Covid-19 and the Technology Bubble 2.0: Evidence from DCC-MGARCH and Wavelet Approaches

Ozdurak, Caner; Karataş, Cengiz

doi:10.47260/jafb/1124

Cited by 5 publications

(2 citation statements)

References 7 publications

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“…Kassouri et al (2021) emphasize that there are explosive bubbles in high-tech stock prices, which present close relations with clean energy and oil prices. Özdurak and Alcan (2021) reveal that the U.S. should be cautious about the second internet bubble since 26% of Standard & Poor's (S&P) 500 market cap is driven by Facebook, Apple, Amazon, Netflix, Alphabet and Microsoft stocks, which are all tech stocks. Haddad et al (2022) suggest that booming tech innovation usually coincides with intense speculation in financial markets; specifically, a tech innovation boosts the share price of its creator by 40%.…”

Section: The Internet or Tech Bubblementioning

confidence: 99%

Are There Digital Tech Bubbles in China?

Qin,

Su,

Qiu

et al. 2023

Technological and Economic Development of Economy

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This exploration employs the generalized supremum augmented Dickey-Fuller (GSADF) approach to explore whether there are digital tech bubbles in China. The empirical results suggest the existence of multiple digital tech bubbles, which are mostly accompanied by an excessive rise. However, the appearance of digital tech bubbles is curbed since 2016, mainly due to the increasing mature regulations in relevant fields. Besides, bubbles in different digital technologies are similar during the same period, which could be attributed to the close relationships among them. Additionally, we further investigate the factors influencing the explosive behaviours, and find that the Chinese stock market positively affects digital tech bubbles, while economic policy uncertainties and situations negatively influence such explosive behaviors. In the context of the new round of scientific and technological revolution and industrial transformation, these conclusions provide valuable implications to achieve the target of constructing a “Digital China” by becoming moderately cautious about potential bubbles in the digital tech industry.

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Section: The Internet or Tech Bubblementioning

confidence: 99%

Are There Digital Tech Bubbles in China?

Qin,

Su,

Qiu

et al. 2023

Technological and Economic Development of Economy

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show abstract

“…However, one question that is concerning is investing based on the location of the company. Certain stock prices have been increasing over time such as Facebook (FB), Apple (AAPL), Netflix (NFLX), Amazon (AMZN), Google (GOOGL) (Özdurak & Alcan, 2020). This trend has helped the FAANG, NASDAQ 100 and the NASDAQ indexes increase over time and remain as strong markers of market performances.…”

Section: Introductionmentioning

confidence: 99%

Does Spatial Autocorrelation Hold for the Stock Market Application to the NASDAQ Composite Index

Karunamuni

2024

Preprint

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This study examines the spatial distribution of companies listed in the NASDAQ Composite Index from 2010 to 2019. The aim of this study is to understand how Tobler's First Law of Geography is reflected on the spatial pattern of headquarters of companies where their stock prices increased or decreased. The first research question is (1) if there is clustering of publicly traded companies (headquarters) associated with growth stocks and publicly traded companies associated with non-growth stocks in the mainland US. The second research question is (2) where are hotspots located in the US on a State-level? The values of daily mean change in closing price that was greater than 0 was considered a growth stock and a value less than 0 was considered a non-growth stock for this research. A test for spatial autocorrelation (Global Moran's I) was done using R, and local spatial autocorrelation (Getis Ord Gi*) was conducted to find hot spots using R with a distance threshold of 2000 km. Of 1496 stocks, 1028 stocks grew while 468 did not. The Global Moran's I for growth stocks is -0.0016 and 0.0001 in non-growth stocks. In addition, at a 2000 km threshold, California is the only hot spot in the US. Therefore, there was no spatial autocorrelation of publicly traded companies from 2010 to 2019. Spatial Autocorrelation in this study for the 1496 stocks has provided evidence that there is randomness of company locations in relation to the stock performance. The NASDAQ is a formidable marker of stock performance from 2010 to 2019 and location of the company relative to the stock is not an influence of how well the stock performs. Therefore, this study delivers empirical evidence based on the NASDAQ to confirm Tobler's second law of geography. Another possible theorization is that artificial features in space may not be related to one another either nearer or more distant and further research on man-made phenomena could be studied in future research.

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Causality, Information Flow, and Co-Movement Analysis of Major Stock Indices

Karataş

Ünal

2022

Ann. Finan. Econ.

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Stock indices are key indicators of the economy since they indicate the strength of a country’s stock market. For this reason, causality, information flow and co-movement analysis of stock indices gain importance in comparing countries’ economies. Here, we apply a novel approach by analyzing the results of two different methodologies; in wavelet coherence (WTC) analysis, the co-movement between stock indices provided and coherent areas can be shown, and information flow is indicated for five-year periods, especially on coherent zones by Transfer Entropy (TE), which detects cause-and-effect relations. This paper analyzed the information flow and co-movement among FTSE100 in the United Kingdom, the DAX in Germany and S&P500 Index in the United States stock indices. Three different results are obtained as follows: (1) DAX is on the leading side in general for five-year periods, (2) bidirectional information flows arise for every pair in the coherent periods and (3) TE-guided WTC analysis shows that TE sign change can be explained by phase angle direction obtained with WTC. These results indicate that both the methods yield proper outcomes in coherent time zones and during financial crisis like the COVID period, which we have faced for two years; for this reason, the results were also obtained for the COVID period, and in general, that shows DAX dominated other indices. We published this study to help researchers understand the connectedness between stock indices and investors avoiding risk in their stock portfolios, especially during financial crisis periods.

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Covid-19 and the Technology Bubble 2.0: Evidence from DCC-MGARCH and Wavelet Approaches

Cited by 5 publications

References 7 publications

Are There Digital Tech Bubbles in China?

Are There Digital Tech Bubbles in China?

Does Spatial Autocorrelation Hold for the Stock Market Application to the NASDAQ Composite Index

Causality, Information Flow, and Co-Movement Analysis of Major Stock Indices

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