scholarly journals Oil and stock markets before and after financial crises: A local Gaussian correlation approach

2017 ◽  
Vol 37 (12) ◽  
pp. 1179-1204 ◽  
Author(s):  
Georgios Bampinas ◽  
Theodore Panagiotidis
Keyword(s):  
Stock Markets ◽  
Financial Crises ◽  
Before And After

Financial Crises and Contagion: Evidence for BRIC Stock Markets

2008 ◽  
Author(s):  
Dimitris Kenourgios ◽  
Aristeidis Samitas ◽  
Nikos Paltalidis
Keyword(s):  
Stock Markets ◽  
Financial Crises

The lead-lag relationship between US industry-level credit and stock markets

2017 ◽  
Vol 44 (4) ◽  
pp. 518-539
Author(s):  
Syed Jawad Hussain Shahzad ◽  
Safwan Mohd Nor ◽  
Nur Azura Sanusi ◽  
Ronald Ravinesh Kumar
Keyword(s):  
Stock Markets ◽  
Financial Crises ◽  
Credit Markets ◽  
Credit Default Swap ◽  
Content Type ◽  
Time Frequency ◽  
Industry Level ◽  
Time Horizons ◽  
Arbitrage Opportunities ◽  
Daily Data

Purpose The purpose of this paper is to identify the arbitrage opportunities between US industry-level credit and stock markets with a focus on dynamic lead-lag relationships given that these markets involve heterogeneous agents operating over various time horizons. Design/methodology/approach The authors use daily data of 11 US industries stock markets and their credit counterparts to model the dynamic dependence and casual nexuses using time-frequency approach, namely, wavelet squared coherence (WTC). Findings The WTC estimation results show that credit and stock markets are out of phase (counter cyclical) and stock markets lead their credit counterparts. The coherence between two markets increases during financial crises. The banks (utilities) industry credit and stock markets have relatively high (low) dependence. Research limitations/implications The casual nexuses between stock and credit markets have multilateral dimensions. Greater interest in examining the relationship between stock markets and credit default swap (CDS) spreads emerged as an important albeit a complex area of research, and gained prominence especially at the onset and following the global financial crises of 2007-2008 which clearly showed that the positive views of CDSs contribution in creating a resilient and efficient financial sector was nothing further from the truth. Practical implications The arbitrage and hedging opportunities between stock and credit markets are industry dependent and vary over investment time horizons. The utilities industry seems attractive for the investment with the objective to exploit arbitrage, but not for hedging. Originality/value The paper, for the first time, employs time-frequency approach to assess the arbitrage opportunities between US industry-level credit and stock markets.

Are Shocks Asymmetric to Volatility of Chinese Stock Markets?

2004 ◽  
Vol 07 (03) ◽  
pp. 379-395 ◽  
Author(s):  
Wei-Chiao Huang ◽  
Yuanlei Zhu
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Garch Model ◽  
Leverage Effect ◽  
Arch Models ◽  
Before And After ◽  
Chinese Markets ◽  
Chinese Stock Markets ◽  
Better Than ◽  
A Share

This paper uses ARCH models to examine if there is a leverage effect and also to test if A- and B-share holdings have different risks in Chinese stock markets before and after B-share markets open to domestic investors in February 2001. The empirical results suggest that leverage effect was not present and shocks have symmetric impact on the volatility of Chinese B-share stock returns in both periods and A-share returns in Period I. Thus GARCH model would be a better model to fit the Chinese B-share stock returns than EGARCH or GJR-GARCH model. But EGARCH or GJR-GARCH model fits recent (Period II) A-share markets data better than GARCH model. Another finding of this paper is that holding A- or B-share bears different risk in returns in the two Chinese markets. Furthermore, news or shocks have a larger impact on volatility of B-share returns in Period I than in Period II.

scholarly journals Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

Economies ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 15 ◽  
Author(s):  
Wahbeeah Mohti ◽  
Andreia Dionísio ◽  
Paulo Ferreira ◽  
Isabel Vieira
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Large Set ◽  
Subprime Crisis ◽  
Relative Level ◽  
Copula Models ◽  
Before And After ◽  
The Usa ◽  
International Investors ◽  
Geographical Diversification

This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises.

Comovement Dynamics between Central and Eastern European and Developed European Stock Markets during European Integration and Amid Financial Crises – A Wavelet Analysis

2012 ◽  
Vol 23 (1) ◽  
pp. 22-32 ◽  
Author(s):  
Silvo Dajcman ◽  
Mejra Festic ◽  
Alenka Kavkler
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Financial Crises ◽  
Eastern European ◽  
Short Term ◽  
Market Return ◽  
Stock Market Return ◽  
Time Period ◽  
Developed Stock Markets ◽  
European Stock Markets

Stock market comovements between developed (represented in the article by markets of Austria, France, Germany, and the UK) and developing stock markets (represented here by three Central and Eastern European (CEE) markets of Slovenia, the Czech Republic, and Hungary) are of great importance for the financial decisions of international investors. From the point of view of portfolio diversification, short-term investors are more interested in the comovements of stock returns at higher frequencies (short-term movements), while long-term investors focus on lower frequencies comovements. As such, one has to resort to a time-frequency domain analysis to obtain insight about comovements at the particular time-frequency (scale) level. The empirical literature on the CEE and developed stock markets interdependence predominantly apply simple (Pearsons) correlation analysis, Granger causality tests, cointegration analysis, and GARCH modeling. None of the existent empirical studies examine time-scale comovements between CEE and developed stock market returns. By applying a maximal overlap discrete wavelet transform correlation estimator and a running correlation technique, we investigated the dynamics of stock market return comovements between individual Central and Eastern European countries and developed European stock markets in the period from 1997-2010. By analyzing the time-varying dynamics of stock market comovements on a scale-by-scale basis, we also examined how major events (financial crises in the investigated time period and entrance to the European Union) affected the comovement of CEE stock markets with developed European stock markets. The results of the unconditional correlation analysis show that the developed European stock markets of France, the UK, Germany and Austria were more interdependent in the observed period than the CEEs stock markets. The later group of countries exhibited a lower degree of comovement between themselves as well as with the developed European stock markets during all the observed time period. The Slovenian stock market was the least correlated with other stock markets. By using the rolling wavelet correlation technique, we wanted to answer the question as to how the correlation between CEE and developed stock markets changed over the observed period. In particular, we wanted to examine whether major economic (financial) and political events in the world and European economies (the Russian financial crisis, the dot-com financial crisis, the attack on the WTC, the CEE countries joining the European union, and the recent global financial crisis) have influenced the dynamics of CEE stock market comovements with developed European stock markets. The results show that stock market return comovements between CEE and developed European stock markets varied over time scales and time. At all scales and during the entire observed time period the Hungarian and Czech stock markets were more interconnected to developed European stock markets than the Slovenian stock market was. The highest comovement between the investigated CEE and developed European stock market returns was normally observed at the highest scales (scale 5, corresponding to stock market return dynamics over 32-64 days, and scale 6, corresponding to stock market return dynamics over 32-64 and 64-128 days). At all scales the Hungarian and Czech stock markets were more connected to developed European stock markets than the Slovenian stock market. We found that European integration lead to increased comovement between CEE and developed stock markets, while the financial crises in the observed period led only to short-term increases in stock market return comovements.DOI: http://dx.doi.org/10.5755/j01.ee.23.1.1221

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