scholarly journals The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis

2021 ◽  
Vol 14 (4) ◽  
pp. 175
Author(s):  
Samet Gunay ◽  
Walid Bakry ◽  
Somar Al-Mohamad
Keyword(s):  
Information Technology ◽  
Real Estate ◽  
Stock Market ◽  
Regime Switching ◽  
Structural Breaks ◽  
Positive Impact ◽  
Financial Contagion ◽  
Chinese Stock Market ◽  
Switching Regression ◽  
The Impact

In this study, we investigated the impact of the first wave of the COVID-19 pandemic on various sectors of the Australian stock market. Market capitalization and equally weighted indices were formed for eleven Australian sectors to examine the influence of the pandemic on them. First, we examined the financial contagion between the Chinese stock market and Australian sector indices through the dynamic conditional correlation fractionally integrated generalized autoregressive conditional heteroskedasticity (DCC-FIGARCH) model. We found high time-varying correlations between the Chinese stock market and most of the Australian sector indices, with the financial, health care, information technology, and utility sectors displaying a decrease in co-movements during the pandemic. The Modified Iterative Cumulative Sum of Squares (MICSS) analysis results indicated the presence of structural breaks in the volatilities of most of the sector indices around the end of February 2020, but consumer staples, industry, information technology and real estate indices did not display any break. Markov regime-switching regression analysis depicted that the pandemic has mainly affected three sectors: consumer staples, industry, and real estate. When we considered the firm size, we found that smaller companies in the energy sector exhibited gradual deterioration, whereas small firms in the consumer staples sector experienced the largest positive impact from the pandemic.

Impact of the OMRR Operation in Fighting the Adverse Effects of COVID-19 on the Chinese Stock Market: An Event Study

2021 ◽  
Vol 16 (3) ◽  
pp. 495-520
Author(s):  
Lin Guo ◽  
◽  
Xufei Zhang ◽  
Songlei Chao ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Return ◽  
Fiscal Policies ◽  
Chinese Stock Market ◽  
Open Market ◽  
Monetary Policies ◽  
Technology Industry ◽  
The Impact ◽  
China’S Economy

The outbreak of the COVID-19 epidemic has had an adverse effect on China's economy. This paper uses the event study method to test and measure the impact of the open market reverse repo (OMRR) operation on the Chinese stock market. The results show that the OMRR operation generates a positive daily abnormal return and a positive daily cumulative abnormal return on average for all stocks. The impact is larger for non-state-owned enterprise (non-SOE) firms than for SOE firms, stocks of non-Hubei provinces than those of the Hubei province, and for stocks of the information transmission and technology industry than those of other industries. We suggest that our government implement more prudent monetary policies and more proactive fiscal policies.

Capital and credit constraints in the engagement of youth in Ghanaian agriculture

2019 ◽  
Vol 80 (1) ◽  
pp. 22-37 ◽  
Author(s):  
Martinson Ankrah Twumasi ◽  
Yuansheng Jiang ◽  
Monica Owusu Acheampong
Keyword(s):  
Positive Impact ◽  
Credit Constraints ◽  
Rural Youth ◽  
Unique Contribution ◽  
Switching Regression ◽  
Credit Constraint ◽  
Data Set ◽  
Content Type ◽  
Application Procedure ◽  
The Impact

Purpose The purpose of this paper is to determine the factors influencing rural youth farmers’ credit constraints status and the effect of credit constraint on the intensity of participation of these farmers in Ghana. Design/methodology/approach The econometric estimation is based on cross-sectional data collected in 2018 from the Brong Ahafo region in Ghana. The sample data set consists of 450 rural youth farmers. The collected data were analyzed through different econometric techniques, using the endogenous switching regression model (ERSM). Findings The direct elicitation approach employed in this study revealed that out of the 450 farmers, 211 (47 percent) of the respondents were credit constrained compared to 239 (53 percent) of their counterparts who were unconstrained. The ERSM indicated that youth farmers education, age, savings, parents occupation reduced the probability of the rural youth farmer to be credit constrained but cumbersome loan application procedure and loan disbursement time positively affect credit constraint. Moreover, farmers that are credit constrained have lower intensity of participation in agriculture activities than a random farmer from the sample. This suggests that access to credit has a positive impact on the intensity of participation in agriculture activities. Research limitations/implications In this study, only rural youth farmers in a particular region were considered. However, there are youths all over the nation. Therefore, future researchers could consider other youth’s farmers elsewhere in the country. Originality/value Although existing studies have examined rural youth farmers’ participation in agriculture and credit constraint separately, the unique contribution of this paper is the analysis of credit constraint of rural youth farmers as well as the impact of credit constraint on the intensity of participation in agriculture activities.

