Causes of high volatility and stock market crises in the developed economies

Sabri, Nidal Rashid

doi:10.1504/ijbg.2009.024613

Cited by 4 publications

(5 citation statements)

References 45 publications

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“…This conclusion was found in Latin America stock markets as reported by Saatccioglu and Starks 8 and Christofi and Pericli, 41 in the Swedish stock market as reported by Säfvenblad,10 in the New York stock exchange as reported by Gallant et al, 13 in the Taiwan stock market as reported by Hsin et al, 15 in selected developed stock markets as reported by Sabri,18 in selected emerging stock markets as reported by Sabri 17 and De Santis and Imrohorglu, 42 in the Shanghai stock exchange as reported by Song et al 16 and Mei et al, 12 and in the Turkish stock market as reported by Basci et al 43 The question arises here as to the major factors that may drive the Arab stock market to volume volatility. In general, the trading volatility may be associated to the transmission impact from other major markets and to the volatility spillovers concept from leading stock markets.…”

Section: Discussionmentioning

confidence: 59%

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The impact of trading volume on stock price volatility in the Arab economy

Sabri

2008

J Deriv Hedge Funds

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This study intends to examine the price-volume movements in the Arab stock markets, in order to determine the impact of changes in trade volume on the volatility of stock prices as expressed by the unified AMF stock price index. The research covers a sample of eight out of the 15 Arab stock markets included in the Arab Monetary Fund database, using monthly data from 1994 to 2006. The study found that there is an increase in both trading volume and stock price volatility, which may be considered a recent phenomenon in the majority of the Arab stock markets. The study also found that the volume-stock price movements are significantly integrated for all selected markets, while the highest (to lowest) correlation coefficient between volume and stock price movement was found in the Saudi stock market, Amman stock market, Muscat stock market, and Kuwait stock market (in that order). Finally, the correlation between volume and price movement is higher in the stock markets of the oil Arab states compared to the nonoil Arab states.

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Section: Discussionmentioning

confidence: 59%

“…In addition, other studies reported that stock trading volume represents the highest positive correlation to the emerging stock price changes and thus represents the most predicted variables in increasing price volatility in both emerging and developing stock markets. 17,18 …”

Section: Volume and Stock Price Movementsmentioning

confidence: 99%

The impact of trading volume on stock price volatility in the Arab economy

Sabri

2008

J Deriv Hedge Funds

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“…This phenomenon became more significant after the year 2000 compared to the trading period of 1999s as found in the Arab Stock markets (Sabri, 2008). This conclusion is also reported for the developed economies markets, which found that changes in trading volume was the most predicted variable of stock price volatility (Sabri, 2009). (Sabri, 2005).…”

Section: Trading Volumementioning

confidence: 52%

“…The currency exchange rate is considered as the most impact factor on the prices of stocks at national level, for both emerging and developed economies. For example, a study found that changing in national exchange rate was the most predicting variable volatility of stock prices compared to other variables in most of the selected developed countries, followed by a change in stock trading volume and deposit interest rate respectively (Sabri, 2009). However, the world States followed different currency systems which should be considered in the expectations of the national stock prices.…”

Section: National Currency Exchange Ratesmentioning

confidence: 99%

The Reliability of Prediction Factors, for the World Stock Markets

Sabri¹

2021

TEL

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This paper is aimed to identify the predicted factors for the world stock market in the last six decades, and up to the first quarter of 2021 year. The historical data and analysis of trends for volumes, and prices besides the fundamentals data such as interest rates, currency exchange rates, inflation rates, trading volume, and annual returns for listed corporations, used to be the predicted factors available to forecast the financial stock markets prices and volume, for the listed companies, national stock index, and regional stock indexes. However, in the last six decades, other new major factors became more reliable keys for the prediction of future prices and volume trends, in the world stock markets besides the previous two factors. These include the options strike rates for underling shares, psychological price barriers, national, regional and international crises, irrational and noise trading, and finally the health crisis known as the COVID-19, as what happened in 2020. This paper discussed these predicted factors which now dominate in the world stock markets, and suggested stated ratios for the reliability of each presented measure, during different decades up to April of 2021, and how the reliability of theses indictors was changed from one decade to another.

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“…Several research finds the impact of company-specific factors on stock prices (see Faniband and Marulkar, 2020;Syed and Bajwa, 2018;Sharma, Mahendru, and Singh 2015). Many studies have confirmed the effect of macro and non-macroeconomic factors on the stock market (see Aggarwal, 2017;Chellaswamy, Natchimuthu, and Faniband, 2020;Panwar and Nidugala, 2019;Rehman, Mahdzan, and Zainudin, 2016;Faniband and Prakasam, 2019;Sabri, 2009;Sengupta, Dutta, & Dutta, 2019).…”

Section: Related Researchmentioning

confidence: 98%

Stock Market Reforms and Stock Market Performance

Chellaswamy

Natchimuthu

Faniband

2021

IJFR

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This paper analyses the impact of stock market reforms on the stock market performance in India using regression based event-study method. We consider nine stock market reforms introduced from 1998 to 2018. We find that the impact of stock market reforms on Nifty trading volume and Nifty return is different. This paper documents that the impact of the additional volatility measures, T+3 and T+2 settlement cycles, and margin provisions for intra-day crystallized losses reforms show a positive impact on trading volume post-reform. In contrast, internet trading, prohibition of fraudulent and unfair trade practices, delisting of equity shares, substantial acquisition of shares and takeovers listing obligations and disclosure requirements reforms decrease the trading volume post-reform. Our results of Nifty return reveal that the additional volatility measures, the T+2 settlement cycle, the prohibition of fraudulent and unfair trade practices, substantial acquisition of shares and takeovers, listing obligations and disclosure requirements have a significant and positive impact on return post-reform. It is evident that the impact of all nine stock market reforms is insignificant on Nifty return.

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Causes of high volatility and stock market crises in the developed economies

Cited by 4 publications

References 45 publications

The impact of trading volume on stock price volatility in the Arab economy

The impact of trading volume on stock price volatility in the Arab economy

The Reliability of Prediction Factors, for the World Stock Markets

Stock Market Reforms and Stock Market Performance

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