Impact of Global Financial Crisis on Stock Market Volatility: Evidence from India

Sakthivel, P.; Veerakumar, K; Raghuram, G.; Govindarajan, K.; Anand, Vaibhav

doi:10.5539/ass.v10n10p86

Cited by 18 publications

(11 citation statements)

References 4 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In spite the evidence that external finance is necessary to augment domestic saving to accelerate investment (Asiedu, 2002), the global financial crisis in 2008 has led to a substantial decline in import, export and foreign investment inflow to Africa with a consequential loss in market capitalization. Ali and Afzal (2012) affirm that the net capital inflow from advanced to the Bamanga Umar, Sabri Nayan emerging nations declines significantly from the beginning of the crises. Although the crisis was originated in the United States, it spreads to almost all nations with varying degree of damages.…”

Section: Introductionmentioning

confidence: 85%

Poverty Reduction and Stock Market Development: Evidence from Africa

Umar

Nayan

2018

Pak. J. Humanit. Soc. Sci

View full text Add to dashboard Cite

Despite the increased number of stock exchanges in Africa, this segment of the financial market remains underdeveloped with low market capitalization, volume and illiquidity. Furthermore, the aftershock of the 2008 financial crisis exacerbates the poor market condition with the attendant decrease in investment. Efforts of previous policies to promote stock market development and restore investors’ confidence did not yield a positive outcome as they are yet to meet the rising demand for capital needed by domestic firms. This paper examines the relationship between poverty reduction and stock market development in Africa, using the pooled mean group (PMG) model for the sample period of 1996 to 2016. The findings suggest poverty reduction has a positive effect on stock market development both in the long-run and short-run estimates. For policy prescription, the government of the respective countries should implement programs that will promote financial inclusion and alleviate poverty to promote domestic investment in stock markets in the region.

show abstract

Section: Introductionmentioning

confidence: 85%

Poverty Reduction and Stock Market Development: Evidence from Africa

Umar

Nayan

2018

Pak. J. Humanit. Soc. Sci

View full text Add to dashboard Cite

show abstract

“…To measure volatility, they used EGARCH model and found that it had a stronger response to negative shocks. Considering the effect of the same crisis, Sakthivel et al (2014) reported similar findings for the Indian market alone. Amit & Bammi (2016) investigated the volatility of the Indian stock market before, during, and after the 2008-2009 global crisis.…”

Section: Introductionmentioning

confidence: 60%

Have Stock Markets Become Less Volatile After the Great Recession?

Aldeehani¹

2019

RWE

View full text Add to dashboard Cite

This paper investigates volatility modeling in light of the 2008 global financial crisis. The study was motivated by the measures and regulations introduced by most of the countries following the shock to stabilize their financial markets. The theoretical proposition is that these measures should succeed in reducing volatility which would be modeled differently following the crisis. The adopted ARMA-GARCH process included positive and negative trading volume change to capture the asymmetric effect of trading volume on market volatility for seven international markets. The results indicate that the majority of these markets were not so successful in reducing volatility following the crisis. There is evidence of volatility persistence which dissipates very quickly. Although volatility is modeled differently before and after the crisis, each market is modeled uniquely. The effect of trading volume was found to be asymmetric. Only positive change was a valid predictor. Detailed discussions of the results, implications, and recommendations are provided. JEL Classification: G01, G21, G32In this paper, we aim to explore this conceptual proposition in the context of the 2008 great recession. We seek answers to particular questions relevant to this proposition. Assuming that the stock markets are being better-controlled and regulated following the crisis, the important question is, have these markets become less volatile? Whether the proposition is confirmed or not, how can volatility be modeled? Is it going to be different? In other words, are the determinants of volatility still the same after the crisis?Answers to these questions should contribute more to our understanding of the effect of major financial crises on stock markets volatility and for how long it persists. The results of this study should tell us if the evidence can be generalized for all stock markets.In the next section, the relevant literature will be discussed with the objective to derive the research conceptual framework and hypotheses. An overview of regulatory measures and reforms, following the 2008 crisis in the selected sample stock markets, will be presented. This is followed by a section on the data and methodology where we discuss the scope of our sample stock markets and the method of estimation. The results of the research and discussion will then be presented. The paper ends with a section on the concluding remarks where we highlight the main contribution of the paper, along with the limitations, implications, and recommendations. Literature ReviewIn statistics, volatility in financial data time series can be defined as the dispersion of rate of returns, typically, measured by the standard deviation or variance. The higher the value of the measure the more volatile (risky) the asset. When dealing with causality, researchers, typically apply regression methods. These methods assume that data should be normally distributed. The nature of the financial data, however, is not. They also assume that the variance of the error term should be homosc...

show abstract

“…The US based sub-prime lending crisis spread across the world causing global financial crisis. Impact of this crisis was witnessed in Indian securities markets at close of financial year 2007-08, which continued during early 2008-09 (Sakthivel, Veera Kumar, Raghuram, Govindarajan & Vijay Anand, 2014). Therefore, sub-sample period is divided into two parts; before and after Global financial crisis.…”

Section: Data Description and Research Methodologymentioning

confidence: 99%

Examining the Impact of Structural Breaks on Price Discovery Efficiency: Evidence From the Indian Equity Futures Market

Kumar

Gupta

2022

CJFA

View full text Add to dashboard Cite

The current study aims to examine the impact of structural breaks on price discovery efficiency of Indian equity futures market. Global financial crisis, change of Government, demonetization and COVID-19 are identified as significant events. Data is divided into sub-samples of pre and post event period to study the impact of these events on price discovery efficiency of the Indian equity futures market. Unit root test is used to check stationarity of data. Granger causality test, Johansen’s cointegration test and Vector error correction methodology (VECM) are used for analysis. During full sample period, it is observed that there is a significant bi-directional causality between cash and futures markets and cash market leads futures market in price discovery. In addition, global financial crisis triggered volatility in Indian equity futures market, which reduced its price discovery efficiency, whereas, after change in Government, bidirectional transmission of information restored between cash market and futures market. Furthermore, futures market played a leading role in absorbing volatility triggered by demonetization. COVID-19 did not significantly affect price discovery efficiency of Indian equity futures market.

show abstract

Impact of Global Financial Crisis on Stock Market Volatility: Evidence from India

Cited by 18 publications

References 4 publications

Poverty Reduction and Stock Market Development: Evidence from Africa

Poverty Reduction and Stock Market Development: Evidence from Africa

Have Stock Markets Become Less Volatile After the Great Recession?

Examining the Impact of Structural Breaks on Price Discovery Efficiency: Evidence From the Indian Equity Futures Market

Contact Info

Product

Resources

About