scholarly journals Financial contagion: The impact of the volatility of global stock exchanges on the Lima-Peru Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 13-27
Author(s):  
Pedro Pablo Chambi Condori
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Exchange ◽  
Market Volatility ◽  
Financial Contagion ◽  
Stock Market Volatility ◽  
Important Indicator ◽  
Dynamic Correlation ◽  
High Volatility ◽  
The Impact

What happens in the international financial markets in terms of volatility, have an impact on the results of the local stock market financial markets, as a result of the spread and transmission of larger stock market volatility to smaller markets such as the Peruvian, assertion that goes in accordance with the results obtained in the study in reference. The statistical evaluation of econometric models, suggest that the model obtained can be used for forecasting volatility expected in the very short term, very important estimates for agents involved, because these models can contribute to properly align the attitude to be adopted in certain circumstances of high volatility, for example in the input, output, refuge or permanence in the markets and also in the selection of best steps and in the structuring of the portfolio of investment with equity and additionally you can view through the correlation on which markets is can or not act and consequently the best results of profitability in the equity markets. This work comprises four well-defined sections; a brief history of the financial volatility of the last 15 years, a tight summary of the background and a dense summary of the methodology used in the process of the study, exposure of the results obtained and the declaration of the main conclusions which led us mention research, which allows writing, evidence of transmission and spread of the larger stock markets toward the Peruvian stock market volatility, as in the case of the American market to the market Peruvian stock market with the coefficient of dynamic correlation of 0.32, followed by the Spanish market and the market of China. Additionally, the coefficient of interrelation found by means of the model dcc mgarch is a very important indicator in the structure of portfolios of investment with instruments that they quote on the financial global markets.

scholarly journals The Impact of COVID-19 on the Dependence of Chinese Stock Market

2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Xianbo Wu ◽  
Xiaofeng Hui
Keyword(s):  
Stock Market ◽  
Strong Dependence ◽  
Sliding Window ◽  
Dependence Structure ◽  
Chinese Stock Market ◽  
Telecommunication Services ◽  
Window Method ◽  
Dependence Relationship ◽  
Stock Indexes ◽  
The Impact

By calculating the mutual information of stock indexes of 10 primary industry sectors in China, this paper analyzes the dependence relationship among Chinese stock sectors during the COVID-19 and the dynamic evolution of the relationship by using the sliding window method. According to the actual situation of the development of COVID-19 in China, the samples were divided into three stages, namely, calm period, pandemic period, and post-pandemic period. The results show that the dependence relationship among Chinese stock sectors is significantly enhanced in the pandemic period, but it decreases in the post-pandemic period and the dependence structure is similar to that in the calm period. The industrials sector is most closely connected with other sectors in the pandemic period. The information technology sector and telecommunication services sector maintain strong dependence in the three periods and share little contact with other sectors. In the pandemic period, the dependence between the consumer staples sector and other sectors is significantly enhanced, and consumer staples sector and health care sector maintain a strong dependence. From the results of the sliding window, the Chinese stock market is sensitive to the impact of COVID-19, but the duration of the impact on the dependence among the stock sectors is not long.

scholarly journals A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

2018 ◽  
Vol 22 (3) ◽  
Author(s):  
Markus Haas ◽  
Ji-Chun Liu
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Regime Switching ◽  
Markov Switching ◽  
Garch Model ◽  
Equity Returns ◽  
Out Of Sample ◽  
High Volatility ◽  
Simple Recursion ◽  
Global Stock

AbstractWe consider a multivariate Markov-switching GARCH model which allows for regime-specific volatility dynamics, leverage effects, and correlation structures. Conditions for stationarity and expressions for the moments of the process are derived. A Lagrange Multiplier test against misspecification of the within-regime correlation dynamics is proposed, and a simple recursion for multi-step-ahead conditional covariance matrices is deduced. We use this methodology to model the dynamics of the joint distribution of global stock market and real estate equity returns. The empirical analysis highlights the importance of the conditional distribution in Markov-switching time series models. Specifications with Student’stinnovations dominate their Gaussian counterparts both in- and out-of-sample. The dominating specification appears to be a two-regime Student’stprocess with correlations which are higher in the turbulent (high-volatility) regime.

