scholarly journals Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets

Entropy ◽  
2021 ◽  
Vol 23 (1) ◽  
pp. 100
Author(s):  
Karime Chahuán-Jiménez ◽  
Rolando Rubilar ◽  
Hanns de la Fuente-Mella ◽  
Víctor Leiva
Keyword(s):  
Stock Markets ◽  
World Economy ◽  
Economic Conditions ◽  
Global Markets ◽  
Health Index ◽  
Health Crisis ◽  
Price Series ◽  
Structural Breakdown ◽  
Breakpoint Analysis ◽  
Stock Indexes

In this research, statistical models are formulated to study the effect of the health crisis arising from COVID-19 in global markets. Breakpoints in the price series of stock indexes are considered. Such indexes are used as an approximation of the stock markets in different countries, taking into account that they are indicative of these markets because of their composition. The main results obtained in this investigation highlight that countries with better institutional and economic conditions are less affected by the pandemic. In addition, the effect of the health index in the models is associated with their non-significant parameters. This is due to that the health index used in the modeling would not determine the different capacities of the countries analyzed to respond efficiently to the pandemic effect. Therefore, the contagion is the preponderant factor when analyzing the structural breakdown that occurred in the world economy.

scholarly journals A Comparison of Global Financial Market Recovery after the 2008 Global Financial Crisis

2017 ◽  
Vol 17 (1) ◽  
pp. 109-128
Author(s):  
Jennifer Foo ◽  
Dorota Witkowska
Keyword(s):  
Financial Crisis ◽  
Great Recession ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Global Markets ◽  
Global Stock Markets ◽  
Emerging And Developing Countries ◽  
Stock Indexes ◽  
Global Stock ◽  
The U.S

Abstract The Financial Crisis of 2007-2009 plunged countries into a Great Recession and focused the world’s attention on the global stock markets. The global contagion has a major impact on global stock markets, with the U.S. DJIA falling to 6,547.05 on March 9, 2009 from a high of 14,164.53 on October 9, 2007, with a loss of more than 54%. Other stock markets also had a precipitous drop during the financial crisis. However, some equity markets have recovered while others have not. This paper looks at how global markets compared in their recovery. This paper also investigates the advanced countries’ recovery relative to the emerging and developing countries in the aftermath of the financial crisis and their ability to climb back to the pre-financial crisis levels. Analysis is provided for 31 stock indexes from January 2005 to March 2013. In 2013 the majority of analysed stock markets recovered from the crises regardless of if they belong to the group of developed or emerging markets.

scholarly journals COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

2021 ◽  
Vol 14 (8) ◽  
pp. 389
Author(s):  
Adil Saleem ◽  
Judit Bárczi ◽  
Judit Sági
Keyword(s):  
Stock Index ◽  
Market Model ◽  
Market Reactions ◽  
Health Crisis ◽  
Stock Indices ◽  
Thomson Reuters ◽  
Short Run ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Stock Indexes

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

scholarly journals The impact of the COVID-19 pandemic on digital globalization

2021 ◽  
Vol 129 ◽  
pp. 06008
Author(s):  
Maria Loredana Popescu ◽  
Svetlana Platagea Gombos ◽  
Sorin Burlacu ◽  
Amza Mair
Keyword(s):  
Global Economy ◽  
World Economy ◽  
Value Added ◽  
Digital Transformation ◽  
Lessons Learned ◽  
Health Crisis ◽  
Main Research ◽  
Documentary Analysis ◽  
The Impact

Research background: After more than a year of the Covid-19 pandemic, we can investigate whether it caused a shock to the global economy, pushing for deglobalization, or on the contrary, it was a challenge for digital globalization and digital transformation of economies. Through this research we join the research contributions that examine the process towards digital globalization that characterizes the world economy, its impact on businesses, consumers, and governments. We also discuss the challenges posed by the crisis caused by the coronavirus pandemic to globalization and perhaps the acceleration of the digital transformation of economies. Purpose of the article: The aim of this research is to highlight the impact of the COVID-19 pandemic in the age of digital globalization. Methods: Documentary analysis, as the main research method, is doubled by a case study that allows us to highlight the specific characteristics of digital globalization. Findings & Value added: The findings of the research allowed us to highlight the essential aspects of digital globalization that were perhaps exacerbated by the Covid-19 pandemic, but which contribute greatly to understanding the phenomenon of globalization. Our research also reveals four lessons learned in the COVID-19 pandemic. We also present some considerations regarding the globalization after the health crisis.

