THE SHOCKS BETWEEN OIL MARKET TO THE BRIC STOCK MARKETS: A GENERALIZED VAR APPROACH

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Cristina Vasco ◽  
...  
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Open Space ◽  
Short Term ◽  
Normal Distributions ◽  
Oil Market ◽  
Global Pandemic ◽  
Arbitrage Opportunities ◽  
Market Shocks ◽  
The Impact

The pandemic (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay aims to analyse the shocks between the stock market indices of Brazil (BOVESPA), China (SSEC) India (SENSEX), Russia (IMOEX) and oil (WTC), in the period from January 2, 2019 to May 29, 2020. In order to carry out this analysis, different approaches were undertaken with a view to gauging whether (i) the global pandemic has accentuated the shocks between the BRIC financial markets and the WTC? The daily yields do not have normal distributions, show negative asymmetries, leptokurtic, and exhibit conditional heteroscedasticity. In general, we find evidence that the WTC causes the markets of Russia and India, China does not cause any market, and Brazil is not caused by any market analysed. On the other hand, short-term market shocks are relevant and create some arbitrage opportunities. However, our study did not analyse anomalous returns in these financial markets. These findings also open space for market regulators to take action to ensure better information between international financial markets.

scholarly journals EVIDENCE OF INTRADAY MULTIFRACTALITY IN BRIC STOCK MARKETS: AN ECONOPHYSICS APPROACH

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Maria Manuel ◽  
...  
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Open Space ◽  
Stock Exchange ◽  
Weak Form ◽  
Initial Correlation ◽  
Arbitrage Opportunities ◽  
Opening And Closing ◽  
Stock Indexes ◽  
The Impact

The pandemic outbreak (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay intends to analyse the efficiency, in its weak form, in the BRIC markets, namely the stock indexes of Brazil (BRAZIL IBOVESPA), China (Shanghai Stock Exchange), India (S&P BSE SENSEX), Russia (MOEX Russia). The data are intraday (1 hour), from May 2019 to May 2020; to obtain more robust results, we divided the sample into time scales up to 5 days (Period I), and above 10 days (Period II), in a complementary way, and we use the opening and closing prices to estimate the adjustment time of each market. The results indicate that the BRIC markets have significant persistence (over 10 days), which may jeopardize market efficiency, in its weak form. On the other hand, the low initial correlation in certain stock indexes may create some arbitrage opportunities. However, our study did not analyse anomalous meturns in these financial markets. These conclusions also open space for market regulators to take measures to ensure better information between these markets and international ones.

scholarly journals RISK DIVERSIFICATION IN ASEAN-5 FINANCIAL MARKETS: AN EMPIRICAL ANALYSIS IN THE CONTEXT OF THE GLOBAL PANDEMIC (COVID-19)

2020 ◽  
Author(s):  
Rita Silva ◽  
◽  
Rui Dias ◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
...  
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Open Space ◽  
Financial Integration ◽  
Correlation Coefficients ◽  
World Health ◽  
Stock Market Index ◽  
Risk Diversification ◽  
Global Pandemic ◽  
Regional Markets

The World Health Organization (WHO) has designated the new coronavirus infection as a global pandemic, based on the risk of contagion, and the number of confirmed cases in more than 195 countries. COVID-19 has an intense impact on the global economy, resulting from uncertainty and pessimism, with adverse effects on financial markets. Due to these events, this essay aims to estimate if the portfolio’s diversification is feasible in the financial markets of Indonesia, Malaysia, Philippines, Singapore, and Thailand (ASEAN-5), in the context of the global pandemic (Covid-19), regarding the period of July 1, 2019, to July 22, 2020. To achieve such an analysis, is intended to provide answers for two questions, namely: i) the global pandemic (Covid-19) has accentuated financial integration between the ASEAN-5 markets? ii) If so, can the persistence of returns affect the risk diversification of portfolios? The results obtained suggest that those regional markets present accentuated levels of integration. However, the Singapore's stock market index does not show any level of integration, indicating that the implementation of portfolio’s diversification strategies can be considered; however, the same can no longer be evident for the other ASEAN-5 markets. Additionally, we verified that the ASEAN-5 markets indicate persistence in returns, that is, the presence of accentuated long memories, except for the Singapore market (SGX). These findings show that prices do not fully reflect the information available and that changes in prices are not independent and identically distributed. This situation is found for investors, since some returns can be expected, creating opportunities for arbitrage and abnormal earnings. Corroborating the trendless cross-correlation coefficients (𝜆𝐷𝐶𝐶𝐴), proven evidence coefficients, mostly, suggest the existence of risk transmission between markets. In conclusion, the authors seek that the implementation of an efficient diversification strategy for portfolios requires agreement with the controversial application. These conclusions also open space for the regulators of these regional markets to take measures to ensure better information between these markets and international markets.

