The Volatility for Pre and Post Global Financial Crisis

2011 ◽  
Vol 2 (2) ◽  
pp. 82-95
Author(s):  
Shih-Yung Wei ◽  
Jack J. W. Yang ◽  
Jen-Tseng Chen ◽  
Wei-Chiang Samuelson Hong
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Asset Returns ◽  
Financial Asset ◽  
Asymmetric Volatility ◽  
Empirical Results ◽  
Long Run ◽  
Short Run ◽  
Financial Asset Returns

The asymmetric volatility, temporary volatility, and permanent volatility of financial asset returns have attracted much interest in recent years. However, a consensus has not yet been reached on the causes of them for both the stocks and markets. This paper researched asymmetric volatility and short-run and long-run volatility through global financial crisis for eight Asian markets. EGARCH and CGARCH models are employed to deal with the daily return to examine the degree of asymmetric volatility (temporary volatility and permanent volatility). The authors find that after global financial crisis asymmetric volatility is lower (expect Hong Kong), and the long-run effect is more than the short-run effect. The empirical results for the short-run show that, after global financial crisis, there is significant decreasing in China and Taiwan but not in Japan; the others are significantly increasing. For the long-run, there is significant decreasing (except Thailand and Korea).

The Volatility for Pre and Post Global Financial Crisis

2013 ◽  
pp. 134-148 ◽  
Author(s):  
Shih-Yung Wei ◽  
Jack J. W. Yang ◽  
Jen-Tseng Chen ◽  
Wei-Chiang Hong
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Asset Returns ◽  
Financial Asset ◽  
Asymmetric Volatility ◽  
Empirical Results ◽  
Long Run ◽  
Short Run ◽  
Financial Asset Returns

The asymmetric volatility, temporary volatility, and permanent volatility of financial asset returns have attracted much interest in recent years. However, a consensus has not yet been reached on the causes of them for both the stocks and markets. This paper researched asymmetric volatility and short-run and long-run volatility through global financial crisis for eight Asian markets. EGARCH and CGARCH models are employed to deal with the daily return to examine the degree of asymmetric volatility (temporary volatility and permanent volatility). The authors find that after global financial crisis asymmetric volatility is lower (expect Hong Kong), and the long-run effect is more than the short-run effect. The empirical results for the short-run show that, after global financial crisis, there is significant decreasing in China and Taiwan but not in Japan; the others are significantly increasing. For the long-run, there is significant decreasing (except Thailand and Korea).

scholarly journals Pooled Mean Group Approach to Test the Determinants of Financial Integration: Evidence From OECD and G20 Countries

2019 ◽  
Vol 10 (3) ◽  
pp. 366
Author(s):  
Ahliman Abbasov
Keyword(s):  
Economic Growth ◽  
Financial Crisis ◽  
Financial Integration ◽  
Financial Liberalization ◽  
Global Financial Crisis ◽  
Positive Impact ◽  
Trade Integration ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study investigates the role of financial liberalization, trade integration, economic growth and global financial crisis on financial integration level of selected OECD and G20 countries during the period of 2000-2016. PMG technique has been implemented to estimate the ARDL model. Regression results suggest a statistically significant long run co-integration relationship between financial integration and independent variables. Analysis also concludes that there are both long run and short run positive impact of trade integration level on financial integration level. The study also concludes that the global financial crisis has had a negative influence on global financial integration both in the short run and long run. But according to the regression results the impact of financial liberalization on the actual financial integration level of the countries only appears in the long run. Results also indicate that positive impact of economic growth on financial globalization level appears only in the long run.

scholarly journals PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH

2019 ◽  
Vol 8 (4) ◽  
pp. 309
Author(s):  
SITI RAHAYU NINGSIH ◽  
I WAYAN SUMARJAYA ◽  
KARTIKA SARI
Keyword(s):  
Asset Returns ◽  
Financial Data ◽  
Stock Index ◽  
Garch Models ◽  
Leverage Effect ◽  
Financial Asset ◽  
Asymmetric Volatility ◽  
High Volatility ◽  
Financial Asset Returns ◽  
Forecasting Volatility

In financial data there is asymmetric volatility, which denotes the different movements on conditional volatility of increase and decrease financial asset returns. The exponential GARCH and threshold GARCH models can be used to capture asymmetric volatility, called leverage effect. The aim of this research is to determine the best model between exponential GARCH and threshold GARCH models, and to know the results of forecasting volatility the LQ-45 stock index using the best model. The research showed that the best model to predicting volatility is EGARCH(2,1), because it has the smallest AIC value compared to other models. Then forecasting volatility of the LQ-45 stock index using EGARCH(2,1) showed that volatility increase from the first period until fourteenth period, this means that it has high volatility.

