scholarly journals NETWORK ANALYSIS OF PAKISTAN STOCK MARKET DURING THE TURBULENCE OF ECONOMIC CRISIS

2019 ◽  
Vol 17 (2) ◽  
pp. 269-285 ◽  
Author(s):  
Bilal Ahmed Memon ◽  
Hongxing Yao ◽  
Faheem Aslam ◽  
Rabia Tahir
Keyword(s):  
Network Analysis ◽  
Stock Market ◽  
Interest Rates ◽  
Economic Crisis ◽  
Network Structure ◽  
Topological Property ◽  
Minimum Spanning Tree ◽  
Time Varying ◽  
Tree Length ◽  
The Impact

Purpose – the purpose of this study is to analyse the impact of the recent economic crisis on the network topology structure of Pakistan stock market. Since stock market is considered a core financial market for the development of an economy, it is often used as benchmark to measure a country`s progress. Policymakers often forecast tendency of share prices, that is dependent on several foreign and local macroeconomic factors. Therefore, the aim of this study is to investigate how rising inflation, higher interest rates, and trade and budgetary deficits affect the network structure of blue-chip 96 companies listed on the Karachi stock exchange (KSE-100) index of Pakistan stock market. Research methodology – this study follows the methodology proposed by Mantegna and Stanley and uses cross-correlation in the daily closing price of KSE 100 Index companies to compute Minimum spanning tree (MST) structures. Additionally, we also apply time-varying topological property of average tree length to extract dynamic features of the MST networks. Findings – we construct eight monthly MSTs that show the instability of the network structure and significant differences in the topological characteristics due to economic crisis of Pakistan. Furthermore, the time-varying topological property of average tree length reveals contraction of the networks due to tight correlation among stocks. Research limitations – this study focuses on correlation-based network construction of MST. The scope of the study can be widened by constructing partial correlation-based MSTs and comparison of different networks structures accordingly. Practical implications – the network properties and findings of this paper will help policymakers and regulators in setting right policies, regulatory framework, and risk management for the stock market. Originality/Value – no previous studies have performed MST based network analysis examining macroeconomic events. Therefore, we fill the research gap and thoroughly analyse structural change and dynamics of Pakistan stock market during the turbulence of current economic crisis of Pakistan.

scholarly journals The Impact of COVID-19 on the Dynamic Topology and Network Flow of World Stock Markets

2021 ◽  
Vol 7 (4) ◽  
pp. 241
Author(s):  
Bilal Ahmed Memon ◽  
Hongxing Yao
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Network Flow ◽  
Financial Stability ◽  
Minimum Spanning Tree ◽  
Centrality Measures ◽  
Topological Evolution ◽  
The World ◽  
Tree Length ◽  
The Impact

Studies examining the impact of COVID-19 using network dynamics are scant and tend to evaluate a specific local stock market. We present a thorough investigation of 58 world stock market networks using a complex network approach spanning across the uncertain times that have resulted from the coronavirus outbreak. First, we use the daily closing prices of the world stock market indices to construct dynamic complex networks and sixteen minimum spanning tree (MST) maps for the period from December 2019 to March 2021. Second, we present the topological evolution properties of time-varying MSTs by applying normalized tree length, diameter, average path length, and centrality measures. Moreover, the empirical results suggest that (1) the highest correlation among the world stock markets is observed during the first wave of the COVID-19 pandemic in the months of February–March 2020; (2) most of the MSTs appear lower in hierarchy, and many chain-like structures are formed due to the sheer impact of pandemic-related crises; (3) Germany remained a hub node in many of the MSTs; and (4) the tree severely contracted during the first wave of the COVID-19 outbreak (during the months of February and March 2020) and expanded slightly afterwards. Moreover, the results obtained from this study can be used for the development of financial stability policies and stock market regulations worldwide.

scholarly journals The Ability of Selected European Countries to Face the Impending Economic Crisis Caused by COVID-19 in the Context of the Global Economic Crisis of 2008

2020 ◽  
Vol 13 (8) ◽  
pp. 179
Author(s):  
Róbert Oravský ◽  
Peter Tóth ◽  
Anna Bánociová
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Economic Crisis ◽  
Economic Effects ◽  
European Countries ◽  
Consumer Confidence ◽  
Negative Consequences ◽  
Confidence Index ◽  
The Interest Rate ◽  
The Impact

