scholarly journals The Effect of Covid-19 Pandemic on Large-cap Stocks in Malaysia

2021 ◽  
Vol 7 (2) ◽  
pp. 8-14
Author(s):  
Asmah Mohd Jaapar ◽  
Nurhatiah Ahmad Chukari ◽  
Siti Nurin Salwa Tarmizi
Keyword(s):  
Stock Market ◽  
Regression Model ◽  
Stock Returns ◽  
Stock Markets ◽  
Panel Regression ◽  
Small Impact ◽  
The Impact ◽  
Death Cases

Covid-19 that emerged in Wuhan, China and spread to Malaysia starting from 25th January 2020 has changed people’s lives and impacted the world’s economy, including the stock markets. The study investigates the impact of the Covid-19 pandemic on the stock returns in Malaysia by using a sample of thirty (30) constituents of FBM KLCI. The study utilises Malaysia’s daily Covid-19 new cases, death cases, cumulative cases, and cumulative death cases, as well as Singapore new cases and death cases. The impact is observed from 31st December 2019 until 9th June 2020 using the panel regression model. The results show a significant positive but small impact of Covid-19 variables on the stocks’ returns except for Singapore daily cases and death cases, which were negative. The study also identifies that the Malaysian stock market is more sensitive to Covid-19 local death cases during the pandemic.

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

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.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Herding behavior in Islamic GCC stock market: a daily analysis

2018 ◽  
Vol 11 (2) ◽  
pp. 182-193 ◽  
Author(s):  
Mustapha Chaffai ◽  
Imed Medhioub
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Financial Markets ◽  
Stock Returns ◽  
Stock Markets ◽  
Content Type ◽  
Quantile Regression Analysis ◽  
Herd Behaviour ◽  
The Impact ◽  
Quantile Regression Method

Purpose This paper aims to examine the presence of herd behaviour in the Islamic Gulf Cooperation Council (GCC) stock markets following the methodology given by Chiang and Zheng (2010). Generalized auto regressive conditional heteroskedasticity (GARCH)-type models and quantile regression analysis are used and applied to daily data ranging from 3 January 2010 to 28 July 2016. Results show evidence of herd behaviour in the GCC stock markets. When the data are divided into down and up market periods, herd information is found to be statistically significant and negative during upward market periods only. These results are similar to those reported in some emerging markets such as China, Japan and Hong Kong, where stock returns perform more similarly during down market periods and differently during rising markets. Design/methodology/approach The authors present a brief literature on herd behaviour. Second, the authors provide some specificity of the GCC Islamic stock market, followed by the presentation of the methodology and the data, results and their interpretation. Findings The authors take into account the difference existing in market conditions and find evidence of herding behaviour during rising markets only for GCC markets. This result was confirmed after using the quantile regression method, as evidence of herding was observed only in highly extreme periods. Stock returns perform more similarly when market is down in Islamic GCC stock market. Research limitations/implications The research limitation consists in the fact that this work can be extended to compare the GCC stock markets with other markets in Asia such as Malaysia and Indonesia. Practical implications The principal implication consists in the fact that herding behaviour is limited in the GCC markets and Islamic finance can have an important contribution to moderate the behaviour in the financial markets. Social implications The work focusses on the role of ethics in the financial markets and their ability to reduce the impact of behavioural biases. Originality/value The paper studies the behaviour of investors in the Islamic financial markets and gives an idea about the importance of the behaviour in this particular market regarding its characteristics.

scholarly journals THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA

2017 ◽  
Vol 20 (2) ◽  
pp. 229-256
Author(s):  
Linda Karlina Sari ◽  
Noer Azam Achsani ◽  
Bagus Sartono
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Return ◽  
Global Financial Crisis ◽  
Symmetric Model ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Volatility Transmission ◽  
The Impact

Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience financial instability as well (Liu et al., 1998). This paper aims to determine the best model to describe the volatility of stock returns, to identify asymmetric effect of such volatility, as well as to explore the transmission of stocks return volatilities in seven countries to Indonesia’s stock market over the period 1990-2016, on a daily basis. Modeling of stock return volatility uses symmetric and asymmetric GARCH, while analysis of stock return volatility transmission utilizes Vector Autoregressive system. This study found that the asymmetric model of GARCH, resulted from fitting the right model for all seven stock markets, provides a better estimation in portraying stock return volatility than symmetric model. Moreover, the model can reveal the presence of asymmetric effects on those seven stock markets. Other finding shows that Hong Kong and Singapore markets play dominant roles in influencing volatility return of Indonesia’s stock market. In addition, the degree of interdependence between Indonesia’s and foreign stock market increased substantially after the 2007 global financial crisis, as indicated by a drastic increase of the impact of stock return volatilities in the US and UK market on the volatility of Indonesia’s stock return.