scholarly journals THE IMPACT OF THE COVID-19 ON THE FINANCIAL MARKETS: EVIDENCE FROM G7

2020 ◽  
Author(s):  
Paula Heliodoro ◽  
◽  
Rui Dias ◽  
Paulo Alexandre ◽  
Maria Manuel ◽  
...  
Keyword(s):  
United Kingdom ◽  
Financial Markets ◽  
Open Space ◽  
Research Question ◽  
Correlation Coefficients ◽  
Stock Index ◽  
Global Pandemic ◽  
Canadian Market ◽  
Stock Indexes ◽  
The Impact

This essay aims to analyse the impact of the 2020 global pandemic on the stock indexes of France (CAC 40), Germany (DAX 30), USA (DOW JONES), United Kingdom (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225) and Canada (TSX 300), from January 2018 to June 2020, with the sample being divided into two sub periods: first sub period from January 2018 to August 2019 (Pre-Covid); second period from September 2019 to June 2020 (Covid-19). In order to carry out this analysis, different approaches were taken in order to analyse whether: (i) the global pandemic (Covid-19) increased the persistence of the G7 financial markets? In the Pre-Covid period, we can verify the presence of long memories in the Canadian market (TSX), while the markets in France (CAC 40) and Italy (FTSE MID) show signs of balance, since the random walk hypothesis was not rejected. The German (DAX 30), USA (DJI), United Kingdom (FTSE 100) and Japan (NIKKEI 225) markets have anti-persistence (0 <α <0.5). In period II, the Covid-19-time scale is contained, and we verified the presence of significant long memories, except for the US stock index (0.49). These findings make it possible to show that the assumption of the market efficiency hypothesis may be called into question, because these markets are predictable, which validate the research question. The results of the pDCCA correlation coefficients, in the Pre-Covid period, show 14 pairs of median markets (0.333 → ≌ 0.666). We can also see 7 pairs of markets with strong correlation coefficients (0.666 → ≌ 1,000), showing that these markets have a tendency towards integration, this evidence may call into question the hypothesis of portfolio diversification. In period II (Covid-19) the λ_DCCA correlation coefficients have 7 strong market pairs (0.666 → ≌ 1,000), 5 pairs have weak pDCCA coefficient (0.000 → ≌ 0.333), 5 market pairs show anti-correlation (-1.000 → ≌ 0.000), and 4 market pairs show median coefficients (pDCCA) (0.333 → ≌ 0.666) (out of 21 possible). When compared to the previous subperiod, we found that the majority of the pDCCAs decreased, which shows that the markets have decreased their integration, making it possible to diversify portfolios in certain markets, especially in the Japanese market (NIKKEI 225). These conclusions open space for market regulators to take measures to ensure better informational information, in the stock markets, in the 7 most advanced economies in the world.

Impact of FII’s and FDI’s on Indian Stock Market

2016 ◽  
Vol 1 (1) ◽  
Author(s):  
Dr. Kamlesh Kumar Shukla
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Global Economy ◽  
Short Term ◽  
Earnings Growth ◽  
The Past ◽  
Bull Market ◽  
Indian Stock Market

FIIs are companies registered outside India. In the past four years there has been more than $41 trillion worth of FII funds invested in India. This has been one of the major reasons on the bull market witnessing unprecedented growth with the BSE Sensex rising 221% in absolute terms in this span. The present downfall of the market too is influenced as these FIIs are taking out some of their invested money. Though there is a lot of value in this market and fundamentally there is a lot of upside in it. For long-term value investors, there’s little because for worry but short term traders are adversely getting affected by the role of FIIs are playing at the present. Investors should not panic and should remain invested in sectors where underlying earnings growth has little to do with financial markets or global economy.

