Volatility Spillover and Contagion Effects on Stock Markets: Global and Local Leaders Determination (Part 2)

2014 ◽  
Vol 2014 (6) ◽  
pp. 3-34
Author(s):  
Konstantin Asaturov ◽  
Tamara Teplova
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Stock Market Index ◽  
International Equity Markets ◽  
Market Index ◽  
Contagion Effects ◽  
The Us ◽  
International Equity ◽  
Russian Stock Market ◽  
Global And Local

The paper presents an ARMA-DCC-GARCH model used for a quantitative analysis of dynamic linkages between 26 stock markets in three regions (Americas, Europe and Asia) over the period from 1995 to 2012. Dynamic conditional correlations between the international equity markets were tested to reveal contagion effects and its origins. It was found that the US market spreads shocks to the majority of international stock markets during the Dotcom crisis of 2000-2002 and the Financial Crisis of 2007-2009. The German, French and British markets are also proved to be contagion originators during the Financial Crisis of 2007-2009 and Eurozone Crisis of 2010-2012. The authors provide evidence that, the German and French markets transmitted a positive effect from euro currency adoption in 2002 through Europe. Concerning the linkages in Eastern and Northern European region Russia is found to be a source of contagion for the neighboring countries in time of Russian stock market index (RTSI) fall in 2008 and Banking Crisis in 2004, whereas Poland with the second biggest equity market capitalization affected much fewer countries in the area during the Financial Crisis of 2007-2009. Poland’s entry into European Union in May 2004 had no impact on interrelationships between Polish and the other stock markets.

scholarly journals Asymmetric Volatility in the Nepalese Stock Market

2021 ◽  
Vol 22 (1) ◽  
pp. 41-59
Author(s):  
Dinesh Gajurel
Keyword(s):  
Stock Market ◽  
Spillover Effect ◽  
Equity Markets ◽  
Spillover Effects ◽  
Stock Market Index ◽  
International Equity Markets ◽  
Asymmetric Volatility ◽  
Market Index ◽  
International Equity ◽  
Indian Stock Market

This paper investigates the asymmetric volatility behavior of the Nepalese stock market including spillover effects from the US and Indian equity markets. I modeled asymmetric volatility within a generalized autoregressive conditional heteroskdasticy framework using comprehensive data for the Nepal stock market index. The results reveal a very different asymmetry compared to the results in other international equity markets: positive shocks increase volatility by more than negative shocks. The results further suggest that uninformed investors play a significant role in the Nepalese stock market. The spillover effect from the Indian stock market to the Nepalese stock market is negative. Overall, I conclude that a “fear of missing out” (FOMO) of noise traders as well as the deployment of pump and dump schemes are inherent features of the Nepalese stock market. The findings are very useful to policy makers and investors alike.

scholarly journals Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

2013 ◽  
Vol 60 (4) ◽  
pp. 473-497 ◽  
Author(s):  
Kuan-Min Wang ◽  
Hung-Cheng Lai
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Correlation Coefficients ◽  
Bivariate Analysis ◽  
Contagion Effects ◽  
Daily Data ◽  
The Us ◽  
Egarch Model ◽  
Bivariate Egarch Model ◽  
Contagion Risk

This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the correlation contagion test and Dungey et al.?s (2005) contagion test, we find contagion effects between the Vietnamese and four other stock markets, namely Japan, Singapore, China, and the US. Second, we show that the Japanese stock market causes stronger contagion risk in the Vietnamese stock market compared to the stock markets of China, Singapore, and the US. Finally, we show that the Chinese and US stock markets cause weaker contagion effects in the Vietnamese stock market because of stronger interdependence effects between the former two markets.

scholarly journals On the factors of Bitcoin’s value at risk

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Ji Ho Kwon
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Trading Volume ◽  
Corporate Bond ◽  
Policy Uncertainty ◽  
Chinese Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
The Us ◽  
Search Index

AbstractThis study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively significant, but these effects were attenuated when new samples were added. The 5% VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index. For the 1% VaR, variables related to the macroeconomy play a key role. The consumer sentiment index exerts a strong positive effect on the 1% VaR. I also find that the 1% VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index.

scholarly journals Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

Energies ◽  
2020 ◽  
Vol 13 (12) ◽  
pp. 3162 ◽  
Author(s):  
Tiantian Liu ◽  
Shigeyuki Hamori
Keyword(s):  
Renewable Energy ◽  
Stock Markets ◽  
Low Frequency ◽  
Investment Horizon ◽  
Stock Market Index ◽  
Energy Investment ◽  
Time Frequency ◽  
Volatility Spillovers ◽  
Financial Variables ◽  
The Us

This paper examines the spillovers of return and volatility transmitted from fossil energies (crude oil and natural gas) and several important financial variables (stock market index, bonds, and the volatility index) to renewable stock markets in the US and Europe under the time-frequency domain frameworks. The total spillovers of return and volatility from all variables to renewable stock markets in the US are higher than those in Europe. Stock markets transmit the highest return spillovers to renewable energy stocks, which far exceed the spillovers from fossil energy to renewable energy stocks in both regions. In addition, both return and volatility spillovers could be enhanced, possibly due to specific events or sudden changes in prices. In particular, extreme events such as the Brexit referendum in 2016 influenced mostly the volatility spillovers across European markets. Moreover, the spillovers of return and volatility are contingent on frequency, and most return spillovers are concentrated at the high frequency, whereas most volatility spillovers are concentrated at the low frequency. These results remind investors that it is necessary to consider the investment horizon when making their financial decisions on renewable energy investment.

Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach

2019 ◽  
Vol 20 (4) ◽  
pp. 962-980 ◽  
Author(s):  
Shegorika Rajwani ◽  
Dilip Kumar
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Tail Dependence ◽  
Time Varying ◽  
The Us ◽  
Asian Economies ◽  
Copula Approach

During the past few years, many of the financial markets have gone through devastating effects due to the crisis in one or the other economy of the world. The recent global financial crisis has triggered dramatic movements in various stock markets which may arise from interdependence or contagion between the markets. This article attempts to measure the contagion between the equity markets of Asia and the US stock market. The countries considered in the Asian group are China, India, Indonesia, South Korea, Taiwan, Hong Kong, Malaysia and Japan. Most of the Asian economies have experienced drastic higher volatility and uncertainty in the financial markets. If the markets are contagious, then the investors will be unable to reap benefits through international diversification of the portfolio. In such a case, the policymakers will further frame policies so that they can insulate themselves from inflicting heavy damage from various crises. To achieve our goal, we make use of the time-varying copula approach which helps us to study the joint behaviour of the series based on their marginal distribution. Time-varying copula approach can also capture the non-linear dependence in the series and exhibits a rich pattern of tail behaviour. Our findings support the contagion between the Asian stock markets and the US stock market during the global financial crisis. This article also highlights that the increased tail dependence is an important factor for the contagion between the Asian stock markets and the US market.

scholarly journals Capital Asset Pricing Model, Theory and Practice: Evidence from USA (2009-2016)

2017 ◽  
Vol 12 (8) ◽  
pp. 182 ◽  
Author(s):  
Mohammad AbdelMohsen Al-Afeef
Keyword(s):  
Stock Market ◽  
Multiple Regression Model ◽  
Theory And Practice ◽  
Pricing Model ◽  
Stock Market Index ◽  
Market Return ◽  
Market Index ◽  
Stock Market Return ◽  
The Us ◽  
The Impact

This study discussed the Capital Assets Pricing model (CAPM) and its ability to measure the required return, the researcher tested this model on Amazon Company listed in S&P 500 during the period (2009-2016), to measure the impact of beta stock and market index return on the required return. Multiple regression model was used to test the effect of independent variables (Beta stock, Market Index Return) on the dependent variable (Required return), it should be noted that there is a statistically significant impact of the US stock market Return (S&P500) and Amazon stock Beta factor on Amazon stock required return, and the study model explanatory was 20% , this means that 20% of the changes in the required return are due to beta and market return, and 80% of the changes due to other factors, also find that CAPM can be applied on efficiency markets and huge companies.The researcher recommends applying the variables of the study on a group of large companies in the S&P 500 index, and looking for other factors that may affect the required return.

scholarly journals GLOBALIZATION EFFECTS ON CONTAGION RISKS IN FINANCIAL MARKETS

2020 ◽  
Vol 15 (1) ◽  
pp. 38-54
Author(s):  
Mariya Paskaleva ◽  
Ani Stoykova
Keyword(s):  
Financial Crisis ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Member States ◽  
Eu Member States ◽  
Contagion Effects ◽  
The Global Financial Crisis ◽  
The U.S

Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis also caused massive stock price volatility due in part to global availability of market information. We explore ten EU member states (France, Germany, the United Kingdom, Belgium, Bulgaria, Romania, Greece, Portugal, Ireland, and Spain), and the USA. The explored period is March 3, 2003 to June 30, 2016, and includes the effects of the global financial crisis of 2008. The purpose of the article is to determine whether there is a contagion effect between the Bulgarian stock market and the other examined stock markets during the crisis period and whether these markets are efficient. We apply an augmented Dickey-Fuller test, DCC-GARCH model, autoregressive (AR) models, TGARCH model, and descriptive statistics. Our results show that a contagion between the Bulgarian capital market and the eight capital markets examined did exist during the global financial crisis of 2008. We register the strongest contagion effects from the U.S. and German capital markets on the Bulgarian capital market. The Bulgarian capital market is relatively integrated with the stock markets of Germany and the United State, which serves as an explanation of why the Bulgarian capital market was exposed to financial contagion effects from the U.S. capital market and the capital markets of EU member states during the crisis. We register statistically significant AR (1) for UK, Greece, Ireland, Portugal, Romania, and Bulgaria, and we can define these global capital markets as inefficient.

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