The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Olbryś, Joanna

doi:10.17265/1537-1506/2014.07.001

CBR

2014

DOI: 10.17265/1537-1506/2014.07.001

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The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Joanna Olbryś

Abstract: Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confirm that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused … Show more

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Cited by 3 publications

References 46 publications

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Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Olbryś

Majewska

2015

Folia Oeconomica Stetinensia

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The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE) stock markets during the 2007-2009 Global Financial Crisis (GFC). As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

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Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Olbryś

Majewska

2015

Folia Oeconomica Stetinensia

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Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Labuschagne¹,

Majewska²,

Olbryś³

2016

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SummaryA number of studies assert that during critical events cross-market correlations change substantially. The main focus of this paper is to explicitly test two research hypotheses concerning the effect of increasing cross-market correlations in the 2007-2009 Global Financial Crisis (GFC) compared to the pre-crisis period. These hypotheses state that there was no contagion and no integration effects among the U.S., the U.K., and selected African stock markets (South Africa, Namibia, Egypt, Nigeria, Morocco and Kenya) during the GFC. The crisis periods are formally detected using a statistical method of dividing market states into bullish and bearish markets. The sample period begins in January 2003 and ends in December 2013, and it includes the 2007 U.S. subprime crisis. Obtained results indicate that there is no reason to reject both research hypotheses. Moreover, the results confirm a heterogeneity of the African equity markets in the context of the influence of the recent global crisis.

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Wpływ kryzysu finansowego 2007-2009 na strukturę hierarchiczną europejskich rynków kapitałowych

Majewska

2017

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NA STRUKTURĘ HIERARCHICZNĄ EUROPEJSKICH RYNKÓW KAPITAŁOWYCH StreszczenieCelem niniejszego opracowania jest analiza struktury hierarchicznej europejskich rynków kapitało-wych w okresach: przed globalnym kryzysem finansowym 2007-2009 oraz po jego zakończeniu. W badaniu wykorzystano tygodniowe logarytmiczne stopy zwrotu głównych indeksów 28 giełd europejskich, wśród których znalazły się zarówno rynki rozwinięte, jak i rozwijające się. Okres badawczy objął lata 2000-2016. Do zbadania struktury powiązań między rynkami wykorzystano metody aglomeracyjne, przede wszystkim metodę Warda. Przeprowadzona analiza pozwoliła stwierdzić istotne różnice w strukturze powiązań między rynkami w okresie przed kryzysem i po jego zakończeniu. Wskazała również grupy rynków szczególnie silnie oddziałujących na siebie. Słowa kluczowe: globalny kryzys finansowy, analiza skupień, dendrogram, metoda Warda IMPACT OF 2007-2009 FINANCIAL CRISIS ON HIERARCHICAL STRUCTURE OF EUROPEAN CAPITAL MARKETS SummaryThe purpose of this paper is to investigate the hierarchical structure of the European capital markets in the periods before and after the Global Financial Crisis of 2007-2009. The author uses weekly logarithmic stock market returns of the 28 main indexes of the European exchanges, both from the developed and developing markets, in the period 2000-2016. The examination is based on agglomerative clustering methods, primarily on the Ward's linkage method. The results show that the Global Financial Crisis has changed the hierarchy of the markets. They also indicate which groups of markets are most strongly interconnected.

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The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Cited by 3 publications

References 46 publications

Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Wpływ kryzysu finansowego 2007-2009 na strukturę hierarchiczną europejskich rynków kapitałowych

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