scholarly journals Testing of Volatility Spillovers Dynamics and Network Connectedness between Islamic Indices of Regional Stock Markets

2019 ◽  
Vol IV (I) ◽  
pp. 128-137
Author(s):  
Kashif Hamid ◽  
Rana Shahid Imdad Akash ◽  
Muhammad Mudassar Ghafoor
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
The Political ◽  
Volatility Spillovers ◽  
Transmission Process ◽  
Stock Indices ◽  
Rolling Window ◽  
Shock Transmission ◽  
Network Connectedness ◽  
Over Time

Volatility spillovers and market network connectedness is the most recent phenomena which prevails among the financial markets. The purpose of this research is to evaluate the volatility spillovers and connectedness among Islamic Stock indices of global (MSCI) and Islamic indices of the regional stock markets i.e., DJMI, FTSE, JKI and KMI during the period 01/07/ 2013 to 30/06/2018. We used EGARCH (Nelson 1991), DCC-GARCH, static and rolling- window analysis to investigate the effects of volatility spillovers and connectedness by Diebold and Yilmaz (2012, 2014) and Mensi et al. (2018) methodology. It is concluded that MSCI and FTSE are the net recipients of shocks whereas; DJMI, JKI and KMI are net transmitters of shocks in a static spillover convention. Shock transmission process is time variant and volatility behaves in an asymmetric manner. The risk of spillover is quite sensitive to the political and economic events and it varies over time.

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 Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic

2021 ◽  
Author(s):  
Mike K. P. So ◽  
Lupe S. H. Chan ◽  
Amanda M. Y. Chu
Keyword(s):  
Financial Markets ◽  
Systemic Risk ◽  
World Economy ◽  
Network Density ◽  
Portfolio Risk ◽  
Huge Number ◽  
Financial Network ◽  
Rolling Window ◽  
Causality Tests ◽  
Network Connectedness

AbstractThe COVID-19 pandemic causes a huge number of infections. The outbreak of COVID-19 has not only caused substantial healthcare impacts, but also affected the world economy and financial markets. In this paper, we study the effect of the COVID-19 pandemic on financial market connectedness and systemic risk. Specifically, we test dynamically whether the network density of pandemic networks constructed by the number of COVID-19 confirmed cases is a leading indicator of the financial network density and portfolio risk. Using rolling-window Granger-causality tests, we find strong evidence that the pandemic network density leads the financial network density and portfolio risk from February to April 2020. The findings suggest that the COVID-19 pandemic may exert significant impact on the systemic risk in financial markets.

scholarly journals Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility

2020 ◽  
Vol 8 ◽  
Author(s):  
Shuanglian Chen ◽  
Hao Dong
Keyword(s):  
Dynamic Network ◽  
Realized Volatility ◽  
Idiosyncratic Volatility ◽  
Investment Strategies ◽  
Change Over Time ◽  
Volatility Spillovers ◽  
Market Stability ◽  
Network Connectedness ◽  
The Asymmetry ◽  
Over Time

In this paper, we explore the volatility spillovers across different Bitcoin markets. We decompose the realized volatility into common and idiosyncratic volatilities, as well as the good and bad volatilities. Then the asymmetry in volatility spillovers between Bitcoin markets is measured by the DY (Diebold and Yilmaz) index. In addition, we construct statistics to test the asymmetry in volatility spillovers between different Bitcoin markets. The results are achieved as follows. The spillovers of systematic and idiosyncratic volatilities dominate the connectedness among different Bitcoin markets. In addition, the idiosyncratic volatility spillovers are more easily influenced by policies. Good volatility spillovers dominate the Bitcoin markets and change over time. The further results suggest that there is significant asymmetry between systematic and idiosyncratic volatility spillovers in the Bitcoin markets, while the asymmetries between good and bad volatility spillovers are heterogeneous in different markets. The findings in this paper can provide some suggestions for regulators controlling market stability and investors generating investment strategies.

scholarly journals The Incidence of Spillover Effects during the Unconventional Monetary Policies Era

