Turn-of-the-month effects in European stock markets before and after the financial crisis – An evolutionary finance perspective

The wealth of owners of stock corporations is exposed to various phenomena affecting stock market prices. Of these calendar anomalies, we examine the turn-of-the-month (TOM) effect. Previous literature reveals only mixed results with regard to (changes of) the TOM pattern. Therefore, this paper aims to provide further insights by a comparison of crisis and non-crisis periods, applying an evolutionary finance approach, which is based on computational agent-based modelling. We analyse stock price developments in six European stock markets for the period 2000-2014 with a special focus on the financial crisis. For this purpose, we apply parametric and nonparametric event study techniques and find explanations of this effect, like volatility, trade volume and the business cycle. After testing for external factors, the study takes an alternative perspective based on the evolutionary finance approach, which is based on the biological principles of selection, mutation and dependence and shows the effects of shifted investment capital induced by revised strategies of investors who enter and exit corporate ownership by buying and selling at the stock market.

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

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091506000732 ◽

2006 ◽

Vol 09 (02) ◽

pp. 297-315 ◽

Cited By ~ 24

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.

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

Studies in Business and Economics ◽

10.1515/sbe-2015-0022 ◽

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.

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Dependence Structure between China’s Stock Market and Other Major Stock Markets before and after the 2008 Financial Crisis

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2019.1615434 ◽

2019 ◽

Vol 56 (11) ◽

pp. 2608-2624 ◽

Cited By ~ 1

Author(s):

Hao Ji ◽

Hao Wang ◽

Jia Xu ◽

Brunero Liseo

Keyword(s):

Financial Crisis ◽

Stock Market ◽

Stock Markets ◽

Dependence Structure ◽

2008 Financial Crisis ◽

Before And After ◽

The 2008 Financial Crisis

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A stylized macro-model with interacting real, monetary and stock markets

Journal of Economic Interaction and Coordination ◽

10.1007/s11403-021-00320-x ◽

2021 ◽

Author(s):

F. Cavalli ◽

A. Naimzada ◽

N. Pecora

Keyword(s):

Stock Market ◽

Interest Rates ◽

Stock Prices ◽

Stock Markets ◽

Stock Price ◽

Market Integration ◽

Dynamic Properties ◽

National Income ◽

Money Market ◽

The Business Cycle

AbstractWe propose a model economy consisting of interdependent real, monetary and stock markets. The money market is influenced by the real one through a standard LM equation. Private expenditures depend on stock prices, which in turn are affected by interest rates and real profits, as these contribute to determine the participation level in the stock market. An evolutionary mechanism regulates agents’ participation in the stock market on the basis of a fitness measure that depends on the comparison between the stock return and the interest rate. Relying on analytical investigations complemented by numerical simulations, we study the economically relevant static and dynamic properties of the equilibrium, identifying the possible sources of instabilities and the channels through which they spread across markets. We aim at understanding what micro- and macro-factors affect the dynamics and, at the same time, how the dynamics of asset prices, which are ultimately influenced by the money market, behave over the business cycle. Starting from isolated markets, we show the effect of increasing the market interdependence on the national income, the stock price and the share of agents that participate in the stock market at the equilibrium. Moreover, we investigate the stabilizing/destabilizing role of market integration and the possible emergence of out-of-equilibrium dynamics.

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Day Of The Week Effects In Intra-Day Volatility Patterns Of Equity Markets: A Study Of US And European Stock Markets

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v5i6.3485 ◽

2011 ◽

Vol 5 (6) ◽

Author(s):

Deniz Ozenbas ◽

Zaman Zamanian

Keyword(s):

New York ◽

Stock Markets ◽

Stock Price ◽

Stock Exchange ◽

Price Volatility ◽

York Stock Exchange ◽

Before And After ◽

Trading Period ◽

Day Of The Week ◽

European Stock Markets

The pattern of intra-day stock price volatility is established in the academic literature as having a U-shape, with heightened volatility at the open and at the close compared to the other periods of the trading day. We establish in this study that there are variations in this pattern across different days of the week. More precisely, we see that the intra-day U-shaped pattern is more accentuated when we take into consideration the day of the week. Using intra-day data from the New York Stock Exchange, London Stock Exchange, Deutsche Boerse and Euronext Paris stock markets we show that Monday openings are consistently more volatile than opening periods of other days, and similarly Friday closings are consistently more volatile than closing periods of other days. These findings indicate the increased difficulty of price discovery just before and after the weekend non-trading period. Variance-ratio statistics are employed to test for the significance of our findings.

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RESPONSE OF STOCK MARKET DURING COVID-19 AND 2008 FINANCIAL CRISIS: A COMPARATIVE EVIDENCE FROM BRICS NATIONS

The Singapore Economic Review ◽

10.1142/s0217590821500387 ◽

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.

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The Effect of the Financial Crisis on Emerging Markets: A Comparative Analysis of the Stock Market Situation Before and After

EUROPEAN RESEARCH STUDIES JOURNAL ◽

10.35808/ersj/923 ◽

2017 ◽

Vol XX (Issue 4B) ◽

pp. 727-753 ◽

Cited By ~ 4

Author(s):

Simon Grima ◽

Luca Caruana

Keyword(s):

Comparative Analysis ◽

Financial Crisis ◽

Stock Market ◽

Emerging Markets ◽

Before And After ◽

Market Situation

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

Studies of Applied Economics ◽

10.25115/eea.v39i2.3016 ◽

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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The Linkage between Chittagong Stock Market and Dhaka Stock Market

10.54728/2112091639050770 ◽

2021 ◽

Vol 1 (1) ◽

Author(s):

Muhammad Shahidullah Tasfiq ◽

◽

Nasrin Jahan

Keyword(s):

Stock Market ◽

Stock Markets ◽

Stock Price ◽

Impulse Response Function ◽

Decomposition Analysis ◽

Variance Decomposition ◽

Causality Test ◽

Long Run ◽

Short Run ◽

Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

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