scholarly journals Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis

2015 ◽  
Vol 56 ◽  
pp. 123-138 ◽  
Author(s):  
Aktham I. Maghyereh ◽  
Basel Awartani ◽  
Khalil Al Hilu
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Equity Markets ◽  
Mena Countries ◽  
New Evidence ◽  
The U.S

scholarly journals Contagion In MENA Countries During The 2008 Financial Meltdown

2013 ◽  
Vol 11 (7) ◽  
pp. 301
Author(s):  
Loujaina El Sayed ◽  
Nourhan Hegazi
Keyword(s):  
Financial Crisis ◽  
World Economy ◽  
Global Financial Crisis ◽  
Garch Model ◽  
Equity Markets ◽  
Correlation Model ◽  
Mena Countries ◽  
The Us ◽  
The World ◽  
The U.S

Despite originating in the U.S., the repercussions of the 2008 global financial crisis were spread all over the globe to affect all classes of economies, suggesting the presence of a global contagious effect.MENA countries, which have recently become more integrated into the world economy, were also severely impacted.However, studying the contagious effect of the global financial crisison MENA stock markets was not common in literature despite their importance for international diversification. This paper attempts to test for contagion from the U.S. to MENA equity markets during the 2008 global financial crisis using the change in correlations approach. We employ two models: the adjusted correlation model and the dynamic conditional correlations DCC-GARCH model. Results provide an evidence ofthe existence of contagion from the US to a number of MENA equity markets. The adjusted correlation model was proved tobe biased towards the conclusion of no contagion when compared to the findings of the DCC-GARCH model.

scholarly journals The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets

2016 ◽  
Vol 63 (2) ◽  
pp. 195-208
Author(s):  
Qunfeng Liao ◽  
Seyed Mehdian ◽  
John Stephens
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Equity Markets ◽  
The Philippines ◽  
Southeast Asian ◽  
Endogenous Variables ◽  
The Individual ◽  
The Impact ◽  
The U.S ◽  
Japan And China

This study examines the reaction of Southeast Asian equity markets to the transmission of price innovations from major equity markets during the pre and post periods of the 2008 global financial crisis. In particular, we examine the reaction of returns indices in Malaysia, the Philippines, South Korea, Taiwan, and Thailand as endogenous variables, and compare them to the returns indices of the U.S., the Eurozone, Japan, and China as exogenous variables. The results of VAR models indicate the combined and individual impact of the price innovations from the major equity markets on the volatility of returns of selected countries is relatively trivial during either the pre- or post-financial crisis periods. However, the individual impact of the U.S. innovations is generally higher during the post-financial crisis. The ARCH and GARCH models indicate the stock markets of Southeast Asian countries are more responsive to their own price innovations during both the pre- and the post-crisis periods, although some response to U.S. and Eurozone shocks is also observed.

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.

Did the Global Financial Crisis Break the U.S. Phillips Curve?

2016 ◽  
Vol 16 (126) ◽  
pp. 1 ◽  
Author(s):  
Stefan Laseen ◽  
Marzie Taheri Sanjani ◽  
◽  
Keyword(s):  
Financial Crisis ◽  
Phillips Curve ◽  
Global Financial Crisis ◽  
The Global Financial Crisis ◽  
The U.S

scholarly journals Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies

2019 ◽  
pp. 99-117
Author(s):  
Masazumi Hattori ◽  
Ilhyock Shim ◽  
Yoshihiko Sugihara
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Emerging Market ◽  
Equity Markets ◽  
Emerging Market Economies ◽  
Fund Flows ◽  
Equity Fund ◽  
Market Economies ◽  
Developed Economies ◽  
The Global Financial Crisis

Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007–15, this chapter documents the correlation of VRPs across markets, examining whether equity fund flows work as a path through which VRPs spill over globally. It finds that VRPs tend to spike up during market turmoil such as the peak of the global financial crisis and the European debt crisis; that all cross-equity market correlations of VRPs are positive, and that some economy pairs exhibit high levels of the correlation. In terms of volatility contagion, it finds that an increase in US VRPs significantly reduces equity fund flows to other developed economies, but not those to EMEs, following the global financial crisis. Two-stage least squares estimation results show that equity fund flows are a channel for spillover of US VRPs to VRPs in other developed economies.

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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