scholarly journals Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case

Mathematics ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 6
Author(s):  
Francisco Jareño ◽  
Ana Escribano ◽  
Monika W. Koczar
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Explanatory Power ◽  
Chinese Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Distributed Lag ◽  
Non Linear ◽  
The Impact

This research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the American (S&P 500) and the Chinese (SSE Composite) stock markets. In addition, this research focuses on the impact of the stage of the economy on these interdependencies, in concrete, on the influence of the 2008 Global Financial Crisis. To that end, we use a nonlinear autoregressive distributed lag (NARDL) approach in the sample period between January 1998 to December 2018. Our results show positive interdependencies between the Polish and the Spanish stock markets with the international reference stock markets analyzed in this research, as well as significant long-run relations between most of the stock markets. Furthermore, the Polish and the Spanish stock market returns may similarly react to positive and negative changes in international stock market returns, evidencing strong short-run asymmetry. In addition, both countries show great persistence in response to both positive and negative changes in stock market returns in the other mayor international markets. Finally, the NARDL model proposed in this research would show good explanatory power, mainly to changes in the international stock market returns, except for the Chinese market.

scholarly journals GARCH (1,1) Models and Analysis of Stock Market Turmoil during COVID-19 Outbreak in an Emerging and Developed Economy

2021 ◽  
Vol 14 (12) ◽  
pp. 576
Author(s):  
Budi Setiawan ◽  
Marwa Ben Abdallah ◽  
Maria Fekete-Farkas ◽  
Robert Jeyakumar Nathan ◽  
Zoltan Zeman
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Global Financial Crisis ◽  
The Impact

COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The pandemic has caused volatilities in the financial market at varying magnitudes, in the emerging versus developed economy. To examine this phenomenon, this study investigates the impact of COVID-19 pandemic on stock market returns and volatility in an emerging economy, i.e., Indonesia, versus developed country, i.e., Hungary, using an event-study approach methodology utilizing GARCH (1,1) model. In this study, the Jakarta Composite Index (JCI) and the b (BUX) data were obtained from Investing and Bloomberg, covering two global events observed within the selected period from 27 September 2006 to 31 August 2021. The data is compared with the stock market volatility data from the global financial crisis in 2007/08. Findings reveal that the recent COVID-19 pandemic had negative stock market returns at a greater magnitude compared to the global financial crisis, in both the emerging and developed economy’s equity market. Stock markets in Indonesia and Hungary have experienced volatility during the crisis. While comparing the result between COVID-19 and the global financial crisis, we found that the volatility on the stock markets is higher in the COVID-19 pandemic than during the global financial crisis. The higher stock market negative returns and volatility during the COVID-19 pandemic triggered the lockdown and limited economic activities, which impacted supply and demand shock. The virus’s propagation and mutation are continually evolving, reminding us that the pandemic is far from over. Developed countries with larger fiscal space seem to find it easier to make responsive policies than countries with a tighter financial budget. Fiscal and monetary policies seem to be a quick solution to stabilize the economy and maintain investor confidence in the Indonesian and Hungarian capital markets. Furthermore, the extension of stock market volatility understanding ensures relevant information for investors, which benefits to mitigate the risk and build sustainable investments of the unprecedented events and enables the promotion of Sustainable Development Goal number 8 (SDG8) to communities, with access to financial products including the stock market, especially during economic and financial uncertainties.

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 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.

scholarly journals The Impact of Covid-19 Spread on Stock Markets: The Case of the GCC Countries

2020 ◽  
Vol 13 (11) ◽  
pp. 16
Author(s):  
Nader Alber ◽  
Amr Saleh
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Stock Market Return ◽  
Gcc Countries ◽  
Developed Stock Markets ◽  
The Impact

This paper attempts to investigate the effects of 2020 Covid-19 world-wide spread on stock markets of GCC countries. Coronavirus spread has been measured by cumulative cases, new cases, cumulative deaths and new deaths. Coronavirus spread has been measured by numbers per million of population, while stock market return is measured by Δ in stock market index. Papers conducted in this topic tend to analyze Coronavirus spread in the highly infected countries and focus on the developed stock markets. Countries with low level of infection that have emerging financial markets seem to be less attractive to scholars concerning with Coronavirus spread on stock markets. This is why we try to investigate the GCC stock markets reaction to Covid-19 spread.   Findings show that there are significant differences among stock market indices during the research period. Besides, stock market returns seem to be sensitive to Coronavirus new deaths. Moreover, this has been confirmed for March without any evidence about these effects during April and May 2020.

Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?

2009 ◽  
pp. 145-180
Author(s):  
Oreste Napolitano
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Markets ◽  
Asymmetric Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Fully Integrated ◽  
Markov Switching Models ◽  
Dynamic Relationship ◽  
The Impact

This paper explore, using Markov switching models, the dynamic relationship between stock market returns and the monetary policy innovation in 11 EUM countries and, for five of them, at each single industry portfolios. It also investigates the possibility of asymmetric effects of the ECB decision when stock markets are not fully integrated. The findings indicate that there is statistically significant relationship between policy innovations and stock markets returns. The findings from country size and industry portfolios indicate that monetary policy has larger asymmetric effect on the industry portfolios of big countries (Italy, France and Germany) compared to the same sectors of small countries (Netherlands and Belgium).

scholarly journals The The Impact of the Exchange Rate Volatility on Stock Markets Dynamics in Tunisia and Turkey: An Artificial Neural Network Analysis

