scholarly journals Determining the Return Volatility of Major Stock Markets Before and During the COVID-19 Pandemic by Applying the EGARCH Model

2021 ◽  
Vol 68 (4) ◽  
pp. 405-419
Author(s):  
Letife Özdemir ◽  
Ercan OZEN ◽  
Simon Grima ◽  
Inna Romānova
Keyword(s):  
Stock Markets ◽  
Stock Index ◽  
Return Volatility ◽  
Volatility Persistence ◽  
Egarch Model ◽  
Stock Indexes

With this study, we aim to determine the effect of the Covid-19 pandemic on the return volatility of the DJI, the DAX, the FTSE100 and the CAC40 stock indexes. We take return volatility between 1st January 2019 and 17th July 2020 and split it into two separate periods - before the Covid-19 pandemic outbreak and the first wave of the ‘In-Pandemic’ period. Only the so-called first wave of the pandemic was chosen to avoid the influence of knowledge of possible vaccines and antiviral solutions. Data were analysed by using the exponential GARCH (EGARCH) model. Findings show excessive volatility in the major stock markets with short volatility persistence and the presence of leverage in returns during the first wave of the Covid-19 pandemic outbreak. Moreover, during the pandemic period, positive shocks have been observed to have a greater effect than negative socks on the stock index return volatility.

scholarly journals Volatility Transmission Between Dow Jones Stock Index And Emerging Islamic Stock Index: Case Of Subprime Financial Crises

2015 ◽  
Vol 5 (1) ◽  
pp. 41-49 ◽  
Author(s):  
Amir Saadaoui ◽  
Younes Boujelbene
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Index ◽  
Financial Assets ◽  
Volatility Transmission ◽  
Emerging Stock Markets ◽  
Market Index ◽  
The Global Financial Crisis ◽  
Stock Indexes

In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky.

scholarly journals Volatility Transmission Between Dow Jones Stock Index and Emerging Islamic Stock Index: Case of Subprime Financial Crises

2015 ◽  
Vol 3 (1) ◽  
pp. 21
Author(s):  
Amir Saadaoui ◽  
Younes Boujelbene
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Index ◽  
Financial Assets ◽  
Volatility Transmission ◽  
Emerging Stock Markets ◽  
Market Index ◽  
The Global Financial Crisis ◽  
Stock Indexes

In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky. 

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 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 Factor analysis of the Lithuanian equity market indices

2009 ◽  
Vol 50 ◽  
Author(s):  
Svetlana Danilenko
Keyword(s):  
Factor Analysis ◽  
Stock Market ◽  
Stock Prices ◽  
Equity Market ◽  
Stock Index ◽  
Change Dynamics ◽  
Statistical Measures ◽  
Components Method ◽  
Main Components ◽  
Stock Indexes

Statistical measures that can reproduce the state of the stock market and the tendencies of its change dynamics are the stock indexes. Having in mind the more complicated state of the finance system it is important to answer the question of what impacts the fluctuations of the stock prices. The article discusses various factors that impact the fluctuations of the Lithuanian stock index OMXV ; also stock index factor analysis is performed. Factors are determined using the main components method.

scholarly journals COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

2021 ◽  
Vol 14 (8) ◽  
pp. 389
Author(s):  
Adil Saleem ◽  
Judit Bárczi ◽  
Judit Sági
Keyword(s):  
Stock Index ◽  
Market Model ◽  
Market Reactions ◽  
Health Crisis ◽  
Stock Indices ◽  
Thomson Reuters ◽  
Short Run ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Stock Indexes

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

Analysis of Time Series Based on a New Entropy Plane by Using Weighted Dispersion Pattern

2021 ◽  
Vol 31 (09) ◽  
pp. 2150128
Author(s):  
Guyue Qin ◽  
Pengjian Shang
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Stock Markets ◽  
Simulated Data ◽  
Tsallis Entropy ◽  
Dispersion Pattern ◽  
Complex Time ◽  
Plane Method ◽  
Stock Indexes ◽  
Analysis Of Time Series

Complexity is an important feature of complex time series. In this paper, we construct a weighted dispersion pattern and propose a new entropy plane using past Tsallis entropy and past Rényi entropy by using weighted dispersion pattern (PTEWD and PREWD, respectively), to quantify the complexity of time series. Through analyzing simulated data and actual data, we have verified the reliability of the entropy plane method. This entropy plane successfully distinguishes American and Chinese stock indexes, as well as developed and emergent stock markets. We introduce PTEWD and PREWD into multiscale settings, which could also well distinguish different stock markets. The results show that the new entropy plane could be used as an effective tool to distinguish financial markets.

After 2008 Global Financial Crisis, Short-Term Dynamics of CDS, Bond, and Stock Markets in South Eastern European Economies

2013 ◽  
pp. 181-194
Author(s):  
Ali Sabri Taylan ◽  
Hüseyin Tatlidil
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Stock Markets ◽  
European Countries ◽  
Stock Index ◽  
Bond Markets ◽  
Eastern European ◽  
South Eastern ◽  
Eastern European Countries

Credit risk pricing is perhaps an understudied topic in comparisons to its profound impact on the world’s financial markets and economies. This study uses established price discovery techniques to develop a method of price discovery for credit risk in three financial markets: equity, debt, and credit derivative. This chapter is motivated by the development of credit-related instruments and signals of stock price movements of South-Eastern European countries—Bulgaria, Croatia, Greece, Hungary, Romania, Slovenia, Slovakia, and Turkey—during the recent financial crisis. In this study, the authors evaluate the dynamics of fiscal risk or country risk measured by sovereign Credit Default Swap (CDS), liquidity risk measured bond markets, and stock markets for the monthly based September 2008 – February 2011 period. The study examines monthly data observing 38 months and 8 countries. A panel vector autoregression model is proposed for changes in Long-Term Interest Rate (LTIR), changes in CDS spreads (CDS), and changes in stock index. In conclusion, CDS markets and stock markets are more significant than bond markets in explaining the post-crisis relationship among developing South-Eastern European countries. The analysis displays that long-term monetary policy did not affect CDS premium and stock index level. A strong relationship is found between the CDS spread and stock market. During financial crisis and after the crisis, the correlations among CDS, stock, and bond markets are collapsed by panicked investors’ rapid movement and wild speculators. This risk perception can explain the difference between the finance theory and practices in the market.

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