scholarly journals Herd Behavior and Financial Crashes: An Interacting Particle System Approach

2016 ◽  
Vol 2016 ◽  
pp. 1-7 ◽  
Author(s):  
Vincenzo Crescimanna ◽  
Luca Di Persio
Keyword(s):  
Financial Markets ◽  
Private Information ◽  
Particle System ◽  
Physical Models ◽  
Herd Behavior ◽  
Coupling Coefficients ◽  
Market Returns ◽  
Interacting Particle ◽  
The Impact ◽  
With Memory

We provide an approach based on a modification of the Ising model to describe the dynamics of stock markets. Our model incorporates three different factors: imitation, the impact of external news, and private information; moreover, it is characterized by coupling coefficients, static in time, but not identical for each agent. By analogy with physical models, we consider thetemperatureparameter of the system, assuming that it evolves with memory of the past, hence considering how former news influences realized market returns. We show that a standard Ising potential assumption is not sufficient to reproduce the stylized facts characterizing financial markets; this is because it assigns low probabilities to rare events. Hence, we study a variation of the previous setting providing, also by concrete computations, new insights and improvements.

scholarly journals Impact of Terrorism on Financial Markets: The Case of Turkey

2016 ◽  
Author(s):  
Neşe Algan ◽  
Mehmet Balcılar ◽  
Harun Bal ◽  
Müge Manga
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Terrorist Attacks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Indices ◽  
Daily Data ◽  
The Impact

This study investigates the impact of terrorism on the Turkish financial market using daily data from Jan 4, 1988 to May 24, 2016. In order to measure the impacts of terrorist attacks in Turkey we test for causality from terrorism index to returns and volatilities of 3 aggregate and 16 sector level stock indices using a recently developed nonparametric causality-in-test test of Balcilar et al. (2016). The results obtained indicate that there is no causality from terrorist activities to stock market returns (1st moment). However, we find significant causality at various quantiles from terrorist activates to volatility (2nd moment) of tourism, food and basic materials sectors.

Political risks and financial markets: emerging vs developed economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bechir Ben Ghozzi ◽  
Hasna Chaibi
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Political Risk ◽  
The Political ◽  
Arch Model ◽  
Excess Returns ◽  
Market Returns ◽  
Content Type ◽  
Political Risks ◽  
The Impact

PurposeThe authors provide a comparative analysis between emerging and developed financial markets in terms of the effects of political risks on stock market returns and volatility. The authors also examine whether this impact depends on the nature of political risks. Therefore, this study aims to detect which financial markets are the most profitable and the riskiest in terms of political risks.Design/methodology/approachThe authors investigate the impact of political risks on the excess stock market return and its conditional volatility using the generalized ARCH model for a sample of 46 developed and emerging markets over a period ranging from 1995 to 2019. In order to test how the nature of political risks affects equity excess returns and volatility differently in different markets, the authors employ (1) a composite political risk score, (2) the four subgroups of political risks as defined by Bekaert et al. (2005, 2014) and (3) the individual dimensions of political risks.FindingsThe findings indicate that the composite political risk is priced into both stock markets. The effect of political risks is positive for excess returns and negative for volatility. The authors show that the political risk leads to more volatility in developed markets. Nevertheless, the effect of individual components varies according to the market category.Practical implicationsThe authors provide a framework for predicting market returns and volatility using changes in the political risk of the country. The findings help investors make investment decisions based on the political decisions of governments. In other words, investors should consider political uncertainty when determining their expected earnings.Originality/valueThe authors engage monthly panel data methodology in terms of the political risk stock market relationship. In addition, the authors consider recent and very long data covering the period 1995–2019. Furthermore, this study combines three various political risk measures, and both equity returns and volatility.

THE IMPACT OF TERRORISM ON FINANCIAL MARKETS: EVIDENCE FROM ASIA

2018 ◽  
Vol 63 (05) ◽  
pp. 1183-1204 ◽  
Author(s):  
FAHEEM ASLAM ◽  
AMIR RAFIQUE ◽  
ANEEL SALMAN ◽  
HYOUNG-GOO KANG ◽  
WAHBEEAH MOHTI
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Negative Impact ◽  
Target Type ◽  
Terrorist Attacks ◽  
Market Returns ◽  
Security Forces ◽  
Suicide Attacks ◽  
The Impact ◽  
Attack Type

This paper examines the impact of 410 terrorist attacks on the performance of five Asian stock markets. The empirical findings indicate that terrorism has a significant impact on the stock markets. Furthermore, the magnitude of these effects varies with respect to country, attack type, target type and severity of the attacks. In target type, terrorist attacks on business sector and security forces are particularly destructive for the stock markets. Likewise, in attack type, suicide attacks and bomb blasts particularly generate a significant downward movement in the stock markets. Furthermore, the more severe attacks have larger negative impact on market returns.