2021 ◽  
pp. 1-21
Author(s):  
Nesrine Mechri ◽  
Christian De Peretti ◽  
Salah BEN HAMAD
Keyword(s):  
Neural Network ◽  
Artificial Neural Network ◽  
Exchange Rate ◽  
Stock Market ◽  
Multiple Regression ◽  
Stock Markets ◽  
Exchange Rate Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

The present research provides an overview of links between exchange rate volatility and the dynamics of stock market returns in order to identify the influence of several macroeconomic variables on the volatility of stock markets, useful for political decision makers as well as investors to better control the portfolio risk level. More precisely, this research aims to identify the impact of exchange rate volatility on the fluctuations of stock market returns, considering two countries that belong to the Middle East and North Africa (MENA) zone: Tunisia and Turkey. Previous works in the literature used very specified and short periods of study, many important variables were neglected, and most of the earlier research was concentrated on the developed countries. In this research, we integrate several control variables of stock market returns that have not been simultaneously studied before. In addition, we spread out our research period up to 15 years including many events and dynamics. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and multiple regression models are first employed. Then, an Artificial Neural Network (ANN) is used and compared with the results of the multiple regression. Hence, the results show that for both Tunisia and Turkey, exchange rate volatility has a significant effect on stock market fluctuations.

scholarly journals Impact of Terrorism on Stock Market: A Case of South Asian Stock Markets

2019 ◽  
Vol 5 (2) ◽  
pp. 215-242
Author(s):  
Rehana Kousar ◽  
Zahid Imran ◽  
Qaisar Maqbool Khan ◽  
Haris Khurram
Keyword(s):  
Sri Lanka ◽  
Stock Market ◽  
South Asia ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Negative Effect ◽  
The Impact

The purpose of this study is to examine the impact of terrorism on stock markets of South Asia namely, Karachi Stock Exchange 100 index (Pakistan), Bombay Stock Exchange (India), Colombo Stock Exchange (Sri Lanka) and Chittagong Stock Exchange (Bangladesh). Monthly panel data has been used for the period of January 2000 to December 2016. Terrorism events happened during the period of 2000 to 2016 have been incorporated to examine the impact of terrorism on stock market returns of South Asia. DCC GARCH through R software is used to analyze the impact of terrorism on stock market returns and to analyze the spillover effect of terrorism in one country and on the stock markets of other countries of South Asia. The results indicate that terrorism has significant and negative effect on stock market returns of Pakistan, India and Bangladesh but insignificant in Sri Lanka. Results also shows that stock markets return of Pakistan, India, and Bangladesh are significant and positively correlated with each other except the Stock market of Sri Lanka.

scholarly journals NATURAL DISASTERS — BLESSINGS IN DISGUISE?

2016 ◽  
Vol 61 (01) ◽  
pp. 1640004 ◽  
Author(s):  
HARDJO KOERNIADI ◽  
CHANDRASEKHAR KRISHNAMURTI ◽  
ALIREZA TOURANI-RAD
Keyword(s):  
Stock Market ◽  
Natural Disasters ◽  
Stock Markets ◽  
Volcanic Eruptions ◽  
Negative Effects ◽  
Market Returns ◽  
Stock Market Returns ◽  
Limited Impact ◽  
The Impact

This study examines the impact of natural disasters on stock market returns and on industries that are likely to be affected by such disasters. We find that different natural disasters have different effects on stock markets and industries. Our evidence suggests that while earthquakes, hurricanes and tornadoes could negatively affect market returns several weeks after the events, other disasters such as floods, tsunamis and volcanic eruptions have limited impact on stock markets. We also find that construction and materials industry is generally positively affected by natural disasters but non-life and travel industries are likely to suffer negative effects.

scholarly journals The Impact of North Korea’s Nuclear Tests on Asian Stock Markets

2021 ◽  
Vol 14 (27) ◽  
pp. 77-90
Author(s):  
Chung BAEK ◽  
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
North Korea ◽  
Stock Return ◽  
Chinese Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Nuclear Tests ◽  
Japanese Stock Market ◽  
The Impact

This study investigates the impact of North Korea’s nuclear tests on Asian stock markets. Two approaches are used separately in order to identify how stock market returns and volatilities change immediately after the nuclear tests. We find that the Chinese stock market tends to be more sensitive to unexpected shocks from North Korea’s nuclear tests than other Asian stock markets. However, relatively, the Japanese stock market is little influenced by the nuclear tests though Japan is not only geographically close to North Korea but also politically vigilant to North Korea’s nuclear threats. Also, we find that strengthened return correlations (linearity) do not necessarily increase stock return volatilities.

Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives

2013 ◽  
Vol 223 ◽  
pp. R16-R34 ◽  
Author(s):  
Jan Babecký ◽  
Luboš Komárek ◽  
Zlatuše Komárková
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
The United States ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
World Markets ◽  
The Impact

Interest in examining the financial linkages of economies has increased in the wake of the 2008/9 global financial crisis. Applying the concepts of beta- and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration of Russia and China with each other, as well as with respect to the United States, the Euro Area, and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing convergence of stock market returns after the 1997 Asian financial crisis and the 1998 Russian financial crisis. Following a major disruption caused by the 2008/9 global financial crisis, the process of stock market return convergence resumes between Russia and China, as well as with world markets. Notably, the episode of sigma-divergence from the 2008/9 crisis is stronger for China than for Russia. We also find that the process of stock market return convergence and the impact of the recent crisis have not been uniform at the sectoral level, suggesting the potential for diversification of risk across sectors.

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