Does exchange rate volatility influence import commodities of India-US? Evidence from ARDL approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohini Gupta ◽  
Sakshi Varshney
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Real Exchange Rate ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Empirical Analysis ◽  
Real Exchange Rate Volatility

PurposeThe aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real exchange rate on 45 import commodities, considering global financial crisis period on India's import from the US. The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effect and causality among variables.Design/methodology/approachThe study uses E-GARCH model to gage the real exchange rate volatility, an autoregressive distributive lag (ARDL) bound test technique to discover the adequate short- and long-run relationships and Toda-Yamamoto causality method to analyze the causality among variables. The study uses the time period from 2002:M09 to 2019:M06.FindingsThe empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effects and causality among variables.Practical implicationsThe finding of the study suggests that macroeconomic variables have significant role and could be important to undertake the small and medium scale industries in policymaking. Government may need to make decision for micro, small and medium enterprises (MSMEs) as their performance can bring change in the trade to compete globally by increasing and controlling the price of the import and defending the domestic competitiveness.Originality/valueThe study uses additional variable namely price of import and includes the global financial crisis period to measure dampening effect on each commodity by using robust econometric technique in context of emerging nation like India.

Volatility of Malaysian conventional and Islamic indices: does financial crisis matter?

2020 ◽  
Vol 11 (1) ◽  
pp. 1-11 ◽  
Author(s):  
Muhamad Abduh
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Composite Index ◽  
Least Square ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Global Financial Crisis ◽  
The Impact

Purpose This study aims to investigate the volatility of conventional and Islamic indices and to explore the impact of the global financial crisis toward the volatility of both markets in Malaysia. Design/methodology/approach The data consist of financial times stock exchange group (FTSE) Bursa Malaysia Kuala Lumpur Composite Index and FTSE Bursa Malaysia Hijrah-Shari‘ah Index covering the period January 2008-October 2014. Generalized autoregressive conditional heteroskedasticity is used to find the volatility of the two markets and an ordinary least square model is then used to investigate the impact of the crisis toward the volatility of those markets. Findings Interestingly, the result shows that Islamic index is less volatile during the crisis compared to the conventional index. Furthermore, the crisis is proven to significantly affect the volatility of conventional index in the short run and Islamic index in the long run. Originality/value This study explores the volatility–financial crisis nexus, especially for the Islamic financial markets, which to the best of the author’s knowledge, is still lacking empirical research which may improve the understanding upon this issue.

scholarly journals A Comparative Analysis of Dynamic Interactions between European and Indonesian Cocoa Markets during the 2008 Global Financial Crisis and the 2011 European Debt Crisis

2021 ◽  
Vol 24 (3) ◽  
pp. 139-162
Author(s):  
Mukhlis Mukhlis ◽  
M. Shabri Abd. Majid ◽  
Sofyan Syahnur ◽  
Musrizal Musrizal ◽  
Nova Nova
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Reciprocal Relationship ◽  
Dynamic Interactions ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
European Debt Crisis ◽  
Long Run Equilibrium

This study empirically explores the dynamic interactions between the European and Indonesian cocoa markets during the 2008 global financial crisis (GFC) and the 2011 European debt crisis (EDC) using a battery of time series approaches of cointegration and multivariate Granger causality. The study documented a long-run equilibrium between the European and Indonesian cocoa markets, implying a reciprocal relationship. However, an inefficient adjustment transmission in the Indonesian cocoa prices was recorded throughout the study. The US currency constantly influenced Indonesian cocoa prices, while cocoa markets were independent of fluctuations in world oil prices. Overall, the study recorded a different level of the speed of adjustment of short-run imbalances to long-run equilibrium in the domestic cocoa market across economic crises.

scholarly journals INTEREST RATE PASS-THROUGH IN TURKEY AND IMPACT OF GLOBAL FINANCIAL CRISIS: ASYMMETRIC THRESHOLD COINTEGRATION ANALYSIS

2012 ◽  
Vol 14 (1) ◽  
pp. 98-113 ◽  
Author(s):  
Ebru Yüksel ◽  
Kıvılcım Metin Özcan
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Aggregate Demand ◽  
Cointegration Analysis ◽  
Threshold Cointegration ◽  
Long Run ◽  
Short Run ◽  
Pass Through