Analysis of Time Series Based on a New Entropy Plane by Using Weighted Dispersion Pattern

2021 ◽  
Vol 31 (09) ◽  
pp. 2150128
Author(s):  
Guyue Qin ◽  
Pengjian Shang
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Stock Markets ◽  
Simulated Data ◽  
Tsallis Entropy ◽  
Dispersion Pattern ◽  
Complex Time ◽  
Plane Method ◽  
Stock Indexes ◽  
Analysis Of Time Series

Complexity is an important feature of complex time series. In this paper, we construct a weighted dispersion pattern and propose a new entropy plane using past Tsallis entropy and past Rényi entropy by using weighted dispersion pattern (PTEWD and PREWD, respectively), to quantify the complexity of time series. Through analyzing simulated data and actual data, we have verified the reliability of the entropy plane method. This entropy plane successfully distinguishes American and Chinese stock indexes, as well as developed and emergent stock markets. We introduce PTEWD and PREWD into multiscale settings, which could also well distinguish different stock markets. The results show that the new entropy plane could be used as an effective tool to distinguish financial markets.

Efficient Market Hypothesis for Islamic Capital Markets

2020 ◽  
pp. 489-523
Author(s):  
Hakan Altin
Keyword(s):  
Stock Markets ◽  
Explanatory Power ◽  
Market Price ◽  
Efficient Market Hypothesis ◽  
Global Markets ◽  
Efficient Market ◽  
Share Prices ◽  
Global Stock Markets ◽  
Stock Share ◽  
Theoretical Results

This study has two important findings firstly, the theoretical results related to the efficient market hypothesis; and secondly, the results of application. The theoretical results show that if the market price of an asset includes all the information that influences its price, then that market is an efficient market. According to the efficient market hypothesis, investors cannot earn gains above the market return. Since stock share prices are unpredictable, it is assumed that when the information that the market had already been expecting is finally announced, the stock share prices will not change. That is because this announcement does not contain any information that can change the prices. The results obtained from the application show that the existence of abnormal return is valid for Islamic Stock Markets. Therefore, the findings mediate against the efficient market hypothesis. However, when the size of abnormal returns is observed, the results are almost equal to market returns. This finding supports the efficient market hypothesis. Islamic stock markets are integrated with the world at least as much as the non-Islamic global markets are. Islamic stock markets act together with the non-Islamic global markets. The risks and returns that the Islamic and non-Islamic stock markets provide to the investors are very close to each other. In conclusion, the efficient market hypothesis maintains its explanatory power for both Islamic stock markets and non-Islamic global stock markets. Islamic markets offer new investment opportunities on a global scale.

WHO IS THE CHASER IN CRYPTOCURRENCIES?

2020 ◽  
pp. 1-22
Author(s):  
ZHENG ZHENG LI ◽  
CHI-WEI SU ◽  
MENG QIN ◽  
MUHAMMAD UMAR
Keyword(s):  
Economic Conditions ◽  
Global Markets ◽  
Chinese Market ◽  
Causality Test ◽  
New Information ◽  
Rolling Window ◽  
The Us ◽  
Chinese Markets ◽  
Information Advantage ◽  
Trading Volumes

