scholarly journals Flight to quality or contagion during US subprime crisis: Evidence from Vietnam financial markets

2020 ◽  
Vol 128 (5B) ◽  
Author(s):  
Thanh Cong Bui ◽  
Khoa Cuong Phan ◽  
Thi Bich Ngoc Ngoc TRAN
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Index ◽  
Subprime Crisis ◽  
Conditional Correlation ◽  
Risky Assets ◽  
Dynamic Conditional Correlation ◽  
Flight To Quality ◽  
Correlation Models ◽  
The Relationship

<p>The purpose of this study is to investigate if contagion or flight-to-quality occurred in Vietnam financial markets during US subprime crisis in 2007. We apply asymmetric dynamic conditional correlation models (ADCC-GARCH (1,1)) to daily stock-index and bond index returns of Vietnam and US stock market. We test for contagion or flight-to-quality by using difference test for dynamic conditional correlation (DCC) means. The results obtained show a contagion between US and Vietnam stock market, confirming the widespread influence of US stock market to a young market like Vietnam. This result suggests a low benefit from diversification for investor holding portfolios containing assets in Vietnam stock market and US stock market during crisis. Moreover, the relationship between Vietnam stock and bond markets represents a flight-to-quality during US subprime crisis. This finding shows that the investors tend to hold less risky assets, i.e. bonds, instead of stocks during turbulent period in Vietnam.</p>

scholarly journals The relationship between Google search interest for pulmonary symptoms and COVID-19 cases using dynamic conditional correlation analysis

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Halit Cinarka ◽  
Mehmet Atilla Uysal ◽  
Atilla Cifter ◽  
Elif Yelda Niksarlioglu ◽  
Aslı Çarkoğlu
Keyword(s):  
Case Reports ◽  
Time Varying ◽  
Conditional Correlation ◽  
Web Based ◽  
Specific Symptom ◽  
Sliding Windows ◽  
Dynamic Conditional Correlation ◽  
The United Kingdom ◽  
Correlation Models ◽  
Google Search

AbstractThis study aims to evaluate the monitoring and predictive value of web-based symptoms (fever, cough, dyspnea) searches for COVID-19 spread. Daily search interests from Turkey, Italy, Spain, France, and the United Kingdom were obtained from Google Trends (GT) between January 1, 2020, and August 31, 2020. In addition to conventional correlational models, we studied the time-varying correlation between GT search and new case reports; we used dynamic conditional correlation (DCC) and sliding windows correlation models. We found time-varying correlations between pulmonary symptoms on GT and new cases to be significant. The DCC model proved more powerful than the sliding windows correlation model. This model also provided better at time-varying correlations (r ≥ 0.90) during the first wave of the pandemic. We used a root means square error (RMSE) approach to attain symptom-specific shift days and showed that pulmonary symptom searches on GT should be shifted separately. Web-based search interest for pulmonary symptoms of COVID-19 is a reliable predictor of later reported cases for the first wave of the COVID-19 pandemic. Illness-specific symptom search interest on GT can be used to alert the healthcare system to prepare and allocate resources needed ahead of time.

scholarly journals Oil Market Shocks and Financial Instability in Asian Countries

2021 ◽  
Author(s):  
Fakhri Hasanov
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Oil Prices ◽  
Financial Instability ◽  
Asian Countries ◽  
Fair Share ◽  
Economic Variables ◽  
Oil Market ◽  
Market Shocks ◽  
The Relationship

There is no commodity whose interlinkages with the macroeconomy have been studied as extensively as oil, starting with Hamilton’s (1983) seminal study. Thousands of subsequent studies have examined the relationship between oil prices and various economic variables, including the stock market. This strand of the literature began with the pioneering work of Kling (1985). Since then, other financial markets, such as banking, have also received a fair share of analysis.

Trust and Household Portfolios

2021 ◽  
pp. 78-97
Author(s):  
Diego Lubian
Keyword(s):  
Financial Markets ◽  
Empirical Evidence ◽  
Financial Literacy ◽  
Risky Assets ◽  
Financial Decisions ◽  
Portfolio Decisions ◽  
Financial Decision ◽  
Financial Portfolio ◽  
Socio Demographic Factors ◽  
The Relationship

This article provides empirical evidence on the existence and the extent of the influence of trust in financial decisions using individual data on Italian households from the Survey on Household Income and Wealth, 2010. This article studies the relationship between, trust in people, trust in banks and more detailed previously unexplored dimensions of trust, and household financial portfolio decisions. The article provides empirical evidence that trust in people and trust in banks affect both participation in financial markets, the share of risky assets and the diversification of the financial portfolio, controlling socio-demographic factors, risk aversion, and financial literacy as well. The article finds that trust is important for individuals with a lower level of education who have limited possibilities to acquire and process information on financial markets need to rely in trustworthy relationship to define their financial portfolio. Further, we present evidence that the main channel by which trust affects financial decision making and determines too little participation, a lower share of risky assets in the financial wealth and poorly diversified portfolios is trust in family and friends.

