Volatility spillovers between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis

Abstract The 2008–2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper provides new insights by using US monthly data over the period 2000:1–2015:8 and estimating a VAR-GARCH(1, 1)-in-mean model with a BEKK representation, which also includes a switch dummy for the global financial crisis. We find causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before and after the crisis; however, this relationship is not stable, becoming weaker in the crisis period. As a robustness check, we augment the model with a set of macroeconomic control variables. Their inclusion does not affect the main results.

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.2785490 ◽

2016 ◽

Cited By ~ 1

Author(s):

Vassilios Babalos ◽

Guglielmo Maria Caporale ◽

Nicola Spagnolo

Keyword(s):

Financial Crisis ◽

Stock Market ◽

Global Financial Crisis ◽

Fund Flows ◽

Market Returns ◽

Equity Fund ◽

Stock Market Returns ◽

The Us ◽

Before And After ◽

The Global Financial Crisis

IMPACT OF CURRENCY DEPRECIATION ON STOCK MARKET RETURNS: A STUDY ON ASIAN FINANCIAL CRISIS

ELK ASIA PACIFIC JOURNAL OF FINANCE AND RISK MANAGEMENT ◽

10.16962/eapjfrm/issn.2349-2325/20140731.v5i3.06 ◽

2014 ◽

Keyword(s):

Financial Crisis ◽

Stock Market ◽

Asian Financial Crisis ◽

Market Returns ◽

Stock Market Returns ◽

Currency Depreciation

Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey

International Business Research ◽

10.5539/ibr.v9n1p176 ◽

2015 ◽

Vol 9 (1) ◽

pp. 176 ◽

Cited By ~ 5

Author(s):

Mustafa Ozer ◽

Melik Kamisli

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Stock Market ◽

Financial Markets ◽

Frequency Domain ◽

Policy Implications ◽

Causality Analysis ◽

Market Returns ◽

Stock Market Returns ◽

Volatility Spillovers

<p class="Abstracttext"><span lang="EN-US">In this paper, we examined the dynamic linkages between financial markets of Turkey by using frequency domain causality analysis, proposed by Breitung and Candelon (2006), for the weekly Turkish data from 2003 to 2015. The results show that there are volatility spillovers from stock market returns to interest rate and EURO both in the mid and long terms, and short and medium-terms to U.S. Dollar; but, from U.S. Dollar to stock market returns in the short-term. In the long-run, EURO exchange rate Granger cause to interest rate; but, interest rate Granger cause to EURO exchange rate in the short-run. On the other hand, there is no evidence of volatility spillovers from EURO and interest rate to stock market returns. Based on these results, we can conclude that there are certain degree of interdependence and volatility spillovers among the financial markets of Turkey, which have serious policy implications.</span></p>

Volatility Spillovers Between Oil and Stock Market Returns in G7 Countries: A VAR-DCC-GARCH Model

Regulations in the Energy Industry ◽

10.1007/978-3-030-32296-0_10 ◽

2020 ◽

pp. 169-186

Author(s):

Göknur Büyükkara ◽

Onur Enginar ◽

Hüseyin Temiz

Keyword(s):

Stock Market ◽

Garch Model ◽

Market Returns ◽

G7 Countries ◽

Stock Market Returns ◽

Volatility Spillovers

Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

10.21203/rs.3.rs-55417/v1 ◽

2020 ◽

Author(s):

Nenavath Sre ◽

Suresh Naik

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Error Correction ◽

Inflation Rate ◽

Market Returns ◽

Stock Market Returns ◽

Positive Effects ◽

Distributed Lag ◽

Long Run ◽

Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

Revisiting Macroeconomy–Stock Market Relationship During Times of Economic Crisis: A Study of Emerging Markets

Asia-Pacific Journal of Management Research and Innovation ◽

10.1177/2319510x18767713 ◽

2017 ◽

Vol 13 (1-2) ◽

pp. 52-69

Author(s):

Gagan Deep Sharma ◽

Mrinalini Srivastava ◽

Mansi Jain

Keyword(s):

Latin America ◽

Financial Crisis ◽

Stock Market ◽

Emerging Markets ◽

Economic Crisis ◽

Global Financial Crisis ◽

Market Returns ◽

Stock Market Returns ◽

Macroeconomic Variables ◽

The Relationship

This article examines the relationship between six macroeconomic variables and stock market returns of 13 emerging markets from Latin America, Europe, Africa and Asia in the context of global financial crisis of 2008. The findings reveal some commonality in determination and variation of returns with macroeconomic variables from pre-crisis (1st January 2005–31st March 2009) to post-crisis period (1st April 2009–31st March 2016). Further, results show co-integration among most of the macroeconomic variables depicting significant implications for investors and policymakers.

The impact of own-country, USA and China's economic policy uncertainty on stock market returns: evidence from war, epidemic and financial crisis periods

International Journal of Sustainable Economy ◽

10.1504/ijse.2021.114618 ◽

2021 ◽

Vol 13 (2) ◽

pp. 126

Author(s):

Hassen Guenichi ◽

Hamdi Khalfaoui ◽

Néjib Chouaibi

Keyword(s):

Economic Policy ◽

Financial Crisis ◽

Stock Market ◽

Policy Uncertainty ◽

Market Returns ◽

Stock Market Returns ◽

Economic Policy Uncertainty ◽

The Impact

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

Studies in Economics and Finance ◽

10.1108/sef-09-2020-0389 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Bijoy Rakshit ◽

Yadawananda Neog

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Emerging Economies ◽

Market Performance ◽

Exchange Rate Volatility ◽

Oil Price ◽

Market Returns ◽

Stock Market Returns ◽

Content Type ◽

Stock Market Performance

Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.