scholarly journals The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1201
Author(s):  
Laura Ballester ◽  
Ana Mónica Escrivá ◽  
Ana González-Urteaga
Keyword(s):  
Stock Market ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Stock Market Volatility ◽  
Vector Autoregressive Model ◽  
Conditional Volatility ◽  
Causality Test ◽  
Stock Volatility ◽  
Vector Autoregressive ◽  
New Evidence

This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed using a vector autoregressive model (VAR) and dynamically applying the Granger causality test. The conditional volatility of the stock market has been obtained through various univariate GARCH models. This methodology allows us to study the information transmissions, both unidirectional and bidirectional, that occur between CDS spreads and stock volatility between 2004 and 2020. We conclude that CDS spread returns cause (in the Granger sense) conditional stock volatility, mainly in Europe and during the sovereign debt crisis. This transmission dynamic breaks down during the COVID-19 period, where there are high bidirectional relationships between the two markets.

The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

2017 ◽  
Vol 68 (2) ◽  
Author(s):  
Dominik Kronen ◽  
Ansgar Belke
Keyword(s):  
Stock Market ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Negative Effect ◽  
Macro Variables ◽  
The Impact ◽  
Structural Vector

AbstractIn light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of policy and stock market uncertainty on a set of macroeconomic variables such as production and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research. We find that stock market volatility shows a fairly consistently negative effect. However, the implications of policy uncertainty for Europe and the euro area in particular are not so straightforward.

scholarly journals Capital Market Response to COVID-19 Pandemic – A Systematic Review on Stock Volatility and Performance

2021 ◽  
pp. 27-49
Author(s):  
Janga Bahadur Hamal ◽  
Rishi Raj Gautam
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Government Response ◽  
Stock Market Performance ◽  
Policy Measures ◽  
And Performance ◽  
The Impact

This paper aims to identify the impact of the COVID-19 pandemic on stock market volatility and market return as well as the impact of government response to the COVID-19 pandemic on stock market performance. To analyze the same, the paper has adopted Systematic Literature Review (SLR) approach and conducted a review of 40 journal articles published between between2020 to mid-2021. The paper identified that the short-term impact of the COVID-19 outbreak and government policy measures had a significant and adverse impact on stock market volatility, return and overall performance. In the longer term, the stock markets slowly started to stabilize and revive. This effect on the stock market was also attributed to investor sentiment and thus, in the later stages, targeted government response had a positive effect on boosting investor confidence towards the market.

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

2007 ◽  
Vol 10 (01) ◽  
pp. 51-61 ◽  
Author(s):  
Aktham I. Maghyereh ◽  
Haitham A. Al Zoubi ◽  
Haitham Nobanee
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Extreme Value ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Price Limits ◽  
Stock Volatility ◽  
Price Limit ◽  
Taiwan Stock Exchange

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

scholarly journals Investor Following and Volatility: A GARCH Approach

2015 ◽  
Vol 31 (3) ◽  
pp. 765
Author(s):  
Amal Aouadi ◽  
Mohamed Arouri ◽  
Frederic Teulon
Keyword(s):  
Stock Market ◽  
Search Behavior ◽  
Market Volatility ◽  
Market Model ◽  
Stock Market Volatility ◽  
Conditional Volatility ◽  
Online Search ◽  
The Us ◽  
Online Search Behavior

n this paper, we aim to investigate whether investor following is a determinant of the stock market volatility. To measure investor following, we use Google Insights for search freshly introduced to the financial literature. The latter records the online search traffic for any keyword submitted to Google since 2004. Thanks to an extensive database, we focus precisely on the French stock market unlike previous works, which have focused largely on the US stock market. Notably, our findings support strong significant effects of investor following as measured by online search behavior on the conditional volatility estimated from GARCH (1,1) Market model. Our results are robust to additional tests.

scholarly journals STUDY OF CONNECTION BETWEEN STOCK MARKET AND ECONOMIC PERFORMANCE IN MALAYSIAN CONTEXT

2020 ◽  
Vol 2 (2) ◽  
pp. 82-90
Author(s):  
Ngee Derk
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Exchange ◽  
Exchange Market ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Real Gdp ◽  
Meaningful Relationship ◽  
Stock Market Performance

The focus of the study is to test the stock market performance influence on the economic growth for time series for the period of 2002 to 2018 on quarterly basis. In this study, the performance measures included standard deviation which is measure of volatility, total value traded shared as measure of liquidity, turnover ratio as measure of liquidity, and stock market capitalization ratio as a measure of the size. The focus of the study is the Malaysian stock exchange market. The study utilized real GDP as an indicator of economic growth. The exchange rate and the interest rates are used as control variables. The study used Vector Autoregressive model and the Granger causality test are utilized for finding the directional relationship between the stock market and economic growth connection. Results states that variables are statistically insignificant and there is no meaningful relationship found.

scholarly journals The Effect of Political Elections on Stock Market Volatility in Malaysia

2018 ◽  
Vol 7 (3.21) ◽  
pp. 114
Author(s):  
Ricky Chia Chee Jiun
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
General Election ◽  
Stock Index ◽  
Stock Market Volatility ◽  
Political Uncertainty ◽  
Stock Volatility ◽  
Volatility Risk ◽  
Company Stock ◽  
General Elections

During the past general elections held in Malaysia, empirical evidence showed a significant election effect in stock volatility. In this study, we investigate the influence of election on Malaysian stock market during the 12th and 13th general election where political tensions persisted due to the close fight between the two major parties. The findings indicate that the political uncertainty surrounding elections significantly affected investors respond. Results from statistical analysis uncover significant higher stock volatility in the pre-general election periods. Nevertheless, lower stock volatility is only found in two stock indices in the post-general election periods. By using the EGARCH model, a significant election effect is found in stock volatility but not in stock returns. Notably, political uncertainty showed up its significant role in influencing the stock volatility prior to the general elections in the year 2008 and 2013. Furthermore, lower stock volatility is found in the Shariah-compliant indices and stock index with greater market capitalization. Our findings have important implications for investors who are exposed to volatility risk. Investors may shift to large company stock and Shariah-compliant stock during the general election period. Investors should also be cautious because the high volatility is not compensated with a significant abnormal return. 

scholarly journals Stock market returns and exchange rate movements in a multiple currency economy: the case of Zimbabwe

2015 ◽  
Vol 8 (3) ◽  
Author(s):  
Mabutho Sibanda
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Currency ◽  
The United States ◽  
Stock Market Returns ◽  
Vector Autoregressive ◽  
United States Dollar ◽  
International Portfolio Diversification ◽  
Exchange Rate Movements ◽  
New Evidence

This study seeks to provide new evidence on the stock market and exchange rate relationship in Zimbabwe, a country that does not have its own sovereign currency. The bivariate vector autoregressive approach is used to establish the relationship between the stock market and exchange rates. The results show that no relationship exists between the stock market and the proxy exchange rate. The findings contradict the expectation that exchange rate movements would influence domestic stock market prices. This finding is especially interesting given the fact that Zimbabwe uses a basket of currencies for transacting purposes, albeit with the United States dollar as a major currency for reporting and stock market pricing purposes. The findings provide new evidence of a disconnect between the stock market and exchange rate movements. This has implications for international portfolio diversification and the use of foreign currency as an asset class in an economy using a multiple currency system.

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