scholarly journals Research on Sustainable Development of the Stock Market Based on VIX Index

2018 ◽  
Vol 10 (11) ◽  
pp. 4113
Author(s):  
Lei Ruan
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Financial Markets ◽  
Information Asymmetry ◽  
Stock Index ◽  
Chinese Stock Market ◽  
The Sustainable Development ◽  
Financial Variables ◽  
Dynamic Copula ◽  
The Impact

The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors’ returns. However, many scholars believe that the problem of information asymmetry in China has seriously negatively impacted investors, forming an unsustainable state. At present, there are still many problems in the Chinese stock market, especially the stock market fraud, which brings great challenges to the sustainable development of the stock market. Based on the idea of the STCC model, it is assumed that the Copula parameter is affected by the exogenous variables and the time-varying dynamic Copula model-ST-VCopula model is established. Based on the model, the influence of market volatility (VIX index) on the stock market is explored and then the stock index data of several countries are empirically analyzed. The empirical results show that the VIX index has a significant impact on the linkage between stock markets. The VIX index is easy and more intuitive to obtain, providing another way for the dynamic linkage research between the market, which can provide investors with some guidance and advice when conducting financial activities such as diversification.

scholarly journals Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX

2020 ◽  
Vol 12 (20) ◽  
pp. 8581
Author(s):  
Wenjing Xie ◽  
João Paulo Vieito ◽  
Ephraim Clark ◽  
Wing-Keung Wong
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
International Treaties ◽  
National Policies ◽  
The Sustainable Development ◽  
Long Run ◽  
Stock Market Investors

This study investigates whether the merger of NASDAQ and OMX could reduce the portfolio diversification possibilities for stock market investors and whether it is necessary to implement national policies and international treaties for the sustainable development of financial markets. Our study is very important because some players in the stock markets have not yet realized that stock exchanges, during the last decades, have moved from government-owned or mutually-owned organizations to private companies, and, with several mergers having occurred, the market is tending gradually to behave like a monopoly. From our analysis, we conclude that increased volatility and reduced diversification opportunities are the results of an increase in the long-run comovement between each pair of indices in Nordic and Baltic stock markets (Denmark, Sweden, Finland, Estonia, Latvia, and Lithuania) and NASDAQ after the merger. We also find that the merger tends to improve the error-correction mechanism for NASDAQ so that it Granger-causes OMX, but OMX loses predictive power on NASDAQ after the merger. We conclude that the merger of NASDAQ and OMX reduces the diversification possibilities for stock market investors and our findings provide evidence to support the argument that it is important to implement national policies and international treaties for the sustainable development of financial markets.

scholarly journals The impact of MILA market-maker facility on volatility of the Colombian stock market

2021 ◽  
Vol 32 (86) ◽  
pp. 345-358
Author(s):  
Benedicto Kulwizira Lukanima ◽  
Yuli Paola Gómez-Bravo ◽  
Luis Javier Sanchez-Barrios
Keyword(s):  
Stock Market ◽  
Information Asymmetry ◽  
Risk Premium ◽  
Stock Index ◽  
Market Maker ◽  
Policy Makers ◽  
Portfolio Returns ◽  
Volatility Persistence ◽  
Two Samples ◽  
The Impact

ABSTRACT In 2014, the Colombian Stock Exchange commenced the implementation of its market-maker facility (MMF), aiming at improving market efficiency. This paper examines the impact of the MMF program on three volatility-related aspects: volatility persistence, risk premium, and information asymmetry. This paper provides new insights about the anticipated outcomes of Mercados Integrados Latinoamericanos (MILA) reforms, specifically the MMF on the volatility of the Colombian stock market. This topic has not been fully addressed in the existing literature. This study, therefore, provides useful information for regulators and policy makers, in endeavors to address key issues raised during the World Economic Forum (WEF) of 2016. This paper poses a challenge to policy makers and stock market regulators in Colombia to revisit the reform program and address the factors limiting the effectiveness of market reforms. This paper provides justification for replicating the study to cover other MILA countries due to existing differences in some domestic market policies and structures. The paper employs conditional variance models for measuring volatility persistence, risk premia, and information asymmetry. The models are employed on the COLCAP stock index (Colombia) observed from January 17, 2008 to May 30, 2019. Observations are divided into two samples - pre- and post-MMF. This paper provides evidence of the impacts of the MMF reforms in the Colombian stock market. Specifically, the MMF seems to have an impact on the following aspects: (i) the magnitude in which current returns depend on previous returns has increased; (ii) investment portfolio returns, which are generally low, have declined after the MMF, leading to less risk compensation; (iii) the MMF does not seem to have affected the volatility of market returns and information asymmetry; (iv) volatility persistence increased in magnitude.

scholarly journals Impact persistence of stock market risks in commodity markets: Evidence from China

PLoS ONE ◽  
2021 ◽  
Vol 16 (11) ◽  
pp. e0259308
Author(s):  
Shusheng Ding ◽  
Zhipan Yuan ◽  
Fan Chen ◽  
Xihan Xiong ◽  
Zheng Lu ◽  
...  
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Market Risk ◽  
Commodity Markets ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Gold Market ◽  
Shock Impact ◽  
Market Shocks ◽  
The Impact