This paper is devoted to the ability of selected European countries to face the potential economic crisis caused by COVID-19. Just as other pandemics in the past (e.g., SARS, Spanish influenza, etc.) have had negative economic effects on countries, the current COVID-19 pandemic is causing the beginning of another economic crisis where countries need to take measures to mitigate the economic effects. In our analysis, we focus on the impact of selected indicators on the GDP of European countries using a linear panel regression to identify significant indicators to set appropriate policies to eliminate potential negative consequences on economic growth due to the current recession. The European countries are divided into four groups according to the measures they took in the fiscal consolidation of the last economic crisis of 2008. In the analysis, we observed how the economic crisis influences GDP, country indebtedness, deficit, tax collection, interest rates, and the consumer confidence index. Our findings include that corporate income tax recorded the biggest decline among other tax collections. The interest rate grew in the group of countries most at risk from the economic crisis, while the interest rate fell in the group of countries that seemed to be safe for investors. The consumer confidence index can be considered interesting, as it fell sharply in the group of countries affected only minimally by the crisis (Switzerland, Finland).

scholarly journals IMPACT OF IMF LENDING ANNOUNCEMENTS ON THE PERFORMANCE OF STOCK MARKET: EMPIRICAL EVIDENCE FROM PAKISTAN

2021 ◽  
Vol 9 (3) ◽  
pp. 467-476
Author(s):  
Muhammad Azeem ◽  
Nisar Ahmad ◽  
Sarfraz Hussain ◽  
Muzammil Khurshid ◽  
Safyan Majid
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Empirical Evidence ◽  
Economic Performance ◽  
Economic Conditions ◽  
The Political ◽  
Time Varying ◽  
Negative Effect ◽  
Multiple Challenges ◽  
The Impact

Purpose of the study: Stock markets have demonstrated varying reactions to IMF lending announcements across various economies. Announcements offered by IMF often be perceived negatively by the participants of the stock market, because of stringent conditions accompanied with the loan that may oppose the political and economic agenda of a borrowing nation. Thus, this study intends to investigate the impact of IMF’s announcements about extending loans to Pakistan on the performance of the Stock market in the debt-ridden economy. Methodology: For regular returns from 1997 to 2017, the benchmarking indexes of KSE-100 and 30 were used. Meanwhile, IMF lending arrangements are categorized into three respective dummies (standby, extended credit facility, and extended fund facility). The Generalized Autoregressive Conditional Heteroscedastic (GARCH) model was used to investigate the effect of IMF’s lending news on the regular stock returns. Main findings: The results show a statistically significant effect of the IMF’s News about lending arrangements on the performance of the stock market in Pakistan. Surprisingly, the negative effect of IMF lending announcements on the performance of the stock market in Pakistan implies that the loans extended by IMF are not professed by speculators as good for the economic performance of the economy. Application of this study: The findings of this study imply that simply extending loans is not a panacea for politically unstable and financially ruined nations. Lending strategies of IMF need to be favourable for the political and economic conditions of a borrowing country. Originality/ Novelty: As for as the novelty is concerned, the study has highlighted the time-varying impact of IMF lending announcements on the performance of the stock market in a financially fragile country where a newborn government facing multiple challenges has made its best effort to avoid borrowing from IMF.

scholarly journals The Effects of Money Supply and Interest Rates on Stock Prices, Evidence from Two Behavioral Experiments

2021 ◽  
Vol 8 (2) ◽  
pp. 33
Author(s):  
Christian A. Conrad
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Prices ◽  
Positive Impact ◽  
Real Economy ◽  
Behavioral Experiments ◽  
The Impact

What is the impact of interest rate and monetary policy on the stock market? Some studies find a positive impact of expansive monetary policy on stock prices others prove the opposite. This paper examines the effects of monetary expansion and interest rate changes on investment behavior on the stock market by illustrating two behavioral experiments with students. In our experiments the increase of money supply and the decrease of interest rates had a direct positive impact on share prices. These findings support the hypothesis that extreme expansive monetary policy with low, zero or negative interest rates encourage financial bubbles on the stock market. To avoid a crash the exit from such a policy must be slow. As happened in 1929, crashes can damage the financial system and the real economy. Central banks must take this into account in their monetary policy.

scholarly journals The Impact of Food Price Crises on the Demand for Nutrients in Pakistan

2016 ◽  
Vol 11 (3) ◽  
pp. 305-327
Author(s):  
Nadia Shabnam ◽  
Fabio Gaetano Santeramo ◽  
Zahid Asghar ◽  
Antonio Seccia
Keyword(s):  
Developing Countries ◽  
Food Security ◽  
Nutritional Status ◽  
Economic Crisis ◽  
Food Price ◽  
Price Increase ◽  
Policy Implications ◽  
Time Varying ◽  
Staple Food ◽  
The Impact

