scholarly journals Crises boursières, bulles spéculatives et raitionalité économique

2005 ◽  
Vol 20 (4) ◽  
pp. 781-790
Author(s):  
Marie-Christine Adam ◽  
Ariane Szafarz
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Critical Analysis ◽  
Rational Expectations ◽  
Financial Analysts ◽  
Stock Market Crash ◽  
Speculative Bubble ◽  
The World

In October 1987 the stock markets across the world witnessed an unprecedent crash of which both economists and financial analysts are still trying to under-stand the origin. One of the most controversial interpretations of this event is the speculative bubble hypothesis according to which long overvalued stock prices readjusted to realistic values in october 87. This interpretation is particularly interesting given that new "bubble" theories have been developed within the framework of rational expectations models during the last ten years. This paper presents a critical analysis of these theories and evaluates their potential for our understanding of the stock market crash.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

scholarly journals Influence of world stock markets on the development of the stock market in Ukraine

2021 ◽  
Vol 18 (4) ◽  
pp. 223-240
Author(s):  
Inna Shkolnyk ◽  
Serhiy Frolov ◽  
Volodymyr Orlov ◽  
Viktoriia Dziuba ◽  
Yevgen Balatskyi
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Mutual Influence ◽  
Stock Exchanges ◽  
World Federation ◽  
Pairwise Correlation ◽  
Stock Market Performance ◽  
The Us ◽  
The World ◽  
Global Stock Markets

Viewing the development of the stock market in Ukraine, the economy, which world financial organizations characterize as small and open, is largely determined by the trends formed by the global stock markets and leading stock exchanges. Therefore, the study aims to analyze Ukraine’s stock market, the world stock market, stock markets in the regions, and to assess their mutual influence. The study uses the data of the World Federation of Exchanges and National Securities and Stock Market Commission (Ukraine) from 2015 to 2020. Stock market performance forecasts are built using triple exponential smoothing. Based on pairwise correlation coefficients, the existence of a significant dependence in the development of the world stock market on the development of the American stock market was determined. Regarding the Ukrainian stock exchanges, only SE “PFTS” demonstrated its dependence on the US stock market. The results of the regression model based on an exponentially smoothed series of trading volumes in all markets showed that variations in the volume of trading on the world stock market are due to the situation on the US stock markets. Trading volume dynamics on Ukrainian stock exchanges such as SE “PFTS” and SE “Perspektiva” is almost 50% determined by the development of stock markets in the American region. Although Ukraine is geographically located in Europe, the results show a lack of significant links and the impacts of stock markets in this region on the major Ukrainian stock exchanges and the stock market as a whole.

Googling Investor Sentiment around the World

2019 ◽  
Vol 55 (2) ◽  
pp. 549-580 ◽  
Author(s):  
Zhenyu Gao ◽  
Haohan Ren ◽  
Bohui Zhang
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Investor Sentiment ◽  
Search Behavior ◽  
Market Returns ◽  
Country Level ◽  
The World ◽  
Google Search

We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during 2004–2014. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

Stock prices' long memory in China and the United States

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhengxun Tan ◽  
Yao Fu ◽  
Hong Cheng ◽  
Juan Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Markets ◽  
Information Disclosure ◽  
Structural Breaks ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Chinese Stock Market ◽  
Content Type

PurposeThis study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.Design/methodology/approachThe authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.FindingsChina's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.Originality/valueThe authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 ◽  
Vol 9 (4) ◽  
pp. 1
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Volatility ◽  
Future Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Us ◽  
The World ◽  
The Impact ◽  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

scholarly journals The mechanism of integration of the Ukrainian stock market in the world stock market

2020 ◽  
Vol 157 ◽  
pp. 04034
Author(s):  
Anna Slobodianyk ◽  
George Abuselidze ◽  
Lyudmyla Tarasovych
Keyword(s):  
Stock Market ◽  
National Economy ◽  
Stock Markets ◽  
Market Integration ◽  
Functional Model ◽  
State Regulation ◽  
Global Integration ◽  
The World ◽  
Priority Direction ◽  
Global Stock Markets

The article is devoted to structuring and improving the methodological foundations of the mechanism of state regulation of the stock market. Priority directions for the development of the stock market are determined in order to strengthen its role in stabilization of the national economy. As a result, a structural and functional model of stock market operation in the system of economic development of the country was elaborated. It involves ensuring the legitimate access of national companies to the global stock markets while attracting foreign investors to the Ukrainian stock market. The authors argue that the mechanism of the national stock market integration involves several stages: from enhancing international cooperation primarily with the stock markets of countries that are strategic partners, subsequent full participation in regional and subregional integration associations of stock markets, up to global integration in the world stock market as a priority direction for the development of the domestic stock market in the context of stabilization of the national economy.