The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets’ responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.

scholarly journals New financial markets and their impact on raw material prices

2019 ◽  
Vol 53 (3) ◽  
pp. 85
Author(s):  
Marek Szturo ◽  
Bogdan Włodarczyk
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Global Financial Crisis ◽  
Raw Materials ◽  
Chinese Economy ◽  
Raw Material ◽  
Chinese Stock Market ◽  
Distributed Lag ◽  
Commodity Currencies ◽  
The Impact

<p>The purpose of the study was to determine the impact of the Chinese financial market, which is a new market, on the exchange rates of commodity currencies and, thus, the prices of raw materials. For this purpose, an autoregressive distributed lag model (ARDL) was used. The results indicate that the Chinese stock market and futures market for the yuan (the Chinese Yuan Non-Deliverable Forward Transactions; CNY NDF market) had a significant impact on commodity currencies before the global financial crisis in 2008/09, then the effect widened to include more commodity currencies in the post-crisis period. Further evidence suggests that the CNY NDF market had a greater impact on commodity currencies than the Chinese stock market. Despite the significant position of the Chinese economy, research also indicates that the impact of Chinese financial markets on commodity currencies (raw material prices) is weaker than the impact of the US stock market and US dollar market.</p>

An Analysis of China's Stock Market in the First 10 Years

2009 ◽  
Vol 12 (04) ◽  
pp. 629-653 ◽  
Author(s):  
Siwei Cheng
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Policy Making ◽  
Academic Research ◽  
Chinese Stock Market ◽  
Systematic Analysis ◽  
The Sustainable Development ◽  
Research Findings ◽  
China’S Economy

The purpose of this paper is to provide a systematic analysis of the development of the Chinese stock market in the first 10 years. It can be a lesson to both researchers and investors on China's stock market. In this paper, the author first shares his own experience from involvement in policy making and regulation inspections in developing China's stock market. Then, based on observations at the market as well as academic research findings that he conducted with his colleagues, the author discusses eight major problems that should be addressed in order to build a mature stock market in China to support the sustainable development of China's economy.

Assessing the sustainability of the Siberian Federal District regions

2020 ◽  
Vol 18 (5) ◽  
pp. 891-908
Author(s):  
T.A. Smirnova
Keyword(s):  
Sustainable Development ◽  
Environmental Factors ◽  
Regional Development ◽  
Federal District ◽  
Integrated Approach ◽  
Siberian Federal District ◽  
The Sustainable Development ◽  
The Impact ◽  
Empirical Analyses

Subject. This article deals with the issues of functioning of the region as a system. Objectives. The article aims to identify the problems of the region's functioning as a system, develop methodological tools to monitor the sustainable development of the Siberian Federal District territories, and determine the the impact of socio-economic and environmental factors on the sustainable development of the region as a whole. Methods. For the study, I used the methods of theoretical, statistical, and empirical analyses taking into account an integrated approach. Results. The article reveals the impact of some individual components of regional development on the sustainability of the territorial system as a whole. Relevance. The results of the study can be used to analyze the sustainability of regions' development.

Directions of Accounting Environmental Factors for Forecasting Formation of Agroecosystems

2020 ◽  
pp. 31-35
Author(s):  
L.Z. Khalishkhova ◽  
◽  
A. Kh. Temrokova ◽  
I.R. Guchapsheva ◽  
K.A. Bogаtyreva ◽  
...  
Keyword(s):  
Sustainable Development ◽  
Comparative Analysis ◽  
Environmental Factors ◽  
Environmental Safety ◽  
Logical Analysis ◽  
Management Decisions ◽  
The Sustainable Development ◽  
The Impact

Ensuring the sustainable development of agroecosystems requires research into the justification of the impact of environmental factors on the formation of territorial agroecosystems and identifies ways to take them into account in order to justify management decisions and ensure environmental safety. The main goal of the research within the article is to identify the most significant environmental factors in predicting the formation of agroecosystems. Provisions are devoted to the study of the laws governing the functioning of agroecosystems in order to increase their stability. The methods of comparative analysis, generalization, abstraction, logical analysis are applied. A number of provisions are formulated regarding ways to account for the influence of factors on the formation of key elements of agroecosystems.

Influence of internal and external risks on sustainability of financial system of Аltai krai

2018 ◽  
Vol 35 (4) ◽  
pp. 133-136
Author(s):  
R. N. Ibragimov
Keyword(s):  
Sustainable Development ◽  
Financial Stability ◽  
Management Strategy ◽  
Financial System ◽  
Risk Management Strategy ◽  
The Sustainable Development ◽  
The Stability ◽  
The Impact

The article examines the impact of internal and external risks on the stability of the financial system of the Altai Territory. Classification of internal and external risks of decline, affecting the sustainable development of the financial system, is presented. A risk management strategy is proposed that will allow monitoring of risks, thereby these measures will help reduce the loss of financial stability and ensure the long-term development of the economy of the region.

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