Validation of Global Financial Crisis on Bursa Malaysia Stocks Market Companies via Covariance Structure

Sharif, Shamshuritawati; Ismail, Suzilah; Omar, Zurni; Theng, Low Huey

doi:10.3844/ajassp.2016.1091.1095

Cited by 6 publications

(7 citation statements)

References 13 publications

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“…A major node is Pakistan Petroleum (PPL 9), followed by two significant nodes-Nishat Mills (NML 7) and Muslim Commercial Bank (MCB 5). Hence, PPL is the dominating company in the network before the 2008 general elections, and companies surrounding this node will be directly influenced by any shock due to the general elections (Sharif et al 2016). Additionally, the oil and gas sector (yellow) and commercial banking sector (blue) cluster, whereas cement sector nodes (FCCL, MLCF, CHCC, PIOC, ACPL, LUCK) are spread over the entire network.…”

Section: Resultsmentioning

confidence: 99%

General election effect on the network topology of Pakistan’s stock market: network-based study of a political event

2020

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To examine the interdependency and evolution of Pakistan's stock market, we consider the cross-correlation coefficients of daily stock returns belonging to the blue chip Karachi stock exchange (KSE-100) index. Using the minimum spanning tree network-based method, we extend the financial network literature by examining the topological properties of the network and generating six minimum spanning tree networks around three general elections in Pakistan. Our results reveal a star-like structure after the general elections of 2018 and before those in 2008, and a tree-like structure otherwise. We also highlight key nodes, the presence of different clusters, and compare the differences between the three elections. Additionally, the sectorial centrality measures reveal economic expansion in three industrial sectors-cement, oil and gas, and fertilizers. Moreover, a strong overall intermediary role of the fertilizer sector is observed. The results indicate a structural change in the stock market network due to general elections. Consequently, through this analysis, policy makers can focus on monitoring key nodes around general elections to estimate stock market stability, while local and international investors can form optimal diversification strategies.

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Section: Resultsmentioning

confidence: 99%

General election effect on the network topology of Pakistan’s stock market: network-based study of a political event

2020

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“…As can be seen, the whole structure of PSX network revolves around one super hub node of DG khan company having 42 connections, followed by the important nodes of Nishat mills (NML 12), Fauji cement company (FCCL 7), and Pakistan state oil (PSO 7). Hence, the rise and fall of DGKC will give a huge impact on the stability structure of the PSX network, as mentioned by Sharif et al [ 60 ] for the HWAN and MRES nodes of the Malaysian stock market network. The results also reveal a star-like less stable market structure of PSX during the entire period of study, similar to the structures of the Vietnamese stock exchange [ 40 ] and German stock exchange [ 61 ] during crises.…”

Section: Resultsmentioning

confidence: 99%

Structural Change and Dynamics of Pakistan Stock Market during Crisis: A Complex Network Perspective

Memon

Yao

2019

Entropy

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We studied the cross-correlations in the daily closing prices of 181 stocks listed on the Pakistan stock exchange (PSX) covering a time period of 2007–2017 to compute the threshold networks and minimum spanning trees. In addition to the full sample analysis, our study uses three subsamples to examine the structural change and topological evolution before, during, and after the global financial crisis of 2008. We also apply Shannon entropy on the overall sample to measure the volatility of individual stocks. Our results find substantial clustering and a crisis-like less stable overall market structure, given the external and internal events of terrorism, political, financial, and economic crisis for Pakistan. The subsample results further reveal hierarchal scale-free structures and a reconfigured metastable market structure during a postcrisis period. In addition, time varying topological measures confirm the evidence of the presence of several star-like structures, the shrinkage of tree length due to crisis-related shocks, and an expansion in the recovery phase. Finally, changes of the central node of minimum spanning trees (MSTs), the volatile stock recognition using Shannon entropy, and the topology of threshold networks will help local and international investors of Pakistan Stock Exchange limited (PSX) to manage their portfolios or regulators to monitor the important nodes to achieve stability and to predict an upcoming crisis.

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“…In this study, the S* control chart is design based on a new covariance structure test S* statistics that been developed for high dimensional data (Sharif et al, 2016). The detail of this test is explained as follows.…”

Section: Methods On the Stability Of Currency Structurementioning

confidence: 99%

The impact of 2008 credit crisis on currency stability structure

Sharif

Ismail

Omar

2018

IJPQM

Self Cite

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The depreciation of many currencies over the world has retarded the economic development during 2008 credit crisis. The aim of this study is to detect the existence of changes in the currency stability structure by using a new covariance structure test known as S* statistics for high dimensional data involving 74 currencies. Comparisons were made between monthly data and overall data of 2008. Further analysis was conducted using network topology to visualise the pattern of structural changes and identifying which currencies affected by the crisis. The findings disclose that October currency structure has the utmost changes as compared to overall structure 2008. Forty one (or 55%) currencies were affected. The most affected currencies were Austrian schilling (ATS) and followed by Lebanese pound (LBP) and Mexican peso (MXN). These findings reflect the major impact of 2008 credit crisis on deterioration currencies performance.

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Validation of Global Financial Crisis on Bursa Malaysia Stocks Market Companies via Covariance Structure

Cited by 6 publications

References 13 publications

General election effect on the network topology of Pakistan’s stock market: network-based study of a political event

General election effect on the network topology of Pakistan’s stock market: network-based study of a political event

Structural Change and Dynamics of Pakistan Stock Market during Crisis: A Complex Network Perspective

The impact of 2008 credit crisis on currency stability structure

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