Market shocks and stock volatility : evidence from emerging and developed markets
Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the...
Ausführliche Beschreibung
Autor*in: |
Tabash, Mosab I. [verfasserIn] Chalissery, Neenu [verfasserIn] Nishad, T. Mohamed [verfasserIn] Al Absy, Mujeeb Saif Mohsen [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Englisch |
Erschienen: |
2023 |
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Rechteinformationen: |
Open Access Namensnennung 4.0 International ; CC BY 4.0 |
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Schlagwörter: |
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Übergeordnetes Werk: |
Enthalten in: International Journal of Financial Studies - Basel : MDPI, 2013, 12(2024), 1 vom: März, Artikel-ID 2, Seite 1-18 |
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Übergeordnetes Werk: |
volume:12 ; year:2024 ; number:1 ; month:03 ; elocationid:2 ; pages:1-18 |
Links: |
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DOI / URN: |
10.3390/ijfs12010002 |
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Katalog-ID: |
188448767X |
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10.3390/ijfs12010002 doi (DE-627)188448767X (DE-599)KXP188448767X DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Market shocks and stock volatility evidence from emerging and developed markets Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy 2023 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ risk–return (dpeaa)DE-206 volatility (dpeaa)DE-206 asymmetric volatility (dpeaa)DE-206 financial crisis (dpeaa)DE-206 global pandemic (dpeaa)DE-206 emergingmarkets (dpeaa)DE-206 developed markets (dpeaa)DE-206 GARCH models (dpeaa)DE-206 Chalissery, Neenu verfasserin aut Nishad, T. Mohamed verfasserin aut Al Absy, Mujeeb Saif Mohsen verfasserin (DE-588)1150992875 (DE-627)1011211556 (DE-576)497356821 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 12(2024), 1 vom: März, Artikel-ID 2, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:12 year:2024 number:1 month:03 elocationid:2 pages:1-18 https://www.mdpi.com/2227-7072/12/1/2/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs12010002 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 12 2024 1 3 2 1-18 26 01 0206 4504564335 x1z 27-03-24 2403 01 DE-LFER 4511219931 00 --%%-- --%%-- n --%%-- l01 12-04-24 2403 01 DE-LFER https://doi.org/10.3390/ijfs12010002 2403 01 DE-LFER https://www.mdpi.com/2227-7072/12/1/2/pdf |
spelling |
10.3390/ijfs12010002 doi (DE-627)188448767X (DE-599)KXP188448767X DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Market shocks and stock volatility evidence from emerging and developed markets Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy 2023 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ risk–return (dpeaa)DE-206 volatility (dpeaa)DE-206 asymmetric volatility (dpeaa)DE-206 financial crisis (dpeaa)DE-206 global pandemic (dpeaa)DE-206 emergingmarkets (dpeaa)DE-206 developed markets (dpeaa)DE-206 GARCH models (dpeaa)DE-206 Chalissery, Neenu verfasserin aut Nishad, T. Mohamed verfasserin aut Al Absy, Mujeeb Saif Mohsen verfasserin (DE-588)1150992875 (DE-627)1011211556 (DE-576)497356821 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 12(2024), 1 vom: März, Artikel-ID 2, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:12 year:2024 number:1 month:03 elocationid:2 pages:1-18 https://www.mdpi.com/2227-7072/12/1/2/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs12010002 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 12 2024 1 3 2 1-18 26 01 0206 4504564335 x1z 27-03-24 2403 01 DE-LFER 4511219931 00 --%%-- --%%-- n --%%-- l01 12-04-24 2403 01 DE-LFER https://doi.org/10.3390/ijfs12010002 2403 01 DE-LFER https://www.mdpi.com/2227-7072/12/1/2/pdf |
allfields_unstemmed |
