scholarly journals Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets

2019 ◽  
Vol 25 (4) ◽  
pp. 518-546 ◽  
Author(s):  
Antonios K. Alexandridis ◽  
Mohammad S. Hasan
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Systematic Risk ◽  
European Stock Markets

Investigating International Causal Linkages Between Latin European Stock Markets in Terms of Global Financial Crisis

2019 ◽  
pp. 238-258
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Behavioral Pattern ◽  
Causality Test ◽  
Strategic Investment ◽  
Stationary Test ◽  
Augmented Dickey Fuller ◽  
Hp Filter ◽  
European Stock Markets

The main objective of this chapter is to investigate international causal linkages between selected Latin European stock markets, such as Romania, Spain, and Italy, in terms of global financial crises. Moreover, the structure of this book chapter includes both theoretical developments and new empirical findings. In recent past, the global phenomenon of increasing cointegration, co-movements and financial contagion patterns between developed and emerging stock markets have significantly influenced foreign investment behavior. The global financial crisis has seriously affected the international financial architecture and global economic stability due to unprecedented dynamic financial contractions. In addition, as strictly economic approach, Romanian labor migration is very high level in Italy and Spain. On the other hand, financial integration and the international causal linkages suggest a certain behavioral pattern between receiving societies. The financial econometrics approach includes various tools such as Unit Root Test, Hodrick-Prescott (HP) filter, Augmented Dickey-Fuller stationary test, BDS test and Granger causality test. The final results provide a comprehensive framework regarding international portfolio diversification, risk management and strategic investment decision making process.

scholarly journals Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region

2011 ◽  
Vol 58 (4) ◽  
pp. 525-543 ◽  
Author(s):  
Cristiana Tudor
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Leading Role ◽  
The Us ◽  
The Usa ◽  
The Global Financial Crisis ◽  
Stock Indexes ◽  
European Stock Markets

This paper investigates causal relationships and short-term interaction mechanisms among six Central and Eastern European stock markets and the USA stock exchange, while paying special consideration to the effects of the 2007-2009 global financial crisis. We employ daily observations for the six CEE stock indexes and also for the US market covering the period January 2006-March 2009, which is subsequently divided into two sub-periods corresponding to the pre-crisis and crisis period. The study reveals that the relationships among CEE stock markets are time varying. While before the crisis stock market linkages are limited, we find that during crisis these interactions become significantly stronger. Our results further suggest that the potential for diversifying risk by investing in different CEE markets is limited during financial turmoil. Other findings reveal the leading role of the Russian market in the CEE region before the crisis. Also, before the crisis CEE markets were significantly influenced by innovations in the USA market, thus explaining why they were affected heavily by the crisis, which has managed to spread immediately in the region.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

Financial crisis and market efficiency: evidence from European stock markets

2019 ◽  
Vol 25 (13) ◽  
pp. 1194-1210 ◽  
Author(s):  
Tung Liang Liao ◽  
Li-Chueh Tsai ◽  
Mei-Chu Ke ◽  
Yi-Chein Chiang ◽  
Chuan-Hao Hsu
Keyword(s):  
Financial Crisis ◽  
Market Efficiency ◽  
Stock Markets ◽  
European Stock Markets

scholarly journals The influence of the recent financial crisis on the financial situation of Polish listed companies

e-Finanse ◽  
2017 ◽  
Vol 13 (4) ◽  
pp. 110-126 ◽  
Author(s):  
Jerzy Różański ◽  
Paweł Kopczyński
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Listed Companies ◽  
Share Price ◽  
Financial Situation ◽  
The Real ◽  
Share Prices ◽  
Recent Financial Crisis ◽  
The Impact

AbstractThe recent financial crisis that began in 2007, also known as the Global Financial Crisis, had a huge influence on the financial situations of enterprises and financial institutions around the world. The situation on world stock markets was also strongly affected by the crisis. As the behavior of investors may be affected by various factors which can impact their decisions on the stock exchanges, some of them may be unable to act in a rational manner and make the right decisions. The huge drop in share prices on world stock markets was visible in the early stages of the crisis. The share price does not always reflect the real situation of the company. The main purpose of this article is to evaluate the influence of the recent financial crisis on the financial situation and performance of Polish listed companies. Financial ratios will be utilized to evaluate the real changes in the financial situation of Polish listed companies during the crisis. A large group of companies will be covered by the survey in order to assess the impact of macroeconomic factors on the financial situations of enterprises in different phases of the crisis. Market tests will not be applied because they may be affected by changes in share prices which in turn are often affected by irrational decision-making and fear.

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.

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