2021 ◽  
Vol 14 (6) ◽  
pp. 242
Author(s):  
Demetrio Lacava ◽  
Luca Scaffidi Domianello
Keyword(s):  
Financial Markets ◽  
Spillover Effects ◽  
Realized Volatility ◽  
Sample Analysis ◽  
Monetary Policies ◽  
Volatility Spillovers ◽  
Stock Indices ◽  
The Us ◽  
Out Of Sample ◽  
The One

In a context characterized by an increasing integration among financial markets, we aim to analyze whether the ECB unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We augment the Markov switching Asymmetric Multiplicative Error Model (MS-AMEM) with exogenous variables to measure transmissions of volatility from the S&P500 index, on the one hand, and the announcement and implementation effects of unconventional policy, on the other hand. By estimating our model, the MS-AMEMX, on a sample of daily observations of the realized volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought about by volatility spillovers was mitigated by the implementation of unconventional policy, with a higher benefit for high-debt countries’ stock indices (FTSEMIB and IBEX35). Finally, the out-of-sample analysis certifies the suitability of our proxies also for forecasting purposes.

scholarly journals African Stock Markets and Return Predictability

2016 ◽  
Vol 8 (5(J)) ◽  
pp. 91-99
Author(s):  
Gyamfi NE ◽  
Kyei KA ◽  
Gill R
Keyword(s):  
Time Series ◽  
Stock Markets ◽  
Weak Form ◽  
Return Predictability ◽  
Stationary Time Series ◽  
Conditional Heteroscedasticity ◽  
Rolling Window ◽  
Linear And Nonlinear ◽  
Window Approach ◽  
Over Time

This article re-examines the return predictability of eight African stock markets. When returns of stocks are predictable, arbitrageurs make abnormal gains from analyzing prices. The study uses a non-parametric Generalised Spectral (GS) test in a rolling window approach. The rolling window approach tracts the periods of efficiency over time. The GS test is robust to conditional heteroscedasticity and it detects the presence of linear and nonlinear dependencies in a stationary time series. Our results support the Adaptive Market Hypothesis (AMH). This is because, indices whose returns were observed to be predictable by analyzing them in absolute form and therefore weak - form inefficient showed trends of unpredictability in a rolling window.

scholarly journals The impact of COVID-19 pandemic on Islamic versus conventional stock markets: international evidence from financial markets

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Naji Mansour Nomran ◽  
Razali Haron
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Adverse Impact ◽  
Ols Regression ◽  
International Evidence ◽  
Stock Indices ◽  
Daily Data ◽  
The Impact

AbstractThis study employs sample t-tests and panel pooled OLS regression to investigate the impact of COVID-19 pandemic on Islamic versus conventional stock markets returns. The study uses daily data from 15 countries over the period of September 01, 2019–April 30, 2020, which covers two main periods and over four sub-periods. Findings reveal that the returns of Islamic indices begun to be positive instead of negative by mid-April 2020, while returns of conventional ones remain negative throughout the periods. Furthermore, the results suggest a negative and statistically significant impact of COVID-19 on the performance of both stock indices. Nevertheless, this impact is weak on the Islamic indices and strong on the conventional ones. Overall, the findings indicate that Islamic stock markets perform better before and during COVID-19 than the conventional ones, and the adverse impact of the pandemic on the stock markets is relatively lesser for the Islamic indices.

scholarly journals MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY

2021 ◽  
Vol 19 (01) ◽  
pp. 70-90
Author(s):  
Jatin Trivedi ◽  
Cristi Spulbar ◽  
Ramona Birau ◽  
Amir Mehdiabadi
Keyword(s):  
European Union ◽  
Financial Markets ◽  
Empirical Analysis ◽  
Stock Markets ◽  
The European Union ◽  
Volatility Clustering ◽  
Volatility Spillovers ◽  
Considerable Impact ◽  
European Stock Markets ◽  
The Empirical Analysis

Purpose – This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating context, but also a current challenge of great interest. Research Methodology – We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings – The econometric approach includes GARCH (1, 1) models for the sample period from 1, January 2000 to 12, July 2018. The empirical results revealed that exists a significant presence of volatility clustering in all selected financial markets except Poland and Croatia. The empirical analysis also indicates that both recent and past news generate a considerable impact on present volatility. Research limitations – Our empirical study has certain limitations regarding the relatively small number of only eight stock markets. Practical implications – It can provide a useful perspective for researchers, academics, investors, investment managers, decision-makers, and scientists. Originality/Value – The empirical analysis is focused on 8 European stock markets, which are classified as developed (Spain, UK, Germany, and France) and emerging (Poland, Hungary, Croatia, and Romania).