scholarly journals The Impact of Manipulation in Internet Stock Message Boards

2011 ◽  
Author(s):  
Jean-Yves Delort ◽  
Bavani Arunasalam ◽  
Henry CM Leung ◽  
Maria Milosavljevic
Keyword(s):  
Financial Markets ◽  
Market Manipulation ◽  
Message Board ◽  
Online Forums ◽  
Market Returns ◽  
Message Boards ◽  
Internet Users ◽  
The Media ◽  
Open Question ◽  
The Impact

Internet message boards are often used to spread information in order to manipulate financial markets. Although this hypothesis is supported by many cases reported in the literature and in the media, the real impact of manipulation in online forums on financial markets remains an open question. This paper is on the effect of manipulation in internet stock message boards on financial markets by employing a unique corpus of moderated messages to investigate market manipulation. Internet message board administrators use the process of moderation to restrict market manipulation. We find that manual supervision of stock message boards by moderators does not effectively protect Internet users against manipulation. By focusing on messages that have been moderated as manipulative due to ramping, we show ramping is positively related to market returns, volatility and volume. Stocks with higher turnover, lower price level, lower market capitalization and higher volatility are more common targets of ramping.  

scholarly journals Euro-Mediterranean Financial Markets Reaction to Political Elections

2021 ◽  
Vol 6 (2) ◽  
pp. 70-85
Author(s):  
Jihene Ghouli Oueslati ◽  
Nadia Basty ◽  
Lamis Klouj
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Abnormal Returns ◽  
Anomalous Behavior ◽  
Market Returns ◽  
Stock Market Returns ◽  
Mediterranean Countries ◽  
Market Disruption ◽  
Stock Market Performance ◽  
The Impact

This paper studies a sample of Euro-Mediterranean countries to test the link of political-financial interdependencies. We focus specifically on the impact of the occurrence of national elections on the reaction of financial markets. We used the GARCH (1,1) model and the concept of the volatility multiplier to test our hypotheses. The results established that political elections have a significant impact on stock market performance and volatility for Euro-Mediterranean countries. We detected anomalous behavior in stock market returns. Stock market returns on election day and in the days following the election are inversely higher as uncertainty about the election outcome decreases. Investor uncertainty, combined with the consequences of the multiparty system in Euro-Mediterranean countries, leads to negative abnormal returns around elections. In terms of volatility, we found that the greater degree of uncertainty about the situation and the market disruption affected by the media and social networks increase volatility before election day.

scholarly journals HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS

2000 ◽  
Vol 4 (2) ◽  
pp. 170-196 ◽  
Author(s):  
Rama Cont ◽  
Jean-Philipe Bouchaud
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Price ◽  
Heavy Tails ◽  
Empirical Studies ◽  
Herd Behavior ◽  
Market Returns ◽  
Communication Structure ◽  
Stock Market Returns ◽  
Market Participants

We present a simple model of a stock market where a random communication structure between agents generically gives rise to heavy tails in the distribution of stock price variations in the form of an exponentially truncated power law, similar to distributions observed in recent empirical studies of high-frequency market data. Our model provides a link between two well-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and herding behavior in financial markets on the other hand. In particular, our study suggests a relation between the excess kurtosis observed in asset returns, the market order flow, and the tendency of market participants to imitate each other.

scholarly journals An Empirical Assessment of COVID-19 Pandemic on Asset Market Responses in India

2021 ◽  
Vol 17 (4) ◽  
pp. 106
Author(s):  
Vikram Mohite ◽  
Vibha Bhandari
Keyword(s):  
Financial Markets ◽  
Asset Returns ◽  
Asset Market ◽  
Market Returns ◽  
Volatility Clustering ◽  
Asymmetric Volatility ◽  
Market Responses ◽  
The Impact ◽  
The Relationship ◽  
Model Approach

The study investigates the financial market’s response during the period of last nine months starting from the day when first COVID-19 case was confirmed in India. This paper attempts to gauge the impact of rise in COVID-19 confirmed number of cases on stock market as well as commodities market returns. A multi-model approach is used in the current research to assess the relationship between daily number of confirmed cases of COVID-19 and movement of asset returns from January 2020 to September 2020. The findings reveal that though financial markets exhibited asymmetric volatility clustering, it could not be traced to COVID-19 pandemic for the period under study in India.

Peculiarities of tool material wear at polymeric composite blank cutting

2018 ◽  
Vol 2018 (7) ◽  
pp. 27-31
Author(s):  
Юрий Зубарев ◽  
Yuriy Zubarev ◽  
Александр Приемышев ◽  
Alexsandr Priyomyshev
Keyword(s):  
Tool Wear ◽  
Tool Material ◽  
Polymeric Composite ◽  
Physical Models ◽  
Technological Parameters ◽  
Tool Materials ◽  
Materials Used ◽  
The Impact ◽  
Material Wear

Tool materials used for polymeric composite blank machining, kinds of tool material wear arising at machining these blanks, and also the impact of technological parameters upon tool wear are considered. The obtained results allow estimating the potentialities of physical models at polymeric composite blanks cutting.

The Impact of EMU on European Financial Markets

2001 ◽  
Vol 62 (2) ◽  
pp. 83-95
Author(s):  
Ernst-Ludwig von Thadden
Keyword(s):  
Financial Markets ◽  
The Impact
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