scholarly journals Who Moves the Malaysian Stock Market— the U.S. or Japan?: Empirical Evidence from the Pre-, During, and Post-1997 Asian Financial Crisis

2006 ◽  
Vol 8 (3) ◽  
pp. 367 ◽  
Author(s):  
Rosylin Mohd. Yusof ◽  
M. Shabri Abd. Majid
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Bilateral Trade ◽  
Asian Financial Crisis ◽  
Japanese Economy ◽  
Impulse Response Functions ◽  
Crisis Period ◽  
Long Run ◽  
The U.S

This paper examines long run co-movements between Malaysian stock market and the two largest stock markets in the world: the U.S. and Japan. By employing time-series analysis, i.e., cointegration, variance decompositions, and impulse response functions, the paper seeks to investigate which market actually leads the Malaysian stock market before, during, and after the 1997 Asian financial crisis periods. The results indicate that there is a co-movement of these markets only in the post crisis period. The Japanese stock market is found to significantly move the Malaysian stock market compared to U.S. stock market for the post-crisis period. At the same time, there seems to be a growing proportion of bilateral trade between Malaysia and Japan during the mentioned period. This finding seems to be consistent with the view that the stronger the bilateral trade ties between two countries, the higher the degree of co-movements (Masih and Masih 1999; Bracker et al. 1999; Pretorius 2002; Ibrahim 2003; Kearney and Lucey 2004). Our finding implies that the opportunities of gaining abnormal profits through investment diversification during the post-crisis period in the Malaysian and Japanese stock markets are diminishing as the markets move towards a greater integration. This further implies that any development in the Japanese economy has to be taken into consideration by the Malaysian government in designing policies pertaining to Malaysian stock market.

The Financial Crisis

2019 ◽  
pp. 1-12
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Economic Impact ◽  
Free Fall ◽  
Regulatory Framework ◽  
Subprime Lending ◽  
Crisis Period ◽  
The U.S ◽  
Trump Administration

This chapter discusses the origins of the 2007 financial crisis, subprime lending, and government-sponsored entities. It argues that the events driving financial markets to the precipice of collapse during the global financial meltdown gave rise to a regulatory framework that may have been a rational response to a market in free fall, but need to be reassessed in an era of recovery. In 2018, the U.S. economy may be, by many measures, viewed as wholly recovered from the economic impact of the crisis. The stock market is trading at record highs, having erased all the losses of the crisis period and then some. With this recovery, the Trump administration seeks to restrain the regulatory burden imposed during the crisis.

Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US

2006 ◽  
Vol 09 (02) ◽  
pp. 297-315 ◽  
Author(s):  
Hwahsin Cheng ◽  
John L. Glascock
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
The United States ◽  
Asian Financial Crisis ◽  
Greater China ◽  
Market Linkages ◽  
Economic Area ◽  
Before And After

We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.

Inter-relationship between performance of Bursa Malaysia and foreign stock markets

2006 ◽  
Vol 3 (1) ◽  
pp. 113
Author(s):  
T. Chantrathevi P. Thuraisingam ◽  
You Hoo Tew ◽  
Dalila Daud
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Composite Index ◽  
Asian Financial Crisis ◽  
Moderate Correlation ◽  
Crisis Period ◽  
Dow Jones Industrial Average ◽  
Daily Returns ◽  
Over Time

This paper explores the general perception that the Malaysian stock market is influenced by leading overseas stock markets. Employing correlation analysis comparison was made between the performance ofBiirsa Malaysia's Composite Index and six stock market indices namely Straits Times Index, Hang Seng Index, Nikkei 225 Stock Average, Australia All Ordinaries Index, Dow Jones Industrial Average Index and Financial Times 100 Index. This study also seeks to determine ifthere is any significant stability ofcorrelations over time. These indices were studied over a period offifteen years from I January 1990 to 31 December 2004, beginning with the cessation oftrading ofMalaysian shares on the Singapore stock exchange, which is synonymous with the pre-Asian financial crisis period, the crisis period and a post crisis period of almost five years. The study found that the, daily returns of the Composite Index over the period is positively co-related with the foreign indices indicating that the markets were moving in the same direction, in other words there is interdependency between the stock markets. However, the low to moderate correlation refutes the belief that the Malaysian stock market is influenced by the performance ofthe major stock markets. The study also found that generally the correlations are unstable over lime.    

scholarly journals Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach

2021 ◽  
Vol 9 (3) ◽  
pp. 33
Author(s):  
Ahmed Jeribi ◽  
Sangram Keshari Jena ◽  
Amine Lahiani
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Safe Haven ◽  
Crisis Period ◽  
Fund Managers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Relationship ◽  
Nonlinear Autoregressive

The study investigates the safe haven properties and sustainability of the top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, and Ripple) and gold for BRICS stock markets during the COVID-19 crisis period from 31 January 2020 to 17 September 2020 in comparison to the precrisis period from 1 January 2016 to 30 January 2020, in a nonlinear and asymmetric framework using Nonlinear Autoregressive Distributed Lag (NARDL) methodology. Our results show that the relationship dynamics of stock market and cryptocurrency returns both in the short and long run are changing during the COVID-19 crisis period, which justifies our study using the nonlinear and asymmetric model. As far as a sustainable safe haven is concerned, Dash and Ripple are found to be a safe haven for all the five markets before the pandemic. However, all five cryptocurrencies are found to be a safe haven for three emerging markets, such as Brazil, China, and Russia, during the financial crisis. In a comparative framework, gold is found to be a suitable safe haven only for Brazil and Russia. The results have implications for index fund managers of BRICS markets to include Dash and Ripple in their portfolio as safe haven assets to protect its value during a stock market crisis.