scholarly journals Stock returns and liquidity risk in Chile

2019 ◽  
Vol 17 (2) ◽  
Author(s):  
Francisco Javier Vásquez-Tejos ◽  
Hernán Pape-Larre ◽  
Juan Martín Ireta-Sánchez
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Regression Model ◽  
Stock Returns ◽  
Multiple Regression ◽  
Risk Measures ◽  
Liquidity Risk ◽  
Multiple Regression Model ◽  
Developed Markets ◽  
The Impact

This study analyzes the impact of liquidity risk on the return of shares in the Chilean stock market, during the period from January 2000 to July 2018. A large number of studies have focused on measuring this effect in developed markets and few in emerging markets, especially the Chilean one. To do this, we used 6 risk measures in a multiple regression model; four widely used in previous studies and two new proposed measures. We found evidence of the significance of the liquidity risk over the stock return.RESUMENEste estudio analiza el impacto del riesgo de liquidez sobre el retorno de las acciones en el mercado bursátil chileno, durante el periodo de enero de 2000 hasta julio de 2018. Gran cantidad de estudios se han centrado en medir este efecto en los mercados desarrollados y pocos en mercados emergentes, especialmente el chileno. Para ello, se utilizó un modelo de regresión múltiple 6 medidas de riesgo; cuatro utilizadas ampliamente en estudios anteriores y dos medidas nuevas propuestas. Encontramos evidencia de significancia del riesgo de liquidez sobre el retorno accionario.RESUMOEste estudo analisa o impacto do risco de liquidez no retorno das ações no mercado de ações chileno, durante o período de janeiro de 2000 a julho de 2018. Muitos estudos têm se concentrado em medir este efeito em mercados desenvolvidos e poucos nos mercados emergentes, especialmente o chileno. Para isso, utilizamos 6 medidas de risco em um modelo de regressão múltipla; quatro amplamente utilizados em estudos anteriores e duas novas medidas propostas. Encontramos evidências da significância do risco de liquidez sobre o retorno das ações.  

Effects of MILA on their stock markets: an empirical analysis on market activity and dynamic correlations

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jorge Andrés Muñoz Mendoza ◽  
Sandra María Sepúlveda Yelpo ◽  
Carmen Lissette Velosos Ramos ◽  
Carlos Leandro Delgado Fuentealba
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Regime Switching ◽  
Series Data ◽  
Integration Process ◽  
Content Type ◽  
Market Activity ◽  
Dynamic Correlations ◽  
The Impact

PurposeThe purpose of this article is to analyze the effects of the integration process for the Integrated Market of Latin America (MILA) on its stock markets behavior as well as their degree of integration.Design/methodology/approachDaily time series data were used for stock returns, volatility, volume and the number of transactions and securities between August 16, 2007 and December 28, 2018. A DCC-MGARCH model was applied to analyze the impact of MILA on stock market behavior and predict dynamic correlations. A GARCH (1,1) model was used to determine the effect of MILA on co-movements between markets. Finally, a Markov regime switching model was used for robustness analysis.FindingsMILA increased stock market activity in terms of volume, transactions and securities traded. However, it reduced returns and volatility. MILA had significant effects on the dynamic correlations between regional stock markets. After the integration process, the dynamic correlations of returns and volatility were reduced, but those related to volume, transactions and securities traded increased. Mexico's subsequent entry into MILA further reduced market volatility, but it did not have relevant effects on markets' co-movements.Originality/valueThese results are relevant for investors and policymakers. MILA has benefited the markets by promoting stock market activity, reducing risk, creating a margin for diversification and limiting risk contagion between them. These results help to guide investment decisions due to the fact that MILA's benefits in terms of regional diversification would be greater in some markets.

The Effect of Covid-19 Pandemic on Stock Returns: An Evidence of Indonesia Stock Exchange

2021 ◽  
Vol 4 (1) ◽  
pp. 28-37
Author(s):  
Ajeng Mugiarni ◽  
Permata Wulandari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Daily Growth ◽  
Daily Data ◽  
Panel Data Regression ◽  
Data Regression ◽  
Health Related ◽  
The Impact ◽  
Death Cases