scholarly journals COVID-19 pandemic: A review of the global lockdown and its far-reaching effects

2021 ◽  
Vol 104 (2) ◽  
pp. 003685042110198
Author(s):  
Helen Onyeaka ◽  
Christian K Anumudu ◽  
Zainab T Al-Sharify ◽  
Esther Egele-Godswill ◽  
Paul Mbaegbu
Keyword(s):  
Mental Health ◽  
Global Economy ◽  
World Health ◽  
Global Pandemic ◽  
The World ◽  
Education Delivery ◽  
Environmental Air ◽  
Health Organization ◽  
Almost All ◽  
The Impact

COVID-19, caused by the severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2), was declared a pandemic by the World Health Organization (WHO) on the 11th of March 2020, leading to some form of lockdown across almost all countries of the world. The extent of the global pandemic due to COVID-19 has a significant impact on our lives that must be studied carefully to combat it. This study highlights the impacts of the COVID-19 pandemic lockdown on crucial aspects of daily life globally, including; Food security, Global economy, Education, Tourism, hospitality, sports and leisure, Gender Relation, Domestic Violence/Abuse, Mental Health and Environmental air pollution through a systematic search of the literature. The COVID-19 global lockdown was initiated to stem the spread of the virus and ‘flatten the curve’ of the pandemic. However, the impact of the lockdown has had far-reaching effects in different strata of life, including; changes in the accessibility and structure of education delivery to students, food insecurity as a result of unavailability and fluctuation in prices, the depression of the global economy, increase in mental health challenges, wellbeing and quality of life amongst others. This review article highlights the impacts of the COVID-19 pandemic lockdown across the globe. As the global lockdown is being lifted in a phased manner in various countries of the world, it is necessary to explore its impacts to understand its consequences comprehensively. This will guide future decisions that will be made in a possible future wave of the COVID-19 pandemic or other global disease outbreak.

COVID -19 and Indian Financial Markets: A Review

2020 ◽  
Vol 16 (02) ◽  
pp. 1-8
Author(s):  
Kamaldeep Kaur Sarna
Keyword(s):  
Financial Markets ◽  
Financial Institutions ◽  
Financial Services ◽  
Stock Markets ◽  
Global Economy ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Negative Impact ◽  
Management Strategies ◽  
The Impact

COVID-19 is aptly stated as a Black Swan event that has stifled the global economy. As coronavirus wreaked havoc, Gross Domestic Product (GDP) contracted globally, unemployment rate soared high, and economic recovery still seems a far-fetched dream. Most importantly, the pandemic has set up turbulence in the global financial markets and resulted in heightened risk elements (market risk, credit risk, bank runs etc.) across the globe. Such uncertainty and volatility has not been witnessed since the Global Financial Crisis of 2008. The spread of COVID-19 has largely eroded investors’ confidence as the stock markets neared lifetimes lows, bad loans spiked and investment values degraded. Due to this, many turned their backs on the risk-reward trade off and carted their money towards traditionally safer investments like gold. While the banking sector remains particularly vulnerable, central banks have provided extensive loan moratoriums and interest waivers. Overall, COVID-19 resulted in a short term negative impact on the financial markets in India, though it is making a way towards V-shaped recovery. In this context, the present paper attempts to identify and evaluate the impact of the pandemic on the financial markets in India. Relying on rich literature and live illustrations, the influence of COVID-19 is studied on the stock markets, banking and financial institutions, private equities, and debt funds. The paper covers several recommendations so as to bring stability in the financial markets. The suggestions include, but are not limited to, methods to regularly monitor results, establishing a robust mechanism for risk management, strategies to reduce Non-Performing Assets, continuous assessment of stress and crisis readiness of the financial institutions etc. The paper also emphasizes on enhancing the role of technology (Artificial Intelligence and Virtual/Augmented Reality) in the financial services sector to optimize the outcomes and set the path towards recovery.

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.