This paper explores the interactions between the Bitcoin (BTC) prices in the US and Chinese markets, by employing the bootstrap rolling window causality test. The results reveal that BTC prices behave differently across markets, and also vary with time, which subjects to the theory of price discovery. In other words, the BTC price in one market could precede the other, and vice versa, based on the information advantage. Markets that are more flexible (US) respond sensitively to information, thus, in order to induce the price changes in Chinese markets. The improvements in the economic conditions of the emerging markets have exerted an influential role in global markets. Since the Chinese market possesses a considerable amount of trading volumes, the BTC price in the US can be assumed to chase the BTC price in China. The lead–lag relationship between these two markets also reflects the acknowledgement of the aversion towards the risks involved in accepting BTC as a currency. However, knowing which market reacts the most quickly to new information could prove to be beneficial to regulators who aim to implement a particular BTC price, and, as a result, prevent any arbitrary prices, and eventually stabilize the financial market.

scholarly journals Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach

2019 ◽  
Vol 28 (3) ◽  
pp. 301-322 ◽  
Author(s):  
Aymen Ben Rejeb ◽  
Mongi Arfaoui
Keyword(s):  
State Space ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Financial Instability ◽  
Informational Efficiency ◽  
Time Varying ◽  
Content Type ◽  
Volatility Spillovers ◽  
Space Modeling ◽  
Stock Indexes

Purpose The purpose of this paper is to investigate whether Islamic stock indexes outperform conventional stock indexes, in terms of informational efficiency and risk, during the recent financial instability period. Design/methodology/approach The paper uses a state space model combined with a standard GARCH(1,1) specification while taking into account structural breakpoints. The authors allow for efficiency and volatility spillovers to be time-varying and consider break dates to locate periods of financial instability. Findings Empirical results show that Islamic stock indexes are more volatile than their conventional counterparts and are not totally immune to the global financial crisis. As regards of the informational efficiency, the results show that the Islamic stock indexes are more efficient than the conventional stock indexes. Practical implications Resulting evidence of this paper has several implications for international investors who wish to invest in Islamic and/or conventional stock markets. Policy makers and even academics and Sharias researchers should as well take preventive measures in order to ensure the stability of Islamic stock markets during turmoil periods. Overall, prudent risk management and precocious financial practices are relevant and crucial for both Islamic and conventional financial markets. Originality/value The originality of this study is performed by the use of time-varying models for volatility spillovers and informational efficiency. It considers structural break dates that think about the dynamic effect of informational flows on stock markets. The study was developed in a global framework using international data. The global analysis allows avoiding country specific effects.

scholarly journals Modernization of the Caspian States economy (Kazakhstan as an example)

2018 ◽  
Vol 5 (3) ◽  
pp. 251-267
Author(s):  
E. M. Kuzmina
Keyword(s):  
Soviet Union ◽  
Industrial Development ◽  
World Economy ◽  
Economic Conditions ◽  
Caspian Region ◽  
Resource Model ◽  
The Soviet Union ◽  
The World ◽  
The Government ◽  
Economic Modernization

The emerged after the collapse of the Soviet Union countries of the Caspian region have much in common in their resource and economic conditions. The dynamics of their development is also largely identical. Therefore, the article considers the processes of modernization of the Kazakhstan’s economy during the independence period as a typical state of the region. The author investigated the reasons for the choice of the resource model in the course of going to the world economy and the government actions on economic modernization and the beginning of the transition to innovation and industrial development.

scholarly journals Opportunities and Challenges of Remote Work

2021 ◽  
Vol 65 (2) ◽  
pp. 145-160
Author(s):  
Tatyana Kicheva ◽  
Keyword(s):  
World Economy ◽  
Point Of View ◽  
World Health ◽  
Remote Work ◽  
Health Crisis ◽  
Advantages And Disadvantages ◽  
Working Environments ◽  
Individual Point ◽  
The Many ◽  
The Impact

In a dynamic crisis situation such as the current one, the forecasts for the impact of COVID-19 on the world economy and the development of individual countries and cities are constantly changing. The impact of COVID-19 has turned many industries upside down in unexpected ways. More organizations switch to remote working environments for their employees due to the current world health crisis. The purpose of this article is to outline the opportunities and challenges facing Bulgarian employees working from home during the MarchApril 2020 state of mergency and beyond. We discuss the many advantages and disadvantages of remote work from an individual point of view.

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