The pandemic Covid-19 caused panic not only in health sectors but also weakened the world’s economy. The stock market, as one of the barometers of the economy, was hit by the pandemic Covid-19. The impact of Covid-19 on the stock market provides a signal for investors. Stock returns are what investors look for when investing in stocks. Returns on the stock exchange respond to several events, one of which is the news about health related to the Covid-19 pandemic. This study aims to seek whether the Covid-19 outbreak affects stock returns in Indonesia Stock Exchange. Using daily data of Covid-19 confirmed case, daily data of Covid-19 death cases, and stock returns data in Indonesia from January 2, 2020, to December 31, 2020. The panel-data regression model is used to estimate the result of the study. This study shows that stock returns in Indonesia Stock Exchange respond negatively significantly as the number of confirmed cases increases also stock returns in Indonesia respond negatively significantly to the daily growth of death cases. This study also finds that stock return in consumer goods and basic chemical industry were the impacted industries caused by pandemic Covid-19. Empirical findings could be used for the practitioner to consider investing in the stock market to avoid the significant impact of such outbreaks in the future.

Is stock market in Sub-Saharan Africa resilient to health shocks?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Terver Kumeka ◽  
Patricia Ajayi ◽  
Oluwatosin Adeniyi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Returns ◽  
Stock Markets ◽  
Commodity Markets ◽  
The Other ◽  
Content Type ◽  
Exogenous Shocks ◽  
The Impact

Purpose This paper aims to examine the impact of health and other exogenous shocks on stock markets in Africa. Particularly, the authors examined the resilience of the major stock markets in 12 African economies during the recent global pandemic. Design/methodology/approach This paper uses the recent panel vector autoregressive model, which enables us to capture the response of stock markets to shocks in COVID-19, commodity markets and exchange rate. For robustness, the authors also analysed the panel Granger causality test. Data was obtained for the period ranging from 2 January 2020 to 31 December 2020. Findings The results show that the growth in COVID-19 cases and deaths do not have any substantial impact on the stock market returns of these economies. In terms of commodity markets, the authors find that gold price has a negative contemporaneous effect on stock returns, but the effect fizzles out around the fifth day while crude oil price, on the other hand, has a significant positive simult aneous impact on stock returns and also converges around the fifth day. The authors further find that the exchange rate has a contemporaneous and nonlinear effect on stock returns and seems to be more dramatic when compared with the other variables. Overall, the results show that stock markets in Africa appear to be flexible and resilient against the COVID-19 outbreak but are affected by other exogenous shocks such as volatile commodity prices and the foreign exchange market. The effect is, however, short-lived – between one to five days. Practical implications Following the study’s findings, policies should be put in place to support financial markets by way of hedging against commodity instability and securing domestic currency financing. Policymakers are also recommended to concentrate on managing the uncertainties around their exchange rate markets and develop robust and efficient domestic financial markets to encourage local and foreign investors. Originality/value Several studies have been carried out on the effects of disasters (such as the COVID-19 pandemic) on stock markets, but only a few studies have examined the resilience of stock markets to health and other exogenous shocks. This study’s attempt is not only to examine the impact of COVID-19 health shocks on stock markets but also to analyse the resilience of the sampled stock markets. The authors also analyse the resilience of stock markets to commodity markets and exchange rates shocks.

The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets

2018 ◽  
Vol 17 (3_suppl) ◽  
pp. S344-S375
Author(s):  
Thai-Ha Le ◽  
Donghyun Park ◽  
Cong-Phu-Khanh Tran ◽  
Binh Tran-Nam
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Jel Classification ◽  
Daily Data ◽  
Stock Market Performance ◽  
Paracel Islands ◽  
Overall Performance ◽  
Oil Rig ◽  
The Impact

This study examines the extent to which the Hai Yang Shi You 981 (HD-981) event, the sudden deployment of a Chinese oil rig in disputed territorial waters near Paracel Islands in May 2014, affected the stock market performance of 20 sectors of the Vietnamese economy. The impact was measured in terms of stock returns, using daily data on stock market indices. The results strongly indicate that the HD-981 event significantly and negatively affected the overall performance of Vietnam’s stock markets. There is, however, considerable variation across sectors. While most sectors which are heavily dependent on the economy of China were adversely affected, the impact on some sectors was negligible. By conducting this study on Vietnam’s stock markets, we hope to generate implications and lessons for other emerging markets in the region. JEL Classification: G1, G14, C58

scholarly journals The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model

ETIKONOMI ◽  
2021 ◽  
Vol 20 (2) ◽  
pp. 225-238
Author(s):  
Noreen Khalid ◽  
Raja Fawad Zafar ◽  
Qasim Raza Syed ◽  
Roni Bhowmik
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Regression Model ◽  
Stock Returns ◽  
Market Returns ◽  
Stock Market Returns ◽  
Quantile Regression Model ◽  
Heterogeneous Effects ◽  
Panel Quantile Regression ◽  
The Impact

The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.

Sign in / Sign up

Export Citation Format

Share Document