Cointegration and Causality among Dollar, Oil, Gold and Sensex across Global Financial Crisis

2018 ◽  
Vol 22 (4) ◽  
pp. 365-376
Author(s):  
Narinder Pal Singh ◽  
Sugandha Sharma
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Global Financial Crisis ◽  
Test Results ◽  
Crisis Period ◽  
Long Run ◽  
Us Dollar ◽  
Financial Crisis Of 2008

Over the globe, the various financial markets are becoming integrated and the linkages among variables Gold prices, Crude Oil prices, US Dollar rate and Stock market (GODS) invite a special attention of various financial analysts and investors. For an import-dependent country like India, the interplay among these variables is vital. Thus in this study, we investigate the cointegration and causality relationship among gold, crude oil, us dollar and stock market (Sensex) across the global financial crisis of 2008. We use Johansen's cointegration technique, Vector Error Correction Model (VECM), Vector Auto Regression (VAR), VEC Granger Causality/Block Exogeneity Wald Test and Granger Causality, and Variance Decomposition to study cointegration and strength & direction of causality for three sub-periods. Johansen's cointegration test results indicate that there is long-run equilibrium relationship among the variables in the pre-crisis and the crisis periods but not in post-crisis period. VECM results report that none of four models of the variables show long-run causality in the pre-crisis period at 5% level of significance. During the crisis period, both crude oil and Sensex models show long run causality. However, in some cases short-run causality is indicated in results. Granger causality test results show that there is one-way causality from USD and Sensex to crude oil, and from gold and Sensex to USD. Thus, we conclude that the relationship among GODS is dynamic and has been affected by global financial crisis of 2008.

Impact of the 2007 US financial crisis on the emerging equity markets

2009 ◽  
Vol 4 (4) ◽  
pp. 341-357 ◽  
Author(s):  
M. Shabri Abd Majid ◽  
Salina Hj Kassim
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Equity Markets ◽  
General View ◽  
Content Type ◽  
Vector Autoregressive ◽  
Crisis Period ◽  
Long Run ◽  
Current Financial Crisis ◽  
Us Financial Crisis

PurposeThe purpose of this paper is to explore empirically the effects of the current financial crisis on the integration and co‐movements of selected stock markets of the emerging economies, namely Indonesia and Malaysia.Design/methodology/approachThe paper employs the standard time series technique and vector autoregressive framework.FindingsThe results of this paper support the general view that stock markets tend to show greater degree of integration or increased co‐movements during the crisis period, resulting in lesser benefit of diversification that can be gained by investors participating in these markets.Research limitations/implicationsThis paper only focuses on emerging equity markets of Malaysia and Indonesia.Practical implicationsThis paper reveals that unlike during the pre‐crisis period, the long‐run diversification benefits that can be earned by investors across the emerging equity markets of Indonesia and Malaysia during the crisis period tend to diminish.Originality/valueBy dividing the study periods into the pre‐crisis period and during the crisis period, it enables us to explore whether the cross‐market linkages between these markets change due to the crisis.

scholarly journals RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND EXCHANGERATES IN EMERGING STOCK MARKETS

IKONOMIKA ◽  
2017 ◽  
Vol 1 (2) ◽  
pp. 131
Author(s):  
M.N. Arshad ◽  
M.H. Yahya
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Markets ◽  
Market Returns ◽  
Stock Market Returns ◽  
Emerging Stock Markets ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

Abstract-This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007) and second, after (2008-2012) the financial crisis of 2008. Johansen-Juselius (JJ). Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM) indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient.

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.

COVID-19 and overconfidence bias: the case of developed, emerging and frontier markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Vijay Kumar Shrotryia ◽  
Himanshi Kalra
Keyword(s):  
Stock Markets ◽  
Impulse Response Functions ◽  
Economic Activities ◽  
Content Type ◽  
Long Run ◽  
Governance Practices ◽  
Global Stock Markets ◽  
Developed Stock Markets ◽  
Overconfidence Bias ◽  
Global Stock

PurposeThe main purpose of the present study is to delve into the overconfidence bias in global stock markets during both pre COVID-19 and COVID-19 phases.Design/methodology/approachThe present study makes use of daily adjusted closing prices and volume of the broad market indices of 46 global stock markets over a period ranging from July 2015 till June 2020. The sample period is split into pre COVID-19 and COVID-19 phases. In order to test the overconfidence fallacy in the chosen stock markets, bivariate market-wide vector auto regression (VAR) models and impulse response functions (IRFs) have been employed in both phases.FindingsA highly significant contemporaneous relationship between market return and volume appears to be more pronounced in the Japanese, US, Chinese and Vietnamese stock markets in the pre COVID-19 era for the relevant coefficients are positive and highly significant for most lags. Coming to the period of turbulence, the present study discovers strong overconfident behavior in the Chinese, Taiwanese, Turkish, Jordanian and Vietnamese stock markets during COVID-19 phase.Practical implicationsA stark finding is that none of the developed stock markets reveal strong overconfidence bias during pandemic, suggesting a loss or decline in the investors' confidence. Therefore, the regulators should try to regain the investors' trust and confidence in the markets by ensuring honest, fair and transparent practices. The money managers should reduce the transaction cost to encourage trading and educate investors to hold a well-diversified portfolio to mitigate risk in the long run. The governments may launch recovery packages focusing on sustaining and improving economic activities. Finally, a better investment culture may be built by the corporate houses through good corporate governance practices to regain lost trust.Originality/valueThe present study appears to be the very first attempt to gauge overconfidence bias in the wake of a recent COVID-19 pandemic.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

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