Impact of global financial crisis on stylized facts between energy markets and stock markets

2014 ◽  
Author(s):  
Tan Kim Leng ◽  
Chin Wen Cheong ◽  
Tan Siow Hooi
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Energy Markets ◽  
Stylized Facts

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.

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.

Global financial crisis and cyclical co-movements of Asian financial markets

2016 ◽  
Vol 34 (5) ◽  
pp. 465-495 ◽  
Author(s):  
KimHiang Liow
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Financial Markets ◽  
Frequency Domain ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Short Term ◽  
Content Type ◽  
Real Estate Markets ◽  
Asset Classes

Purpose – The purpose of this paper is to investigate the cross-spectra of stock, real estate and bond of ten selected Asian economies in the pre- and post-global financial crisis periods to detect whether there is greater cyclical co-movement post-financial crisis, and whether any observed increased co-movement measures the outcomes of contagion or integration. Design/methodology/approach – Co-spectral approach is the proper econometric tool to deliver economic insight for this research. Findings – Results indicate that Asian stock markets, and to a lesser degree, bond and real estate markets are more correlated post-financial crisis. Similarly, Asian financial markets have experienced increased co-movements with the US financial markets post-financial crisis. Moreover, these observed increased co-movements measure the outcomes of contagion in some cases of within-asset and cross-asset classes, as well as for some cross-US-Asian asset factor relationships along the high-frequency components of between two and four weeks. The stock markets are the most contagious, followed by the real estate markets and bond markets. Research limitations/implications – The results provide short-term investors with additional co-movement information at higher frequencies in order to identify short-term fluctuations of different asset classes. The empirical study also underscores the role of Asian real estate in investment portfolios in a mixed real estate, stock and bond context from a frequency domain perspective. Practical implications – The practical implication of this research is that benefits to investors from international diversification may not be as great during the present time compared to previous periods because financial/asset market movements have become more correlated. However, it does not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the values are still between low and moderate range, indicating that some diversification benefits may still be realized. Originality/value – In advancing the body of knowledge in international financial markets, this research is probably the first study to consider a multi-asset class portfolio context that includes stock, real estate and bond across the ten Asian economies and the USA in a single study. The frequency domain analysis conducted in this paper adds to the understanding of real estate, stock and bond market co-movement, integration and contagion dynamics, as well as the Asian cross-asset factor and US-Asian asset factor relationships in global mixed-investing environment.

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