The global economic crisis in 2007–2008 resulted in a tremendous food price increase that is likely to have adversely affected the food security and nutritional status in many developing countries. Understanding how nutritional intakes may have changed as a result of the food price crisis is important, especially for Pakistan, the country under scrutiny which, despite of being a large producer of staple food, suffers from severe problems of undernourishment. We used two survey rounds, 2005–2006 and 2010–2011, to investigate how calorie and macronutrient intakes have evolved. The analysis was carried out with the use of a time varying model and is enriched by an in-depth investigation for different quantiles. The results show that food security deteriorated because of the food price crisis. In the light of this outcome, policy implications are discussed.

scholarly journals The Volatility Effect of Single-Stock Futures Trading on the Pakistani Stock Market

2013 ◽  
Vol 2 (1) ◽  
pp. 65-93
Author(s):  
Adil Awan ◽  
Amir Rafique
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Spot Market ◽  
Market Volatility ◽  
Time Varying ◽  
Futures Trading ◽  
F Test ◽  
Single Stock Futures ◽  
The Impact ◽  
Econometric Technique

The impact of single-stock futures on spot market volatility is still debated in the finance literature. The aim of this study is to analyze the effect of the introduction of single-stock futures on the volatility of the Karachi Stock Exchange (KSE). We examine changes in the level of volatility and structure after the introduction of single-stock futures, evaluating 24 companies listed on the KSE. The study applies the F-test to determine differences in variance as a traditional measure for volatility and uses GARCH (1,1) as an econometric technique for detecting time-varying volatility. The results show that there is no effect on the volatility level but that changes occur in the structure of volatility after stock futures trading.

Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market

2018 ◽  
pp. 229-245
Author(s):  
Huynh Viet Khai ◽  
Le Minh Sang ◽  
Phan Thi Anh Nguyet
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Economic Crisis ◽  
Oil Prices ◽  
Stock Market Index ◽  
Market Index ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Impact

This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic crisis.

scholarly journals Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes

PLoS ONE ◽  
2021 ◽  
Vol 16 (11) ◽  
pp. e0259282
Author(s):  
Mahdi Ghaemi Asl ◽  
Hamid Reza Tavakkoli ◽  
Muhammad Mahdi Rashidi
Keyword(s):  
Stock Market ◽  
Infectious Diseases ◽  
Ebola Virus ◽  
Disease Outbreaks ◽  
Dependence Structure ◽  
Time Varying ◽  
Copula Approach ◽  
Sector Analysis ◽  
Novel Coronavirus ◽  
The Impact

Infectious diseases and widespread outbreaks influence different sectors of the economy, including the stock market. In this article, we investigate the effect of EBOV and COVID-19 outbreaks on stock market indices. We employ time-varying and constant bivariate copula methods to measure the dependence structure between the infectious disease equity market volatility index (IEMV) and the stock market indices of several sectors. The results show that the financial and communication services sectors have the highest and the lowest negative dependency on IEMV during the Ebola virus (EBOV) pandemic, respectively. However, the health care and energy sectors have the highest and lowest negative dependency on IEMV during the COVID-19 outbreak, respectively. Therefore, the results confirm the heterogeneous time-varying dependency between infectious diseases and the stock market indices. The finding of our study contributes to the ongoing literature on the impact of disease outbreaks, especially the novel coronavirus outbreak on global large-cap companies in the stock market.

The Association between Accounting Earnings, Dividends, Stock Prices and Stock Returns: Value Relevance of Accounting Standards in the Tunisian Stock Market

2017 ◽  
Vol 7 (1) ◽  
Author(s):  
Ahmed Bouteska ◽  
Boutheina Regaieg
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Value Relevance ◽  
Explanatory Power ◽  
Investment Decisions ◽  
Accounting Earnings ◽  
Stock Market Returns ◽  
The Impact

This present study aims to examine the relationship between accounting earnings, dividends, stock prices and stock returns for companies listed at the Tunisian stock exchange. Using panel data obtained from the annual reports and financial statements of 57 Tunisian companies over the period 2005-2015, we show the existence of an earning-dividend-return significant positive relation by applying four models developed from Easton and Harris (1991), Frino and Tibbits (1992) and Kothari and Zimmerman (1995).. The empirical results indicate a significant value relevance of accounting earnings and dividends reported by Tunisian companies under the standards generally accepted in Tunisia. Particularly, it appears from our main findings in regressions the relative explanatory power of above variables on stock market returns which clarifies the important proportions of variations of stock returns in Tunisia. The findings from the study also reveal that shareholders pay a special attention to the impact of dividend and dividend yield on stock returns. Moreover, investors should consider informative earnings numbers as investment criteria as well as many other factors for example interest rates and industry performance affecting stock returns when it comes to make investment decisions. Based on these results and due to the importance of accounting earnings in investment decisions we recommend that there is need for investors to carefully use financial advisory information that financial analysts provide to them in order to determine what the correct and comparable earnings per share (EPS) or dividend per share (DPS) of each company.

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