Financial Crisis and Financial Market Volatility Spill-Over

2011 ◽  
Vol 5 (3) ◽  
pp. 185-199 ◽  
Author(s):  
Gagari Chakrabart ◽  
Soumya Saha
Keyword(s):  
Financial Crisis ◽  
Financial Market ◽  
Market Volatility

Elevated Uncertainty during the Financial Crisis: Do Effects on Subjective Well-Being Differ across European Countries?

2019 ◽  
Vol 19 (2) ◽  
Author(s):  
Lena Tonzer
Keyword(s):  
Life Satisfaction ◽  
Financial Crisis ◽  
Stock Market ◽  
Financial Market ◽  
Euro Area ◽  
Well Being ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Subjective Well Being ◽  
Market Variables

Abstract This paper focuses on the effect of uncertainty as reflected by financial market variables on subjective well-being. The analysis is based on Eurobarometer surveys, covering 18 countries over the period 2000–2013. Individuals report lower levels of life satisfaction in times of higher uncertainty approximated by stock market volatility. This effect is heterogeneous across respondents: the probability of being unsatisfied is higher for respondents who are older, unemployed, less educated, and live in one of the GIIPS countries of the Euro area. Furthermore, higher uncertainty in combination with a financial crisis increases the probability of reporting low values of life satisfaction.

scholarly journals Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Agriculture ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 93
Author(s):  
Pavel Kotyza ◽  
Katarzyna Czech ◽  
Michał Wielechowski ◽  
Luboš Smutka ◽  
Petr Procházka
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Market ◽  
Structural Breaks ◽  
Structural Changes ◽  
Global Financial Crisis ◽  
Market Uncertainty ◽  
Volatility Index ◽  
The Global Financial Crisis ◽  
The Relationship

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.

scholarly journals High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility

PLoS ONE ◽  
2013 ◽  
Vol 8 (6) ◽  
pp. e64846 ◽  
Author(s):  
Ryohei Hisano ◽  
Didier Sornette ◽  
Takayuki Mizuno ◽  
Takaaki Ohnishi ◽  
Tsutomu Watanabe
Keyword(s):  
Financial Market ◽  
Market Volatility ◽  
High Quality ◽  
Topic Extraction ◽  
Business News
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