scholarly journals What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model

2019 ◽  
Vol 12 (2) ◽  
pp. 61 ◽  
Author(s):  
McAleer
Keyword(s):  
Financial Risk ◽  
Dynamic Models ◽  
Asymptotic Properties ◽  
Regularity Conditions ◽  
Conditional Correlation ◽  
Risky Assets ◽  
Dynamic Conditional Correlation ◽  
Volatility Models ◽  
Dynamic Time ◽  
Optimal Hedge

In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are unlikely to remain constant using high frequency data, it is essential to specify dynamic time-varying models of covariances and correlations. These values can either be determined analytically or numerically on the basis of highly advanced computer simulations. Analytical developments are occasionally promulgated for multivariate conditional volatility models. The primary purpose of this paper is to analyze purported analytical developments for the only multivariate dynamic conditional correlation model to have been developed to date, namely the widely used Dynamic Conditional Correlation (DCC) model. Dynamic models are not straightforward (or even possible) to translate in terms of the algebraic existence, underlying stochastic processes, specification, mathematical regularity conditions, and asymptotic properties of consistency and asymptotic normality, or the lack thereof. This paper presents a critical analysis, discussion, evaluation, and presentation of caveats relating to the DCC model, with an emphasis on the numerous dos and don’ts in implementing the DCC model, as well as a related model, in practice.

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 AN EXPLORATORY RESEARCH ON THE PSYCHOLOGY OF INVESTORS IN FINANCIAL MARKETS

2020 ◽  
Vol 8 (4) ◽  
pp. 979-992
Author(s):  
Mustafa Hakan SALDI
Keyword(s):  
Decision Making ◽  
Financial Markets ◽  
Research Question ◽  
Endocrine System ◽  
Human Mind ◽  
Exploratory Research ◽  
Human Beings ◽  
Risky Assets ◽  
Main Research ◽  
The Relationship

The emotional mind which was granted to human beings in order to add the meaning of their perception through the data, information and knowledge that are being gathered from all around the outside environment with senses and the experiences of realities that have effects on the attitude of a person which can be observed as stereotypes, have effects on the decision making processes of investors, which was proven with general assumptions and theories with countless times in the background of the subject. Differently, this research is mainly designed for in-depth investigation of the relationship between parts of the human brain and endocrine system which have a role on emotional actions that can be observed of investors' behaviours in financial markets. From the viewpoint of experimentally tested studies, the discovery of the response of the subproblems will be explored in the main research question of why the risky assets are being selected by the investors relative to the sciences of neurology and endocrinology. Also, the amygdala, testosterone and cortisol relation which is the predictive factor of behaviours is going to be explained in terms of showing their effects on decision making in monetary management and will be analysed as a moderator with depth observations to understand the relationship between investment behaviour and emotions as well. As a result, the study will bring different perspectives to investors who are both experienced and inexperienced in trading with financial instruments by the addition of consideration of emotional side of the human mind to the logic and rational part.

scholarly journals Dynamic Conditional Correlation between Electricity, Energy (Commodity) and Financial Markets during the Financial Crisis in Greece

2017 ◽  
Vol 07 (04) ◽  
pp. 990-1033
Author(s):  
Panagiotis G. Papaioannou ◽  
George P. Papaioannou ◽  
Kostas Sietos ◽  
Akylas Stratigakos ◽  
Christos Dikaiakos
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation

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.

scholarly journals Contagion of the shareholder market: cases of Colombia, México, Perú, Chile and Argentina

2019 ◽  
Vol 18 ((1)) ◽  
Author(s):  
Marcos Vera Leyton
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Time Window ◽  
Sum Of Squares ◽  
Conditional Correlation ◽  
Cumulative Sum ◽  
Crisis Period ◽  
Dynamic Conditional Correlation ◽  
Highly Sensitive ◽  
Before And After

This document study the existence of financial crisis contagion, it defined like the transmission of the shocks between countries, which translates in increasing in the correlation anything beyond or fundamental link, taking as a source of contagion by EEUU, Brasil, and analyzing Mexico, Colombia, Peru, Chile and Argentina like “Infected” countries, for the period covered between July 3 of 2001, date of unification of the Colombia Stock Market, to July 3 of 2010. To identify crisis period, and to evoid volatility overestimation, it used the algorithm iterative cumulative sum of squares ICCS, developed by Inclan y Tiao (1994), additionally calculated the dynamic conditional correlation (DCC) Engle Model (2002). The document includes a review of several studies, concepts, and transmission (Contagion) methodologies, and it constitutes one of the few studies that includes Colombia like analysis source.  So this study verifies the existence of contagion in the countries studies, except Argentina, but warns that the measure of impact that a crisis in a given country has over other countries is highly sensitive to the way we choose the time window before and after the crisis.

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