The Shocks Between Oil Market to the Bric Stock Markets: A Generalized Var Approach

Dias, Rui; Heliodoro, Paula; Alexandre, Paulo; Vasco, Cristina

doi:10.31410/eman.2020.25

Cited by 13 publications

(13 citation statements)

References 13 publications

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“…Most markets show structure breaks in February and March 2020. These findings are corroborated by authors Dias, Heliodoro, Alexandre, and Vasco, (2020), Alexandre, Dias, and Heliodoro (2020b), Heliodoro, Dias, and Alexandre (2020), Dias, Teixeira, Machova, et al (2020), Dias, Heliodoro, andAlexandre (2019), Dias, Heliodoro, Alexandre, and Vasco (2020b) who evidence that the 2020 global pandemic had significant impacts on international financial markets.…”

Section: Resultssupporting

confidence: 53%

The Impact of Covid-19 on the Securities and Equity Markets of Portugal and Edp: An Econophysics Approach

Manuel¹,

Heliodoro²,

Dias³

et al. 2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

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The Efficient Market Hypothesis (EMH), is one of the most important hypotheses in the financial economy, which argues that yields have no memory (correlation), which implies that agents cannot have abnormal returns in the financial markets, base arbitration operations. This essay intends to investigate the efficiency, in its weak form, in the stock and bond markets of Portugal and EDP, in the period from December 31, 2019, to August 10, 2020. With the purpose of achieving such an analysis, whether: (i) with the evolution of the global pandemic (Covid-19) the Portuguese and EDP stock and bond markets show signs of (in) efficiency? (ii) Does the increased integration between the Portuguese and EDP stock and bond markets result in risk transmission? The model 𝐷𝐹𝐴 shows the existence of long memories in these markets, suggesting that they are not efficient, which validates the first research question. This situation has implications for investors, since some returns can be expected, creating opportunities for arbitrage and abnormal earnings. However, to confirm the inefficiency of these markets, based on our results, we must prove the existence of anomalous returns. In order to answer the second investigation question, we carried out the integration test that shows that these markets are mostly integrated. To validate whether financial integration results in risk transmission between the analyzed markets, we estimate the trendless cross-correlation coefficients (𝜆𝐷𝐶𝐶𝐴), which shows 4 pairs of markets showing risk transmission (4 out of 10 possible). In conclusion, the authors suggest that these results are of interest, among others, to international investors interested in expanding the geographical scope, regarding the implementation of portfolio diversification strategies.

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Section: Resultssupporting

confidence: 53%

The Impact of Covid-19 on the Securities and Equity Markets of Portugal and Edp: An Econophysics Approach

Manuel¹,

Heliodoro²,

Dias³

et al. 2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

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“…On March 8, 2020, Saudi Arabia started a price war with Russia, facilitating a quarterly drop in the price of oil. In the first weeks of March, oil prices in the United States fell 34%, crude oil fell 26% and Brent oil fell 24% (Cardona-Arenas and Serna-Gómez, 2020;Dias, Heliodoro, Alexandre, et al, 2020b;L. Liu, Wang, and Lee, 2020).…”

Section: Introductionmentioning

confidence: 99%

Random Walks and Market Efficiency Tests: Evidence for Us and African Capital Markets

Dias¹,

Santos²,

Alexandre³

et al. 2021

International Scientific Conference EMAN – Economics and Management: How to Cope With Disrupted Times

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The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. This economic conflict resulted in a sharp drop in the price of oil in 2020, as well as crashes in international markets. In the light of these events, our aim was to test the efficient market hypothesis, in its weak form, in the stock markets of Botswana (BSE), Egypt (EGX 100), Kenya (NSE 20), Moroccan All Shares (MASI), Tunisia (Tunindex), and the MARKET of the USA (DOWJONES INDUSTRIALS), in the period of Septem¬ber 2, 2019 to January 11, 2021. The results therefore support the evidence that the random walk hypoth¬esis is not supported by the financial markets analyzed in this period of global pandemic. The values of variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there is reversal to the mean. In order to validate the results, we estimate the model αDFA that shows that the stock markets NSE 20 (0.75), TUNINDEX (0.69), MASI (0.63), EGX 100 (0.64), BSE (0.61), DOW JONES (0.58) show autocorrelation in their profitability, that is, these markets show signs of (in) efficiency, in its weak form, persistence in profitability, validating the results of the variance test by Rankings and Wright Signs. In conclusion we can show that the U.S. stock market has more market efficiency when compared to the African stock markets analyzed. The authors consider that the results achieved are of interest to investors looking for opportunities for portfolio diversification in these regional stock markets.

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“…If a given stock market is strongly linked to another country's stock market, the financial stability of the former depends in part on the financial stability of the second. For this reason, a close or strong link between markets increases the levels of vulnerability to external shocks and, consequently, influences the economic conditions and welfare levels of their respective countries, as well as the efficiency of the market itself (Alexandre, Heliodoro and Dias, 2019;Dias, da Silva and Dionysus, 2019;Alexandre, 2019, 2020;Alexandre, Dias and Heliodoro, 2020;Heliodoro et al , 2020Heliodoro et al , , 2020Heliodoro, Dias and Alexandre, 2020;Heliodoro, 2020, 2020;, 2020a, 2020bDias, Sparrow, et al , 2020) .…”

Section: Introductionmentioning

confidence: 99%

Stock Market Efficiency in Africa: Evidence From Random Walk Hypothesis

Dias¹,

Santos²

2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

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This paper aims to test the efficient market hypothesis, in its weak form, in the stock markets of BOTSWANA, EGYPT, KENYA, MOROCCO, NIGERIA and SOUTH AFRICA, in the period from September 2, 2019 to September 2, 2020. In order to achieve this analysis, we intend to find out if: the global pandemic (Covid-19) has decreased the efficiency, in its weak form, of African stock markets? The results therefore support the evidence that the random walk hypothesis is not supported by the financial markets analyzed in this period of global pandemic. The values of variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there is reversal to the mean, and no differences were identified between the stock markets analyzed. The authors consider that the results achieved are of interest to investors looking for opportunities for portfolio diversification in these regional stock markets.

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The Shocks Between Oil Market to the Bric Stock Markets: A Generalized Var Approach

Cited by 13 publications

References 13 publications

The Impact of Covid-19 on the Securities and Equity Markets of Portugal and Edp: An Econophysics Approach

The Impact of Covid-19 on the Securities and Equity Markets of Portugal and Edp: An Econophysics Approach

Random Walks and Market Efficiency Tests: Evidence for Us and African Capital Markets

Stock Market Efficiency in Africa: Evidence From Random Walk Hypothesis

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