scholarly journals The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach

2017 ◽  
Vol 9 (7) ◽  
pp. 86
Author(s):  
S. Aydin Yüksel ◽  
Asli Yüksel ◽  
Ümit Erol ◽  
Hakki Öztürk
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Structural Breaks ◽  
Global Financial Crisis ◽  
Main Tool ◽  
Developed Countries ◽  
Integration Approach ◽  
Variable Nature ◽  
The Global Financial Crisis ◽  
The Impact

The aim of this paper is to analyze the impact of the Global Financial Crisis (GFC) on the co-integration relationship between the REIT and stock market indices using a sample of 10 developed countries. The main tool employed for this purpose is the dynamic co-integration approach. The empirical results strongly suggest that the stock and REIT markets were deeply affected by two successive crises. The first crisis was related to the U.S. subprime problems while the second shock emanated from the European insolvency problems. The shocks led to serious structural breaks in the financial data during the 2007-2012 period. As a result of this and the highly variable nature of the co-integration structure during this period, the conventional and static Johansen tests cannot detect the strong co-integration between the REIT and stock markets which were the result of common negative response of both markets to the successive shocks. Dynamic co-integration approach seems to be a more valid tool to capture the dynamics of the co-integration structure after the GFC. The dynamic approach implies that the destruction of diversification benefits between the REIT and stock markets was essentially a shock related outcome which also implies that the diversification potential between these two markets may still be valid in the absence of shocks.

scholarly journals International Financial US Linkages: Networks Theory and MS-VAR Analyses

2019 ◽  
Vol 14 (PNEA) ◽  
pp. 459-484
Author(s):  
Miriam Sosa ◽  
Edgar Ortiz
Keyword(s):  
Financial Crisis ◽  
Latin American ◽  
Stock Markets ◽  
Regime Switching ◽  
Structural Changes ◽  
Global Financial Crisis ◽  
Developed Countries ◽  
Portfolio Investment ◽  
The Global Financial Crisis ◽  
The Impact

This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a sample of 13 developed countries and 6 emerging Latin American countries. Additionally, using daily data from 2003 to 2015, the dynamics of returns are analyzed to test whether the US market influenced these markets or vice versa; univariate (MS-AR) and multivariate (MS-VAR) regime-switching models are used. The evidence confirms the presence of two different regimes, low volatility and a high volatility for all markets. Findings suggest strengthening local productive and financial institutions in order to anchor FPI. The MS-(V)AR study is limited to stock markets from the Americas and Europe. Previous literature has not applied the innovative and complementary methodologies employed here to analyze financial crisis impacts on FPI flows. We conclude that US financial markets keep a close financial relationship with the most important European and American countries’ stock markets, both by receiving and delivering FPI, and in addition influencing the behavior of stock indexes.

scholarly journals The impact of the global financial crisis on the structure of investment portfolios of insurance companies

2011 ◽  
Vol 56 (191) ◽  
pp. 143-161 ◽  
Author(s):  
Jelena Kocovic ◽  
Tatjana Rakonjac-Antic ◽  
Marija Jovovic
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Developed Countries ◽  
Insurance Companies ◽  
Financial Health ◽  
Patterns Of Behavior ◽  
The Global Financial Crisis ◽  
Investment Portfolios ◽  
The Impact

This article deals with the impact of the global financial crisis on the scale and structure of investment portfolios of insurance companies, with respect to their difference compared to other types of financial institution, which derives from the specific nature of insurance activities. The analysis includes insurance companies? exhibited and expected patterns of behavior as investors in the period before, during, and after the crisis, considering both the markets of economically developed countries and the domestic financial market of Serbia. The direction of insurers? investments in the post-crisis period should be very carefully examined in terms of their future implications for the insurance companies? long-term financial health, and defined in a broader context of managing all risks to which they are exposed, taking into account the interdependence of these risks. Pertinent recommendations in this regard have arisen from research of relevant past experience and current trends, and also from an analysis and comparison of views on this subject presented by a number of authors.

scholarly journals The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis

PLoS ONE ◽  
2022 ◽  
Vol 17 (1) ◽  
pp. e0261835
Author(s):  
Samet Gunay ◽  
Gokberk Can
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Financial Contagion ◽  
Test Results ◽  
Developed Economies ◽  
Volatility Spillovers ◽  
The Us ◽  
The Global Financial Crisis ◽  
The Impact

