The Contagion Effect in Europe: A DCC Garh Approach

Alexandre, Paulo; Heliodoro, Paula; Dias, Rui

doi:10.31410/limen.2019.73

Cited by 12 publications

(11 citation statements)

References 14 publications

(19 reference statements)

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“…These events significantly infected developed economies, however, this significance was not dense in emerging economies. Understanding the synchronism between stock markets, as well as the study on the occurrence of movements in periods of turbulence is important for investors, investment fund managers, academics, in various aspects, particularly when it is to implement strategies for diversifying efficient portfolios (Alexandre, Dias, and Heliodoro, 2020;Alexandre, Heliodoro, and Dias, 2019;Dias, and Pereira, 2020;Dias and Carvalho, 2020;Dias, da Silva, and Dionysus, 2019;Alexandre, 2019, 2020;Dias, Heliodoro, Alexan-dre, Santos, and Farinha, 2021;Vasco, 2020a, 2020b;Dias, Heliodoro, Alexandre, et al, 2020a, 2020aDias, Heliodoro, Teixeira, andGodinho, 2020a, 2020b;Dias, Pardal, Teixeira, & Machová, 2020c;Heliodoro, Dias, Alexandre, and Vasco, 2020;Sparrow, P., Dias, R., Šuleř, P., Teixeira, N., and Krulický, 2020;Santos and Dias, 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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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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“…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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“…If a given stock market is strongly linked to the stock market of another country, the financial stability of the former depends, in part, on the financial stability of the latter. For this reason, a close or strong link between markets increases levels of vulnerability to external shocks and, as a result, influences the economic conditions and welfare levels of the respective countries, as well as the efficiency of the market itself Heliodoro, 2020a, 2020b;Alexandre, Heliodoro, and Dias, 2019;Dias and Carvalho, 2020;Alexandre, 2020a, 2019;Dias, Heliodoro, Alexandre, Santos, and Farinha, 2021;Dias, Heliodoro, Teixeira, and Godinho, 2020;Dias, Pardal, Teixeira, and Machová, 2020;Dias, Heliodoro, Alexandre, and Vasco, 2020b;Dias and Pereira, 2021; Heliodoro, P., Dias, R., Alexandre, P., and Vasco, 2020;Pardal, P., Dias, R., Šuleř, P., Teixeira, N., and Krulický, 2020;Santos and Dias, 2020).…”

Section: Introductionmentioning

confidence: 99%

Risk Diversification in Asean-5 Financial Markets: An Empirical Analysis in the Context of the Global Pandemic (Covid-19)

Silva¹,

Dias²,

Heliodoro³

et al. 2020

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

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The World Health Organization (WHO) has designated the new coronavirus infection as a global pandemic, based on the risk of contagion, and the number of confirmed cases in more than 195 countries. COVID-19 has an intense impact on the global economy, resulting from uncertainty and pessimism, with adverse effects on financial markets. Due to these events, this essay aims to estimate if the portfolio’s diversification is feasible in the financial markets of Indonesia, Malaysia, Philippines, Singapore, and Thailand (ASEAN-5), in the context of the global pandemic (Covid-19), regarding the period of July 1, 2019, to July 22, 2020. To achieve such an analysis, is intended to provide answers for two questions, namely: i) the global pandemic (Covid-19) has accentuated financial integration between the ASEAN-5 markets? ii) If so, can the persistence of returns affect the risk diversification of portfolios? The results obtained suggest that those regional markets present accentuated levels of integration. However, the Singapore's stock market index does not show any level of integration, indicating that the implementation of portfolio’s diversification strategies can be considered; however, the same can no longer be evident for the other ASEAN-5 markets. Additionally, we verified that the ASEAN-5 markets indicate persistence in returns, that is, the presence of accentuated long memories, except for the Singapore market (SGX). These findings show that prices do not fully reflect the information available and that changes in prices are not independent and identically distributed. This situation is found for investors, since some returns can be expected, creating opportunities for arbitrage and abnormal earnings. Corroborating the trendless cross-correlation coefficients (𝜆𝐷𝐶𝐶𝐴), proven evidence coefficients, mostly, suggest the existence of risk transmission between markets. In conclusion, the authors seek that the implementation of an efficient diversification strategy for portfolios requires agreement with the controversial application. These conclusions also open space for the regulators of these regional markets to take measures to ensure better information between these markets and international markets.

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The Contagion Effect in Europe: A DCC Garh Approach

Abstract: This research analyses the co-movements between sovereign debt markets, and the stock mar

Cited by 12 publications

References 14 publications

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

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

Stock Market Efficiency in Africa: Evidence From Random Walk Hypothesis

Risk Diversification in Asean-5 Financial Markets: An Empirical Analysis in the Context of the Global Pandemic (Covid-19)

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