The Impact of the Global Financial Crisis, Does It Sustain?

Al-Zu’bi, Bashar; Salameh, Hussein; Eid, Qasim Mousa Abu

doi:10.5539/ijef.v8n10p82

Cited by 2 publications

(3 citation statements)

References 17 publications

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“…The systematic observation of daily closing value of series based data analysis portrays the performance of the individual performances and the mutual dependency of one series on another at BSE. Granger causality test reveals unidirectional and in some case bidirectional causality in selected indices of BSE [1,3,27]. Further, Johansen Co-integration test clearly shows that there is a long run co-movement among selected series.…”

Section: Discussionmentioning

confidence: 99%

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Stochastic Pattern of Major Indices of Bombay Stock Exchange

Dadhich¹,

Chouhan²,

Adholiya³

2019

IJRTE

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It is interesting to get inside and draw a meaningful inference by studying the movement of various stock indices. Portfolio managers, analysts, and investors are very keen to know about the technical pattern of indices. They consider the stock market is one of the economic barometers or market indicators of an economy. Indian financial market has undergone radical and vital change during the past few years. The purpose of this study is to check stochastic movements in selected indices and to signify nexus and interdependency among one another by the virtue of econometric analysis. The study comprises of daily closing value from 1st April 2014-1st April 2018, including major indices i.e. S&P-BSE 100; S&P-BSE-200, S&P BSE-500, S&P-BSE:Large cap, S&P-BSE:Mid-cap, S&P-BSE:small-cap, and BSE-SENSEX. Moreover, typical econometrics tool Augmented Dickey-Fuller Test, Granger Causality Test, and Johansen Co-integration Test were implemented to conclude the result. The study is one of its kinds to analyze the static and pair wise relationship among seven BSE indices along with the direction of their expected future movement that would help practitioners, policy makers and investors in anticipating the future movement of the indices. The Dickey-Fuller and Johanson test administered to analyze unit root and co-integration among the series in long run, followed by Granger causality test to observe the route of the short term relationship among various indices. The tests reveal uni-directional and in some cases bi-directional causality in selected indices. Further, it has been observed that due to co-integration, prices of different indices can’t move far away from one another [1]. This stochastic study delves volatility pattern of some major indices of Bombay stock exchange with the help of econometric tools. It clearly delineates nexus of all the indices and provided an explanation to appreciate concrete conduct of one series into a mutual relationship. Hence, investors or analyst may predict the movements, interdependency and their relationship in a significant manner.

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Section: Discussionmentioning

confidence: 99%

“…Al-Zu'bi et al studied the patterns of the stock price movement of various national and international stock exchanges and found that the price movements were very close during the subprime crisis. Moreover, volatility persists in every market [1].…”

Section: Review Of Literaturementioning

confidence: 99%

Stochastic Pattern of Major Indices of Bombay Stock Exchange

Dadhich¹,

Chouhan²,

Adholiya³

2019

IJRTE

View full text Add to dashboard Cite

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“…Manifestly this observation was particularly witnessed during the recent Global Financial Crisis in 2008. When the USA faced the crisis, contagion captures other countries as reported by Al-Zu'bi et al (2016). These waves of global asset price movements have been further enthused by the improved cooperation of heightened cross-border capital flows, transparency of transactions via advance technology, the ease of capital mobility regulations, as well as added competitive market pressure on corporations to seek capital in the oversee within a climate of increasing overseas' investment options (Budd, 2014).…”

Section: Introductionmentioning

confidence: 99%

An investigation of stock market volatility: evidence from Dubai financial market

Salameh

Al-Zu’bi

2018

JEAS

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Purpose The purpose of this paper is to assess the sources of Dubai Financial Market Index volatility shocks if they are from its own or previous shocks on the one hand, or if they are out board shocks (FSTE and S&P500) on the other. Design/methodology/approach A daily time series data were collected over the period 1st January 2014-31st December 2015 and the generalized autoregressive conditional heteroskedasticity (GARCH) methodology was implemented. Findings Empirically, the authors find that the current volatility of Dubai Financial Market Index is largely dependent on its own shocks and part of the external shock; in particular, S&P500. However, other external volatility (FSTE) cannot contribute to this volatility. Furthermore, our findings indicate that Abu Dhabi stock Exchange (APX) affects Dubai Financial Market Index. Practical implications These results conclude that Securities Regulation Department in the federal state of United Arab Emirates had captured the effect of outside shocks from the UK only, but not from USA; this is basically due to the strong ties between the two countries. Accordingly, UAE investors seek capital outside their home country within a climate of increasing overseas’ investment options in the UK. More transparency of transactions via information technology will increase the efficiency of Dubai Financial Market. Originality/value To the best of the knowledge, this is the first work that shows the external and internal sources of volatility shocks at once; previous studies have focused almost exclusively on one type of shocks. To investigate DFM volatility shocks, the authors employed GARCH methodology; this method is an advanced econometric method and is often a preferred method to depict actual effects because it provides a more real-world context than other forms when trying to predict volatility shocks of financial instruments.

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The Impact of the Global Financial Crisis, Does It Sustain?

Cited by 2 publications

References 17 publications

Stochastic Pattern of Major Indices of Bombay Stock Exchange

Stochastic Pattern of Major Indices of Bombay Stock Exchange

An investigation of stock market volatility: evidence from Dubai financial market

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