10.3390/ijfs12010002 doi (DE-627)188448767X (DE-599)KXP188448767X DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Market shocks and stock volatility evidence from emerging and developed markets Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy 2023 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ risk–return (dpeaa)DE-206 volatility (dpeaa)DE-206 asymmetric volatility (dpeaa)DE-206 financial crisis (dpeaa)DE-206 global pandemic (dpeaa)DE-206 emergingmarkets (dpeaa)DE-206 developed markets (dpeaa)DE-206 GARCH models (dpeaa)DE-206 Chalissery, Neenu verfasserin aut Nishad, T. Mohamed verfasserin aut Al Absy, Mujeeb Saif Mohsen verfasserin (DE-588)1150992875 (DE-627)1011211556 (DE-576)497356821 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 12(2024), 1 vom: März, Artikel-ID 2, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:12 year:2024 number:1 month:03 elocationid:2 pages:1-18 https://www.mdpi.com/2227-7072/12/1/2/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs12010002 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 12 2024 1 3 2 1-18 26 01 0206 4504564335 x1z 27-03-24 2403 01 DE-LFER 4511219931 00 --%%-- --%%-- n --%%-- l01 12-04-24 2403 01 DE-LFER https://doi.org/10.3390/ijfs12010002 2403 01 DE-LFER https://www.mdpi.com/2227-7072/12/1/2/pdf |
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10.3390/ijfs12010002 doi (DE-627)188448767X (DE-599)KXP188448767X DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Market shocks and stock volatility evidence from emerging and developed markets Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy 2023 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ risk–return (dpeaa)DE-206 volatility (dpeaa)DE-206 asymmetric volatility (dpeaa)DE-206 financial crisis (dpeaa)DE-206 global pandemic (dpeaa)DE-206 emergingmarkets (dpeaa)DE-206 developed markets (dpeaa)DE-206 GARCH models (dpeaa)DE-206 Chalissery, Neenu verfasserin aut Nishad, T. Mohamed verfasserin aut Al Absy, Mujeeb Saif Mohsen verfasserin (DE-588)1150992875 (DE-627)1011211556 (DE-576)497356821 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 12(2024), 1 vom: März, Artikel-ID 2, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:12 year:2024 number:1 month:03 elocationid:2 pages:1-18 https://www.mdpi.com/2227-7072/12/1/2/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs12010002 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 12 2024 1 3 2 1-18 26 01 0206 4504564335 x1z 27-03-24 2403 01 DE-LFER 4511219931 00 --%%-- --%%-- n --%%-- l01 12-04-24 2403 01 DE-LFER https://doi.org/10.3390/ijfs12010002 2403 01 DE-LFER https://www.mdpi.com/2227-7072/12/1/2/pdf |
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10.3390/ijfs12010002 doi (DE-627)188448767X (DE-599)KXP188448767X DE-627 ger DE-627 rda eng Tabash, Mosab I. verfasserin (DE-588)1226712134 (DE-627)1747759821 aut Market shocks and stock volatility evidence from emerging and developed markets Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy 2023 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ risk–return (dpeaa)DE-206 volatility (dpeaa)DE-206 asymmetric volatility (dpeaa)DE-206 financial crisis (dpeaa)DE-206 global pandemic (dpeaa)DE-206 emergingmarkets (dpeaa)DE-206 developed markets (dpeaa)DE-206 GARCH models (dpeaa)DE-206 Chalissery, Neenu verfasserin aut Nishad, T. Mohamed verfasserin aut Al Absy, Mujeeb Saif Mohsen verfasserin (DE-588)1150992875 (DE-627)1011211556 (DE-576)497356821 aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 12(2024), 1 vom: März, Artikel-ID 2, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:12 year:2024 number:1 month:03 elocationid:2 pages:1-18 https://www.mdpi.com/2227-7072/12/1/2/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs12010002 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 12 2024 1 3 2 1-18 26 01 0206 4504564335 x1z 27-03-24 2403 01 DE-LFER 4511219931 00 --%%-- --%%-- n --%%-- l01 12-04-24 2403 01 DE-LFER https://doi.org/10.3390/ijfs12010002 2403 01 DE-LFER https://www.mdpi.com/2227-7072/12/1/2/pdf |
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Market shocks and stock volatility evidence from emerging and developed markets Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy risk–return (dpeaa)DE-206 volatility (dpeaa)DE-206 asymmetric volatility (dpeaa)DE-206 financial crisis (dpeaa)DE-206 global pandemic (dpeaa)DE-206 emergingmarkets (dpeaa)DE-206 developed markets (dpeaa)DE-206 GARCH models (dpeaa)DE-206 |
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Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. |
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Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. |
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Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods-namely, the financial crisis period of 2007-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country's economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors. |
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