This study investigates the reaction of stock markets to the Covid-19 pandemic and the Global Financial Crisis of 2008 (GFC) and compares their influence in terms of risk exposures. The empirical investigation is conducted using the modified ICSS test, DCC-GARCH, and Diebold-Yilmaz connectedness analysis to examine financial contagion and volatility spillovers. To further reveal the impact of these two crises, the statistical features of tranquil and crisis periods under different time intervals are also compared. The test results show that although the outbreak’s origin was in China, the US stock market is the source of financial contagion and volatility spillovers during the pandemic, just as it was during the GFC. The propagation of shocks is considerably higher between developed economies compared to emerging markets. Additionally, the results show that the COVID-19 pandemic induced a more severe contagious effect and risk transmission than the GFC. The study provides an extensive examination of the COVID-19 pandemic and the GFC in terms of financial contagion and volatility spillovers. The results suggest the presence of strong co-movements of world stock markets with the US equity market, especially in periods of financial turmoil.

scholarly journals China's Economic Policy in the Time of the Global Financial Crisis: Which Way Out?

2009 ◽  
Vol 38 (3) ◽  
pp. 165-181 ◽  
Author(s):  
Margot Schüller ◽  
Yun Schüler-Zhou
Keyword(s):  
Economic Growth ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Developed Countries ◽  
Chinese Economy ◽  
Chinese Government ◽  
Current Crisis ◽  
The Government ◽  
The Global Financial Crisis ◽  
The Impact

This contribution analyses the impact of the global financial crisis on the Chinese economy and the policies implemented by the Chinese government to cope with it. We argue, first, that China has not been able to decouple its economic performance from that of the U.S. and other developed countries. Second, although economic growth in the second quarter of 2009 showed that the stimulus package is working, the current development does not seem to be sustainable. In order to avoid another round of overheating, the government needs to adjust its stimulus policy. Third, the current crisis offers opportunities to conduct necessary structural adjustments in favour of more market-based and innovative industries, more investment by private companies and a stronger role of private consumption in economic growth. Fourth, with the external demand from the OECD countries declining, Chinese export companies need to further diversify their international markets and reorient their production and sales strategies to some extent towards the domestic market.

scholarly journals GARCH (1,1) Models and Analysis of Stock Market Turmoil during COVID-19 Outbreak in an Emerging and Developed Economy

2021 ◽  
Vol 14 (12) ◽  
pp. 576
Author(s):  
Budi Setiawan ◽  
Marwa Ben Abdallah ◽  
Maria Fekete-Farkas ◽  
Robert Jeyakumar Nathan ◽  
Zoltan Zeman
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Global Financial Crisis ◽  
The Impact

COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The pandemic has caused volatilities in the financial market at varying magnitudes, in the emerging versus developed economy. To examine this phenomenon, this study investigates the impact of COVID-19 pandemic on stock market returns and volatility in an emerging economy, i.e., Indonesia, versus developed country, i.e., Hungary, using an event-study approach methodology utilizing GARCH (1,1) model. In this study, the Jakarta Composite Index (JCI) and the b (BUX) data were obtained from Investing and Bloomberg, covering two global events observed within the selected period from 27 September 2006 to 31 August 2021. The data is compared with the stock market volatility data from the global financial crisis in 2007/08. Findings reveal that the recent COVID-19 pandemic had negative stock market returns at a greater magnitude compared to the global financial crisis, in both the emerging and developed economy’s equity market. Stock markets in Indonesia and Hungary have experienced volatility during the crisis. While comparing the result between COVID-19 and the global financial crisis, we found that the volatility on the stock markets is higher in the COVID-19 pandemic than during the global financial crisis. The higher stock market negative returns and volatility during the COVID-19 pandemic triggered the lockdown and limited economic activities, which impacted supply and demand shock. The virus’s propagation and mutation are continually evolving, reminding us that the pandemic is far from over. Developed countries with larger fiscal space seem to find it easier to make responsive policies than countries with a tighter financial budget. Fiscal and monetary policies seem to be a quick solution to stabilize the economy and maintain investor confidence in the Indonesian and Hungarian capital markets. Furthermore, the extension of stock market volatility understanding ensures relevant information for investors, which benefits to mitigate the risk and build sustainable investments of the unprecedented events and enables the promotion of Sustainable Development Goal number 8 (SDG8) to communities, with access to financial products including the stock market, especially during economic and financial uncertainties.

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