Coevolution

2017 ◽  
Author(s):  
Avi Max Spiegel
Keyword(s):  
The Other ◽  
The Political ◽  
Over Time ◽  
Islamist Movements

This chapter seeks to understand how Islamist movements have evolved over time, and, in the process, provide important background on the political and religious contexts of the movements in question. In particular, it shows that Islamist movements coevolve. Focusing on the histories of Morocco's two main Islamist movements—the Justice and Spirituality Organization, or Al Adl wal Ihsan (Al Adl) and the Party of Justice and Development (PJD)—it suggests that their evolutions can only be fully appreciated if they are relayed in unison. These movements mirror one another depending on the competitive context, sometimes reflecting, sometimes refracting, sometimes borrowing, sometimes adapting or even reorganizing in order to keep up with the other.

G. Lukács, “Techeniye” and Stalinism

2019 ◽  
Vol 62 (7) ◽  
pp. 110-123
Author(s):  
Vladimir Y. Bystrov ◽  
Vladimir M. Kamnev
Keyword(s):  
Literary Criticism ◽  
Theory And Practice ◽  
Nazi Germany ◽  
The Political ◽  
Peace Treaty ◽  
Political Strategy ◽  
Political Criticism ◽  
Political Views ◽  
New Interpretation ◽  
Over Time

The article discusses the attitude of Georg Lukács and his adherents who formed a circle “Techeniye” (lit. “current”) toward the phenomenon of Stalinism. Despite the political nature of the topic, the authors are aspired to provide an unbiased research. G. Lukács’ views on the theory and practice of Stalinism evolved over time. In the 1920s Lukács welcomes the idea of creation of socialism in one country and abandons the former revolutionary ideas expressed in his book History and Class Consciousness. This turn is grounded by new interpretation of Hegel as “realistic” thinker whose “realism” was shown in the aspiration to find “reconciliation” with reality (of the Prussian state) and in denial of any utopias. The philosophical evolution leading to “realism” assumes integration of revolutionaries into the hierarchy of existing society. The article “Hölderlin’s Hyperion” represents attempt to justify Stalinism as a necessary and “progressive” phase of revolutionary development of the proletariat. Nevertheless, events of the second half of the 1930s (mass repressions, the peace treaty with Nazi Germany) force Lukács to realize the catastrophic nature of political strategy of Stalinism. In his works, Lukács ceases to analyze political topics and concentrates on problems of aesthetics and literary criticism. However, his aesthetic position allows to reconstruct the changed political views and to understand why he had earned the reputation of the “internal opponent” to Stalinism. After 1956, Lukács turns to political criticism of Stalinism, which nevertheless remains unilateral. He sees in Stalinism a kind of the left sectarianism, the theory and practice of the implementation of civil war measures in the era of peaceful co-existence of two systems.

‘Sovereign Democracy’ and the Politics of Ideology in Putin’s Russia

2020 ◽  
Vol 5 (1) ◽  
pp. 81-104
Author(s):  
Dima Kortukov
Keyword(s):  
Social Contract ◽  
Political Discourse ◽  
Authoritarian Regime ◽  
The Political ◽  
Color Revolutions ◽  
Revolutionary Praxis ◽  
Over Time

Abstract The concept of sovereign democracy dominated the political discourse in Russia in 2006–8 but lost much of its significance since. In this article, I argue that sovereign democracy is best understood as the response of Russia’s authorities to the threats of democratization, following Eurasian color revolutions. I distinguish between three conceptually distinct aspects of sovereign democracy: (1) a social contract (2) a legitimation discourse; and (3) a counter-revolutionary praxis. These dimensions allow us to understand what functions sovereign democracy fulfilled within the framework of Russia’s authoritarian regime and why it lost its prominence over time.

Sign in / Sign up

Export Citation Format

Share Document