scholarly journals Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach

2021 ◽  
Vol 14 (7) ◽  
pp. 329
Author(s):  
Huthaifa Alqaralleh ◽  
Alessandra Canepa
Keyword(s):  
Stock Market ◽  
Empirical Analysis ◽  
Strong Evidence ◽  
Stock Markets ◽  
Market Returns ◽  
Health Crisis ◽  
Stock Market Returns ◽  
Market Linkages ◽  
Long Run ◽  
Market Contagion

In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between stock market returns at higher frequencies with contagion, whereas changes at lower frequencies are associated with interdependence that relates to spillovers of shocks resulting from the normal interdependence between markets. An empirical analysis undertaken on six major stock markets reveals evidence of long-run interdependence between the markets under consideration before the start of the COVID-19 pandemic in December 2019. However, after the health crisis began, strong evidence of pure contagion among stock markets was detected.

Are there Monthly and Turn-of-the-Month Effects in Indian Stock Market?: Evidence and Implications

Paradigm ◽  
2007 ◽  
Vol 11 (2) ◽  
pp. 16-22 ◽  
Author(s):  
Deepa Mangala ◽  
S.K. Sharma
Keyword(s):  
Stock Market ◽  
Strong Evidence ◽  
Stock Markets ◽  
Major Part ◽  
Market Returns ◽  
Stock Market Returns ◽  
International Stock Markets ◽  
Indian Stock Market ◽  
Daily Returns

The seasonal components of stock market returns have been extensively documented, yet the major part remains unexplained. The monthly effect has been reported in several international stock markets. The objective of this paper is to examine the existence of monthly effect and turn-of-the-month effect in Indian stock market by using S&P CNX Nifty index over the period from January 1994 to April 2005. The results reveal significantly high mean daily returns for days immediately before and during the first half of the month, especially, during the first few trading days of the month and indistinguishable from zero or even negative mean returns for the second half and the rest of the month. Turn-of-the-month is marked by abnormally high returns. This gives a strong evidence of existence of monthly effect and turn-of-the-month effect in Indian stock market.

Are there Monthly and Turn-of-the-Month Effects in Indian Stock Market?: Evidence and Implications

Paradigm ◽  
2007 ◽  
Vol 11 (2) ◽  
pp. 9-15
Author(s):  
Deepa Mangala ◽  
S.K. Sharma
Keyword(s):  
Stock Market ◽  
Strong Evidence ◽  
Stock Markets ◽  
Major Part ◽  
Market Returns ◽  
Stock Market Returns ◽  
International Stock Markets ◽  
Indian Stock Market ◽  
Daily Returns

The seasonal components of stock market returns have been extensively documented, yet the major part remains unexplained. The monthly effect has been reported in several international stock markets. The objective of this paper is to examine the existence of monthly effect and turn-of-the-month effect in Indian stock market by using S&P CNX Nifty index over the period from January 1994 to April 2005. The results reveal significantly high mean daily returns for days immediately before and during the first half of the month, especially, during the first few trading days of the month and indistinguishable from zero or even negative mean returns for the second half and the rest of the month. Turn-of-the-month is marked by abnormally high returns. This gives a strong evidence of existence of monthly effect and turn-of-the-month effect in Indian stock market.

scholarly journals RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND EXCHANGERATES IN EMERGING STOCK MARKETS

IKONOMIKA ◽  
2017 ◽  
Vol 1 (2) ◽  
pp. 131
Author(s):  
M.N. Arshad ◽  
M.H. Yahya
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Markets ◽  
Market Returns ◽  
Stock Market Returns ◽  
Emerging Stock Markets ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

Abstract-This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007) and second, after (2008-2012) the financial crisis of 2008. Johansen-Juselius (JJ). Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM) indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient.