The Impact of the COVID-19 Pandemic on Stock Markets

2020 ◽  
Vol 1 (2) ◽  
pp. 57-70
Author(s):  
Rui Dias ◽  
João Manuel Pereira
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Structural Breaks ◽  
Research Question ◽  
Causal Link ◽  
Data Series ◽  
Fluctuation Analysis ◽  
Wald Tests ◽  
The Impact ◽  
Detrended Fluctuation

COVID-19 has had a marked impact on the global economy, resulting in uncertainty, pessimism, and adverse effects on financial markets. In light of this event, this paper aims to test whether the evolution of COVID-19 (confirmed cases and deaths) is responsible for the stock market indices in eight European countries, from December 31, 2019 to July 23, 2020. Two key research questions have been raised to determine this causal link: Does the increase in COVID-19 cases and deaths cause shockwaves in Europe's financial markets? If so, does the presence of long memories cause high levels of arbitration? The results show mostly structural breaks in March 2020. In contrast, the VAR Granger Causality/Block Exogeneity Wald Tests model shows that the COVID-19 data series (confirmed cases and deaths) do not cause shocks in Europe's financial markets, which in return does not validate the first research question. The results of the exponents detrended fluctuation analysis (DFA) shows significant long memories ranging between 0.61-0.73.

scholarly journals On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region

2019 ◽  
Vol 11 (23) ◽  
pp. 6636 ◽  
Author(s):  
Chunling Li ◽  
Khansa Pervaiz ◽  
Muhammad Asif Khan ◽  
Faheem Ur Rehman ◽  
Judit Oláh
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Credit Rating ◽  
Market Development ◽  
European Region ◽  
Short Term ◽  
Sovereign Credit ◽  
Financial Market Development ◽  
The Impact ◽  
Sovereign Credit Rating

In modeling the impact of sovereign credit rating (CR) on financial markets, a considerable amount of the literature to date has been devoted to examining the short-term impact of CR on financial markets via an event-study methodology. The argument has been established that financial markets are sensitive to CR announcements, and market reactions to such announcements (both upgrading and degrading) are not the same. Using the framework of an autoregressive distributed lag setting, the present study attempted to empirically test the linear and non-linear impacts of CR on financial market development (FMD) in the European region. Nonlinear specification is capable to capture asymmetries (upgrades and downgrades) in the estimation process, which have not been considered to date in financial market literature. Overall findings identified long-term asymmetries, while there was little evidence supporting the existence of short-term asymmetries. Thus, the present study has extended the financial market literature on the subject of the asymmetrical impact of a sovereign CR on European FMD and provides useful input for policy formation taking into account these nonlinearities. Policies solely based upon linear models may be misleading and detrimental.

scholarly journals The Impact of Government Debt Issuance on Short-Term interest rates in Indonesia

2009 ◽  
Vol 11 (3) ◽  
pp. 301
Author(s):  
Sri Adiningsih
Keyword(s):  
Fiscal Policy ◽  
Private Sector ◽  
Financial Markets ◽  
Interest Rates ◽  
Budget Deficit ◽  
Negative Impact ◽  
Government Debt ◽  
Crowding Out ◽  
Short Term ◽  
The Impact

This paper analyzes whether the expansionary fiscal policy funded by issuing debt instruments in financial markets will increase short-term interest rates. If  the expansionary fiscal policy increases interest rates, which decrease private spending especially investment, crowding out occurs. This is interesting because global economic crisis has encouraged many countries to run large budget deficits to stimulate the economy. Indonesia has also run budget deficit during this crisis and even in years before. The impact of such a policy can be significant because Indonesia’s debt market is still narrow and shallow. Therefore, its capability of absorbing the government debt instruments without influencing the private sector funding is limited. This study tests whether the crowding out occurs in Indonesia using a time series econometric model inspired by Cebula and Cuellar’s model. The Cointegration Regression and Error Correction Model (ECM) are used in this study. Monthly data from April 2000 to December 2008 are used for overnight real interbank call money interest rates, real net government bond issues in trading, real narrow money supply, real rate of one-month Certificate of Bank Indonesia, growth of Gross Domestic Product, and real net international capital flows. This empirical study shows that the crowding out problem occurred in Indonesia during the period. This indicates that financing budget deficit in Indonesia by issuing debt instruments in the financial markets has a negative impact on the private sector.

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