The Financial Crisis and Co-Movement of Global Stock Markets—A Case of Six Major Economies

Jiang, Yonghong; Yu, Mengmeng; Hashmi, Shabir Mohsin

doi:10.3390/su9020260

Cited by 50 publications

(32 citation statements)

References 14 publications

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“…Since the largest intensity of negative news concerning Spain was observed in the middle of 2010, in the autumn of 2011 and the first half of 2012, a significant increase in the volatility of shocks generated by Spain in these periods was in line with expectations. After the announcement about the OMT program by the European Central Bank in July 2012, the situation of the financial markets in the peripheral euro-area countries calmed down, which is in agreement with findings of other studies [40][41][42][43].…”

Section: Resultssupporting

confidence: 90%

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Grabowski

2019

Sustainability

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In this paper, time-varying co-movements between the stock markets of Poland, the Czech Republic, Hungary, and the capital markets of developed countries in stable and crisis periods are studied. The parameters of the VAR-AGDCC-GARCH (Vector Autoregressive- Asymmetric Generalized Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) model are estimated, and volatility spillovers are calculated. The evidence suggests that the level of correlation between stock return shocks of Central and Eastern European countries increased significantly in the period of financial turmoil and was high in the period of the US sub-prime crisis, as well as during the euro area sovereign debt crisis. After the announcement of the OMT (Outright Monetary Transactions) program, the evolution of the stock market indices in Central and Eastern Europe countries (CEECs) have followed different paths. An analysis of the volatility spillovers indicates that CEECs are the recipients of volatility. In the period of 2004–2019, they received much volatility—from Germany and the US, in particular. They also received much volatility from Spain during the euro area sovereign debt crisis. After 2012, volatility transmission to Poland, the Czech Republic, and Hungary dropped significantly.

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Section: Resultssupporting

confidence: 90%

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Grabowski

2019

Sustainability

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“…It is clear from the figures and the tables that the reactions are different in different countries. In summary, we conclude that there is evidence for contagion and interdependence of squared stock index returns during the GFC and EZC that is in line with previous studies (e.g., Wang et al 2017;Gamba-Santamaria et al 2017;Jiang et al 2017;Bonga-Bonga 2018). Wang et al (2017) find evidence for contagion during the GFC on G7 countries (except for Japan), Russia and India where US is used as sources of contagion and no contagion is found on Brazil, China, and Japan from the same source.…”

Section: Resultssupporting

confidence: 91%

“…But the results are mixed when employing NADAQ and S&P500 as sources of contagion. Jiang et al (2017) that the correlation of stock markets between the US, Britain, Germany, Japan and Hong Kong increases markedly after the crisis, while it exhibits a reverse trend with the Chinese stock market. In this study, we find evidence for contagion for all these countries for lag predicted series of DJI as sources of contagion.…”

Section: Resultsmentioning

confidence: 94%

Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model

Quoreshi

Uddin

Jienwatcharamongkhol

2019

JRFM

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The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia, India, China and South Africa) countries, as a proxy for the measurement of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the squared stock returns of all 35 stock indices studied. Empirical findings show the evidence of contagion during the global financial crisis (GFC) and Euro Zone crisis (EZC). The intensity of contagion varies depending on its sources. This implies that the effects of shocks are not symmetric and may have led to some structural changes. The effect of contagion is also studied by decomposing the level series into explained and unexplained behaviors.

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“…The earnings quality of IPO firms around the date of going public before and after the peak of the financial crisis is discussed. The impact of the recent financial crisis on stock markets has been discussed by many researchers using many approaches (see [6] as an example). Several robustness check backgrounds are developed to back up the results.…”

Section: Introductionmentioning

confidence: 99%

Towards Economic Corporate Sustainability in Reporting: What Does Earnings Management around Equity Offerings Mean for Long-Term Performance?

Lizińska

Czapiewski

2018

Sustainability

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Companies are very important contributors to the long-term sustainable wealth of economies and society. Public companies are likely to be especially important for economic, environmental, and social development. That is why we focus on initial public offerings (IPO). Responsible external reporting relates to the long-term value of companies and influences perceptions of value by stakeholders. This study contributes to the literature not only because it concentrates on earning quality in terms of going public, but it also combines it with another market puzzle, namely, long-term value. Previous conclusions for other markets should not simply be generalized for Poland, as the country has been an emerging market with many public firms controlled by insiders, with a limited role for the equity market and quite considerable bank financing. Using a unique dataset, we find positive and significant discretionary accruals in the IPO year, which may be perceived as a sign of poor earning quality. We also show that these accruals are negatively correlated with subsequent long-term market value for IPOs made before the financial crisis. The general conclusions are robust with respect to the latest innovations in proxies for earnings management, and also to a variety of alternative specifications.

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The Financial Crisis and Co-Movement of Global Stock Markets—A Case of Six Major Economies

Cited by 50 publications

References 14 publications

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model

Towards Economic Corporate Sustainability in Reporting: What Does Earnings Management around Equity Offerings Mean for Long-Term Performance?

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