scholarly journals Analysis on the Impact of Short-Term International Capital Flows on Chinese Stock Market on the Basis of VAR Model

2018 ◽  
Vol 10 (8) ◽  
pp. 77
Author(s):  
Ning Wu
Keyword(s):  
Stock Market ◽  
Capital Flows ◽  
Composite Index ◽  
International Capital Flows ◽  
Capital Inflows ◽  
Var Model ◽  
Chinese Stock Market ◽  
International Capital ◽  
Short Term ◽  
The Impact

With the continuous development of global economic integration and financial markets, international capital flows more and more frequently, the frequent flow of international capital will inevitably affect the yield of Chinese stock market. This article uses short-term international capital inflows SS and Shanghai composite index R as research objects. Based on monthly data from January 2002 to October 2017, VAR model was constructed using Eviews8.0 to study the impact of short-term international capital flows on Chinese stock market. Empirical studies have found that short-term international capital flow is the granger cause of changes in the Shanghai composite index yield, while the yield of Chinese stock market will not affect short-term international capital flows. At the end of this paper, relevant suggestions are put forward according to the conclusions.

Stock prices' long memory in China and the United States

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhengxun Tan ◽  
Yao Fu ◽  
Hong Cheng ◽  
Juan Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Markets ◽  
Information Disclosure ◽  
Structural Breaks ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Chinese Stock Market ◽  
Content Type

PurposeThis study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.Design/methodology/approachThe authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.FindingsChina's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.Originality/valueThe authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.

scholarly journals Liquidity in global real estate securities markets

2016 ◽  
Vol 34 (4) ◽  
pp. 321-346 ◽  
Author(s):  
Nicole Lux ◽  
Alex Moss
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Market Liquidity ◽  
Company Size ◽  
Small Companies ◽  
Stock Performance ◽  
Content Type ◽  
The Usa ◽  
Market Capitalisation ◽  
The Impact

Purpose – The purpose of this paper is to test the relationship between liquidity in listed real estate markets, company size and geography during different market cycles, specifically pre-crisis (2002-2006) and post-crisis (2010-2014). Further, the study analyses the impact of stock liquidity on stock performance. In a previous study the authors examined the impact of liquidity on the valuation of European real estate shares. The result showed that there is a strong relationship between liquidity, valuation and market capitalisation post the Global Financial Crisis. Design/methodology/approach – The paper studies the linkages between regional market liquidity and company size for 60 listed real estate companies globally and determines the key drivers of company stock market liquidity pre- and post-crisis as well as the impact on stock performance. Analysis of variance is used to test cross-sectional independence in market liquidity combined with the Tukey’s post hoc test. The selected test indicators of liquidity to capture market depth and market tightness are daily stock turnover as percentage of market capitalisation and daily bid-ask spreads. Findings – Findings confirm previous studies that market liquidity factors are correlated globally over time indicating markets interdependence. However, sample groups by company size and geography form independent samples with different sample means, thus specific liquidity levels in each market may be different. First, stock turnover levels have not recovered post-crisis to pre-crisis levels in the majority of markets while spreads have continued moving downward to nearly insignificant levels in line with the rest of the equity market. Second, with regards to stock performance, the European bias previously detected is not apparent in the USA, and there is no evidence of the small cap vs large cap effect of small companies achieving superior returns, although smaller companies have outperformed in Europe and Asia in each of the last three years (2012-2014). Practical implications – The key implication is that although spread levels for smaller companies are higher, implying a slight risk premium when investing in small companies, this did not manifest into consistent superior stock market returns in the periods studied. In a mature market such as the USA or UK, liquidity levels in terms of stock turnover are higher and spreads are lower thus reducing trading costs, making them more attractive for investors. Originality/value – This research brings together previous analysis on stock market liquidity and stock performance on a global market level. It further tests the dependence of market liquidity on two key indicators, namely, geography and company size and analyses market changes with respect to liquidity pre- and post-crisis.

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