This paper aims to investigate the interest rate pass-through of monetary policy rate to banking retail rates in Turkey by employing the asymmetric threshold autoregressive (TAR) and momentum threshold autoegressive (MTAR) procedures introduced by Enders and Siklos (2001). Over the period December 2001 to April 2011, the empirical results of asymmetric threshold cointegration analysis suggest that there exist significant and complete pass-through between policy rate and loan rates. Positive and negative departures from the equilibrium converge to long run path almost at the same speed. Pace of convergence is about two to three months for all loan rates. Policy rate has significant short run impact on loan rates. Our analysis revealed that there is no significant relationship between policy rate and bank deposit rates due to sluggish adjustment of deposit rates. Lastly, the speed and behavior of interest rate pass-through between policy rate and loan rates did not change when we encounter the effect of 2008 financial crisis. Having a banking sector dominated financial system in Turkey, the results suggest that banks adjust loan rates faster than deposit rates. This indicates that Central Bank can affect the consumption behavior of people, in other words aggregate demand through loan rates.

Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis

2017 ◽  
Vol 19 (2) ◽  
pp. 311-327
Author(s):  
Amanjot Singh ◽  
Manjit Singh
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Equity Markets ◽  
Time Varying ◽  
Dynamic Interactions ◽  
Policy Regime ◽  
Long Run ◽  
The Us ◽  
Johansen Cointegration ◽  
Short Run

The study attempts to capture static (long-run) as well as short-run time-varying co-movement among the US, frontier and Brazil, Russia, India and China (BRIC) equity markets (Morgan Stanley Capital International (MSCI) indices) in a multivariate framework after the recent global financial crisis, that is, during the easy money policy regime adopted by the emerged nations. The study employs Johansen cointegration and VAR ( p) ADCC-MVGARCH (1,1) models ranging from August 2010 to August 2015. Apart from this, efficient tests of causality inspired from Hill (2007, Journal of Applied Econometrics, 22(4), 747–765) are also employed to account for dynamic interactions between the co-movement coefficients. The Johansen cointegration model does not support the existence of a stochastic trend among the variables. However, asymmetric dynamic conditional correlation-multivariate generalized autoregressive conditional heteroskedastic model (ADCC-MVGARCH (1,1) model) results indicate time-varying co-movement among the underlying stock markets. The highest level of co-movement has been observed between the US and BRIC equity markets. On the other hand, co-movement between the US and frontier markets is found to be the lowest among others. On an average, 1-dollar long position in the US equity market should be shorted by 0.52 and 0.48 cents in the frontier and BRIC equity markets, respectively, across the sample time period. The efficient causality tests report indirect impact of co-movement between the US-frontier markets on the BRIC-frontier markets’ co-movement. The results critically support construction of a portfolio comprising stocks from the US, frontier and BRIC equity markets considering long-run and short-run co-movement among the variables.

scholarly journals Why the COVID-19 Pandemic Could Increase the Corporate Saving Trend in the Long Run

2021 ◽  
Vol 56 (1) ◽  
pp. 40-44
Author(s):  
Markus Demary ◽  
Stefan Hasenclever ◽  
Michael Hüther
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
Equity Capital ◽  
Bank Loans ◽  
Long Run ◽  
Downward Pressure ◽  
Short Run ◽  
The Global Financial Crisis ◽  
Corporate Saving

AbstractGiven the global trend in corporate saving over the last decades, the COVID-19 crisis raises doubts about the persistence of companies’ saving behaviour due to the losses which have occurred in many companies caused by the isolation of households and by lockdowns. Before the pandemic, corporate net lending activities had been increasing for decades due to various factors ranging from the rise in uncertainty after the global financial crisis to the increased reliance on internal funding for research and development expenditures. In Germany, the rise in corporate saving was accompanied by an increase in equity capital and a reduction in the corporate sector’s reliance on bank loans. This article argues that the coronavirus crisis is most likely to interrupt the trend in corporate saving in the short run due to the decline in companies’ revenues. Nonetheless, similar to the pattern observed in the aftermath of the financial crisis, it seems reasonable to conjecture that the COVID-19 shock will strengthen corporate saving in the long run as companies may attempt to restore their liquidity and equity capital buffers to better prepare for future shocks. This will in turn create downward pressure on real interest rates and complicate the conduct of monetary policy.

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