scholarly journals Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications

2019 ◽  
Vol 69 (2) ◽  
pp. 273-287 ◽  
Author(s):  
Florin Aliu ◽  
Besnik Krasniqi ◽  
Adriana Knapkova ◽  
Fisnik Aliu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Weighted Average ◽  
Stock Index ◽  
Risk Level ◽  
Average Return ◽  
Monetary System ◽  
Managerial Implications

Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide information on the diversification benefits generated when SAX, BUX and WIG20 join their stock markets. The study considers that each stock index represents an independent portfolio. Portfolios are built to stand on the available companies that are listed on each stock index from 2007 till 2017. The results of the study show that BUX generates the lowest risk and highest weighted average return. In contrast, SAX is the riskiest portfolio but generates the lowest weighted average return. The results find that the stock prices of BUX have larger positive correlation than the stock prices of SAX. Moreover, the highest diversification benefits are realized when Portfolio SAX joins Portfolio BUX and the lowest diversification benefits are achieved when SAX joins WIG20.

scholarly journals Impact of Macroeconomic Variables on Stock Market Indices Value: A Cross-Country Indices Study

2013 ◽  
Vol 12 (3) ◽  
pp. 65-76 ◽  
Author(s):  
Rohini Mariappan ◽  
Nikita Hari
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Economic Activity ◽  
Contagion Effect ◽  
Macroeconomic Variables ◽  
The World ◽  
Cross Country

Complete unpredictability and the contagion effect of stock markets could pose significant challenges for the entire financial markets of the world. Moreover, it is an incontrovertible truth that the variations in stock market indices is an integral part of the dynamics of economic activity and can propel social moods and expectations. In fact, the stock market has predicted 10 out of the last 3 recessions.

scholarly journals Impact of Covid-19 in Bangladesh Stock Market

2020 ◽  
Vol 4 (2) ◽  
pp. 22-23
Author(s):  
Sunjida Haque ◽  
Tanbir Ahmed Chowdhury
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Potential Consequence ◽  
Economic Activities ◽  
Market Data ◽  
Policy Interventions ◽  
The World ◽  
Before And After ◽  
The Impact

The world's big economies are roiled and going under a devastating threat amid the impact of the COVID-19 pandemic. No country will be safe as this virus will eventually outbreak everywhere, regardless of how countries prepare to avoid it. The economic ramification as well as the stock market crisis will be uncertain due to the extended suspension of economic activities in almost every country. No wonder, the clattered stock markets of Bangladesh which have already got the adjective of “the worst stock market in the world” because of inefficient and irrational fluctuations in previous years will experience a colossal crisis due to the pandemic. The article provides an investigation on comparable analysis of the impact on stock markets of Bangladesh, Dhaka stock exchange, and Chittagong stock exchange, before and after the pandemic situation with current market data. We also examine the potential consequence of policy interventions to the market and the investors during a pandemic.

scholarly journals Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects

2019 ◽  
Vol 11 (5) ◽  
pp. 1402 ◽  
Author(s):  
Guoxiang Xu ◽  
Wangfeng Gao
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Financial Risk ◽  
Tail Dependence ◽  
Chinese Stock Market ◽  
Contagion Effect ◽  
Subprime Mortgage ◽  
Stock Market Crash ◽  
Mortgage Crisis

As global financial markets become highly dependent on each other, risk contagion among stock markets is a primary feature of progressing globalization, which poses uncertainties for government agencies. The deficiency of previous studies is that it is difficult to accurately grasp the direction of risk diffusion in different time periods, and to depict the intensity of risk contagion constantly. Research on causality and measurement of financial risk contagion based on nonlinear causality tests and dynamic Copula methods will help governments to allocate financial resources reasonably and effectively, thus promoting the sustainable development of the social economy and financial markets. Taking the Chinese stock market as an example, this paper evaluated the risk contagion effect between the Chinese stock market and six other stock markets including developed and emerging markets from January 2006 to December 2018. From the aspect of causality, the nonlinear Granger causality test was applied to the entire time period and the phased time periods involving specific events like the subprime mortgage crisis and the Chinese stock market crash. From the aspect of measurement, the dynamic Markov state transition Copula model was used to describe the asymmetrically dependent structure of markets, from which was derived the time-varying lower tail dependence coefficients. The results have been summarized as follows. Firstly, after the outbreak of the subprime mortgage crisis, the stock markets in developed and emerging markets unilaterally affected the Chinese stock market, indicating that China was the recipient at this stage. Then, after the outbreak of the Chinese stock market crash, the Chinese stock market had a risk contagion effect on both Japanese and Russian stock markets, indicating that China became a source of financial risk contagion within a limited area at this stage. Lastly, in terms of the degree of risk contagion, the lower tail dependence coefficients of the Chinese stock market and other markets were significantly increased after the occurrence of specific risk events, while the risk contagion degree of developed markets was higher than that of emerging markets. Policymakers can recognize and apply the characteristics of risk contagion at different stages to refrain from unreasonable institutional arrangements, thus improving the sustainability of economic development.

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