scholarly journals Analysis of the Distribution of Exchange-Rates near the 2008 Global Financial Crisis

2020 ◽  
Vol 9 (4) ◽  
pp. 187
Author(s):  
Doobae Jun ◽  
Jinsu Kim ◽  
Gwangil Kim
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Global Financial Crisis ◽  
2008 Financial Crisis ◽  
Early Indicator ◽  
Exceptional Value ◽  
The 2008 Financial Crisis

We search for indicators that might have predicted the 2008 financial crisis, by analyzing the standardized normalized distribution of exchange-rates. We find that this distribution was close to normal during the crisis, but had an exceptionally high kurtosis in the second quarter of 2006, indicating the beginning of long-term USD weakness. Somewhat nearer to the crisis, we can also see suggestive fluctuations in some exchange-rates. Further, we analyze stock-market indices across the crisis, and show that they responded more sensitively than exchange-rates, and that the distribution of stock-market indices also has an exceptional value of kurtosis at Q2 2006, suggesting that the kurtosis of the distribution of exchange-rates might have provided as an early indicator of the crisis.

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.

scholarly journals The Effect of the 2008 Global Financial Crisis on the Efficiency of Large U.S. Commercial Banks

2019 ◽  
Vol 12 (2) ◽  
pp. 11-27
Author(s):  
Seyed Mehdian ◽  
Rasoul Rezvanian ◽  
Ovidiu Stoica
Keyword(s):  
Financial Crisis ◽  
Commercial Banks ◽  
Global Financial Crisis ◽  
The United States ◽  
Commercial Banking ◽  
Scale Efficiency ◽  
Mortgage Loans ◽  
2008 Financial Crisis ◽  
Efficiency Measures ◽  
The 2008 Financial Crisis

AbstractThe 2008 financial crisis, originated by securitization of sub-prime mortgage loans, had a huge impact on U.S. financial institutions and markets. We hypothesize that due to this crisis, the commercial banking industry has changed their portfolio structures and risk-taking behavior. To shed light on the response of U.S. banks to the 2008 financial crisis, we use the non-parametric approach to measure and compare the overall efficiency of large U.S. banks pre- and post-2008 financial crisis. We then decompose the overall measure of efficiency into allocative, overall technical, pure technical, and scale efficiency measures to better understand the sources of banking inefficiencies. The results indicate that large U.S. banks indeed changed their portfolios structure, and the efficiency of large commercial banks in the United States declined substantially during the financial crisis. Although it has been recovering since then, it still has not reached to the pre-crisis efficiency level.

scholarly journals DID THE 2008 GLOBAL FINANCIAL CRISIS AFFECT THE BANKING CREDITS? A CASE OF REGIONS OF TURKEY

2020 ◽  
pp. 74-82
Keyword(s):  
Financial Crisis ◽  
Great Recession ◽  
Global Financial Crisis ◽  
Annual Data ◽  
2008 Financial Crisis ◽  
Dummy Variable ◽  
The Us ◽  
The World ◽  
The 2008 Financial Crisis ◽  
One Year

In 2008 the world faced a global crisis which is started from the US; thus it is named as a “US Great Recession. In this paper, we investigate whether the 2008 financial crisis has an effect on Turkish banking credits in regional case. For this aim we use Non-specialized Loans Deposit which is collected from The Banks Association of Turkey as an annual data. The period of the paper is 2004-2014. The selected regions are 11 NUTS1 regions; thus we have panel data with 121 observations. We use two dummy variable; first dummy values are 1 for 2008 and 0 for other years, a second dummy variable is 1 for 2008 and successor years; 0 for other years. The first dummy shows if the crisis affects only one year, the second dummy shows if the crisis affects crisis year and successor years.

scholarly journals The Impact of the Global Financial Crisis, Does It Sustain?

2016 ◽  
Vol 8 (10) ◽  
pp. 82 ◽  
Author(s):  
Bashar Al-Zu'bi ◽  
Hussein Salameh ◽  
Qasim Mousa Abu Eid
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Market Index ◽  
The World ◽  
The Usa ◽  
Short And Long Term ◽  
The Global Financial Crisis ◽  
The Impact

<p>This paper studies the short and long term relationship between S&amp;P500 USA stock market index and the stock market indices of 30 countries around the world over the period June 2010-April 2015. We implement OLS regression and use error correction model to examine the short and long term relationship between the variables. Empirically, we find that there is a relationship on the short and long term between S&amp;P500 and the indices of 27 countries from East Asia, Europe, Latin America, Middle East as well as the countries of Australia and Canada. These results conclude that the global financial crisis of 2007-2008 significantly and lengthy increased the already high level of co-movement between the USA financial market and the observed stock market for 27 countries around the world. The findings from our research are important; however, we believe that further research based on our findings is necessary.</p>

A Study on Multi-Class Fund Flows and Consumer Protection

2017 ◽  
Vol 25 (1) ◽  
pp. 41-74
Author(s):  
Tai-Yong Roh ◽  
Sun-Joong Yoon ◽  
Sung Won Seo
Keyword(s):  
Financial Crisis ◽  
Mutual Fund ◽  
Fund Flows ◽  
Empirical Observation ◽  
2008 Financial Crisis ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
The 2008 Financial Crisis

We examine whether the suitability principles hold for the mutual fund industry in Korea, by analyzing the dynamics and the characteristics of the multi-class fund flows. For 12-years from 2002 to 2013, the volatility of fund flows associated with A-class fund, which is more appropriate for long-term investments, is larger than that associated with C-class fund. Therefore, it can be interpreted that the suitability principles do not hold. To examine the empirical observation, we mainly focus on the role of the dollar cost averaging (DCA) style funds. We show that if we adjust for the effect of DCA funds, the suitability principles does not hold only before the 2008 financial crisis. Thus, we argue that individuals' irrational decision making is caused by heavy investments on A-class fund through DCA style types before the financial crisis. This leads to the observed violation of the suitability principles before the crisis. Our findings also suggest that after the financial crisis, the mutual fund industry in Korea becomes mature.

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