632
Author(s):  
Shweta Agarwal ◽  
Shailendra Kumar ◽  
Utkarsh Goel
Keyword(s):  
Social Media ◽  
Stock Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Emerging Market ◽  
Impulse Response Function ◽  
Developed Countries ◽  
Stock Market Development ◽  
Stock Market Performance ◽  
The Impact

There are numerous studies that examine the impact of social media on the stock market performance but there is a paucity of such evidences from the emerging economies. Today many multinational banks and other financial conglomerates from the developed countries are expanding their operations to the emerging markets, known for their rapid growth. The businesses in developed countries prefer using social media to reach out to their stakeholders. This might be a challenge as emerging markets are very different from the developed markets in terms of infrastructure and stock market development. This study performs the sentiment analysis of the tweets about the Indian companies that are a part of Nifty50 or any sectorial index, for a period of 15 months. The results from the Granger-causalty tests indicate that the Twitter sentiments have a significant relationship with the indices related to the banking and financial sectors of the Indian stock markets. Results from the Impulse Response Function reveal that, on the index returns, the impact of the negative sentiments stays for a longer period of time than the positive sentiments. This study would help businesses use social media effectively for information sharing and dissemination in the new environment.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

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