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.

scholarly journals Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

2020 ◽  
Author(s):  
Nenavath Sre ◽  
Suresh Naik
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Inflation Rate ◽  
Market Returns ◽  
Stock Market Returns ◽  
Positive Effects ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

scholarly journals Financial contagion and 2016 oil crisis: a factor analysis

2020 ◽  
Author(s):  
Turki Maya
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Principal Component ◽  
Financial Contagion ◽  
Market Returns ◽  
Component Structure ◽  
Stock Market Returns ◽  
Oil Crisis ◽  
Market Indexes ◽  
Variance Explained

<p>The paper tries to answer the following question: could the 2016 oil price crisis generate financial contagion among stock markets? </p> <p>The study period is composed of two sub-periods; a quiet one from 3/01/2012 to 01/08/2014 and turbulent one from 04/08/2014 to 25/05/2016. Raw data consists of daily international stock market indexes prices. The co-movements of the stock market returns are analyzed through a principal component analysis (PCA).</p> <p>The results revealed that the <em>KMO</em> index (Kaiser-Mayer-Olkin) is higher during the turbulent period than during the quiet one and that the proportion of variance explained by the first component during the turbulent period reached 35% while during the quiet one it represented only 26,7%.Regarding the component structure, for the turbulent period, three factors are able to explain the stock markets indexes movements while for the quiet period four factors are required. </p> <p>The findings give more credit to the thesis supporting the linkage between cross correlation and financial contagion and classify the 2016 oil crisis, as just a coupling episode and not an extreme one.</p>

Stock Market Responses to Monetary and Fiscal Policies

2022 ◽  
pp. 266-282
Author(s):  
Elif Erer ◽  
Deniz Erer
Keyword(s):  
Stock Market ◽  
Fiscal Policies ◽  
Market Returns ◽  
Monetary Policies ◽  
Stock Market Returns ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
Effect Hypothesis ◽  
Positive Effect

This study analyzes the short-run and long-run effects of interaction between fiscal and monetary policies on stock market performance in four emerging Asian economies, which are China, India, Indonesia, and Malaysia, by using ARDL model. The study covers the period of 2003:Q1-2020:Q1. The findings from this study show monetary and fiscal policies play an important role in determining stock market returns. Also, the results theoretically support Richardian neutrality hypothesis for China and Indonesia, Keynesian positive effect hypothesis for India, and classical crowding out effect hypothesis for Malaysia, and interest channel of monetary transmission mechanism only for China.

A GARCH Modelling of Volatility and M-GARCH Approach of Stock Market Linkages of North America

2018 ◽  
Vol 19 (6) ◽  
pp. 1538-1553 ◽  
Author(s):  
Ajaya Kumar Panda ◽  
Swagatika Nanda
Keyword(s):  
North America ◽  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Return Volatility ◽  
Sample Period ◽  
Market Returns ◽  
Stock Market Returns ◽  
Current Period ◽  
Highly Sensitive

The present study attempts to capture the return volatility and the extent of dynamic conditional correlation between the stock markets of North America region. The data contain weekly stock market returns spanning from the second week of 1995 to the fourth week of June 2016. Using univariate ARCH and GARCH approaches, the study finds evidence of return volatility and its persistence within the region. Mexican stock market neither reacts intensely to immediate market fluctuations nor the part of the realized past volatility spill over to the current period, whereas the stock markets of Canada and USA experience high persistence of return volatility and Bermuda stock market returns are highly sensitive to the immediate market fluctuations. Using MGARCH-DCC, this article finds that emerging markets are less linked to the developed market in terms of return and that there also exists a weak co-movement between the stock markets. There is no evidence of market integration throughout the sample period. Correlations tend to spread out equally throughout the sample period, but the co-variances were found to be more volatile during 2008–2010. This article reveals that changes in co-movement are not due to a change in the correlations between markets but is simply due to volatility.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 ◽  
Vol 9 (4) ◽  
pp. 1
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Volatility ◽  
Future Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Us ◽  
The World ◽  
The Impact ◽  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

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.

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