scholarly journals Transmisión entre mercados bursátiles y crisis financiera: El caso de España

2020 ◽  
Vol 32 (2) ◽  
pp. 789
Author(s):  
Paz Rico Belda
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Correlation Coefficient ◽  
Stock Markets ◽  
The Other ◽  
Subprime Crisis ◽  
Contagion Effect ◽  
Conditional Correlation ◽  
Integration Degree ◽  
Spanish Stock Market

The paper analyses if the interrelation between Spanish stock market and stock markets of USA, UK, German and France has been affected, and how, by subprime crisis. For that, a bivariate VAR-GARCH model has been estimated, over the period January 2000 to June 2012. A measure of integration degree, as the conditional correlation coefficient, is obtained from the estimated model. Analysing this measure leads to conclude that subprime crisis had a contagion effect. Moreover, the empirical evidence allows concluding that in poscrisis period the interrelation between Spanish market and French market has increased, while the interrelation with British market has reduced. On the other hand, the interrelation of Spanish stock market with German and USA stock markets have gone back to the level before subprime crisis.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

scholarly journals The Contagion Effect of the Subprime Crisis in the Brazilian Stock Market

2014 ◽  
Vol 14 ◽  
pp. 191-200 ◽  
Author(s):  
Douglas Marcos Ferreira ◽  
Leonardo Bornacki de Mattos
Keyword(s):  
Stock Market ◽  
Subprime Crisis ◽  
Contagion Effect

scholarly journals The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010

2019 ◽  
Vol 32 (1) ◽  
pp. 2422-2454 ◽  
Author(s):  
Yu-Sheng Kao ◽  
Kai Zhao ◽  
Yu-Cheng Ku ◽  
Chien-Chung Nieh
Keyword(s):  
Stock Market ◽  
Subprime Crisis ◽  
Contagion Effect ◽  
The U.S

Spillover of Sentiments Between the GCC Stock Markets

2020 ◽  
pp. 097215092093559
Author(s):  
Shah Saeed Hassan Chowdhury
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Impulse Response Functions ◽  
Contagion Effect ◽  
Causality Test ◽  
Market Sentiment ◽  
Correlation Models ◽  
Autoregressive Conditional Heteroscedasticity

This study examines how stock market sentiment in a Gulf Cooperation Council (GCC) stock market may spill over to affect sentiments in other markets in the region. Findings from dynamic conditional correlation models in a generalized autoregressive conditional heteroscedasticity (GARCH) framework, traditional Granger causality test and impulse response functions suggest that Kuwait and Qatar stock markets are segregated from other markets in the region. Saudi Arabia and the United Arab Emirates (UAE) markets are well integrated, and any shift in sentiment in either of the two affects the other. Bahrain and Oman are somewhat integrated with the UAE and Saudi stock market sentiments. Thus, when an investor has significant investments in both Saudi Arabia and the UAE, he must be aware of any contagion effect—especially in the case of a stock market panic.

DCC Analysis of the Two Stock Market Returns by a Threshold Model: Empirical Study of the Stock Markets in Japan and Canada

2012 ◽  
Vol 468-471 ◽  
pp. 181-185
Author(s):  
Wann Jyi Horng ◽  
Tien Chung Hu ◽  
Ming Chi Huang
Keyword(s):  
Stock Market ◽  
Empirical Result ◽  
Stock Markets ◽  
Threshold Model ◽  
Conditional Correlation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Asymmetrical Effect ◽  
Relationship Of ◽  
The Relationship

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the Japan’s and the Canada’s stock markets. The empirical result also indicates that the Japan and the Canada’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.2514, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Japan’s and the Canada’s stock markets have an asymmetrical effect, and the variation risks of the Japan’s and the Canada’s stock market returns also receives the influence of the good and bad news, respectively.

scholarly journals Impact of Macroeconomic Variables on Stock Market Indices Value: A Cross-Country Indices Study

2013 ◽  
Vol 12 (3) ◽  
pp. 65-76 ◽  
Author(s):  
Rohini Mariappan ◽  
Nikita Hari
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Economic Activity ◽  
Contagion Effect ◽  
Macroeconomic Variables ◽  
The World ◽  
Cross Country

Complete unpredictability and the contagion effect of stock markets could pose significant challenges for the entire financial markets of the world. Moreover, it is an incontrovertible truth that the variations in stock market indices is an integral part of the dynamics of economic activity and can propel social moods and expectations. In fact, the stock market has predicted 10 out of the last 3 recessions.

scholarly journals Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange

2019 ◽  
Vol 21 (3) ◽  
pp. 285
Author(s):  
Shafir Zaman
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Decision ◽  
Weak Form ◽  
Efficiency Test ◽  
Non Parametric ◽  
Weak Form Efficiency

Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

scholarly journals The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market

2018 ◽  
Vol 7 (1) ◽  
pp. 24
Author(s):  
Ryuta Sakemoto
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Precious Metals ◽  
Asset Market ◽  
Market Condition ◽  
Expected Returns ◽  
Trade Off ◽  
Conditional Correlations

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns, which means that high returns on precious metals are not related to a lack of diversification benefits. Interestingly, high absolute values of conditional correlations lead to increases in expected returns, suggesting that the unstable cross-asset market condition is associated with the expected returns. This impact is stronger on silver than on gold.  

scholarly journals Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects

2019 ◽  
Vol 11 (5) ◽  
pp. 1402 ◽  
Author(s):  
Guoxiang Xu ◽  
Wangfeng Gao
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Financial Risk ◽  
Tail Dependence ◽  
Chinese Stock Market ◽  
Contagion Effect ◽  
Subprime Mortgage ◽  
Stock Market Crash ◽  
Mortgage Crisis

As global financial markets become highly dependent on each other, risk contagion among stock markets is a primary feature of progressing globalization, which poses uncertainties for government agencies. The deficiency of previous studies is that it is difficult to accurately grasp the direction of risk diffusion in different time periods, and to depict the intensity of risk contagion constantly. Research on causality and measurement of financial risk contagion based on nonlinear causality tests and dynamic Copula methods will help governments to allocate financial resources reasonably and effectively, thus promoting the sustainable development of the social economy and financial markets. Taking the Chinese stock market as an example, this paper evaluated the risk contagion effect between the Chinese stock market and six other stock markets including developed and emerging markets from January 2006 to December 2018. From the aspect of causality, the nonlinear Granger causality test was applied to the entire time period and the phased time periods involving specific events like the subprime mortgage crisis and the Chinese stock market crash. From the aspect of measurement, the dynamic Markov state transition Copula model was used to describe the asymmetrically dependent structure of markets, from which was derived the time-varying lower tail dependence coefficients. The results have been summarized as follows. Firstly, after the outbreak of the subprime mortgage crisis, the stock markets in developed and emerging markets unilaterally affected the Chinese stock market, indicating that China was the recipient at this stage. Then, after the outbreak of the Chinese stock market crash, the Chinese stock market had a risk contagion effect on both Japanese and Russian stock markets, indicating that China became a source of financial risk contagion within a limited area at this stage. Lastly, in terms of the degree of risk contagion, the lower tail dependence coefficients of the Chinese stock market and other markets were significantly increased after the occurrence of specific risk events, while the risk contagion degree of developed markets was higher than that of emerging markets. Policymakers can recognize and apply the characteristics of risk contagion at different stages to refrain from unreasonable institutional arrangements, thus improving the sustainability of economic development.

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.

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