Finance and Financial Management Commons^™

A Note On The Relationship Between Covid-19 And Stock Market Return: Evidence From South Asia, Md Arafat Rahman, Md Mohsan Khudri, Muhammad Kamran, Pakeezah Butt

Research outputs 2014 to 2021

Purpose:

The transformation of coronavirus disease (COVID-19) from a regional health crisis in a Chinese city to a global pandemic has caused severe damage not only to the natural and economic lives of human beings but also to the financial markets. The rapidly pervading and daunting consequences of COVID-19 spread have plummeted the stock markets to their lowest levels in many decades especially in South Asia. This concern motivates us to investigate the stock markets’ response to the COVID-19 pandemic in four South Asian countries: Bangladesh, India, Pakistan and Sri Lanka. This study aims to investigate the causal impact of …

Predicting Intraday Financial Market Dynamics Using Takens' Vectors; Incorporating Causality Testing And Machine Learning Techniques, Abubakar-Sadiq Bouda Abdulai

Electronic Theses and Dissertations

Traditional approaches to predicting financial market dynamics tend to be linear and stationary, whereas financial time series data is increasingly nonlinear and non-stationary. Lately, advances in dynamical systems theory have enabled the extraction of complex dynamics from time series data. These developments include theory of time delay embedding and phase space reconstruction of dynamical systems from a scalar time series. In this thesis, a time delay embedding approach for predicting intraday stock or stock index movement is developed. The approach combines methods of nonlinear time series analysis with those of causality testing, theory of dynamical systems and machine learning (artificial …

Energy Consumption, Co2 Emissions And Economic Growth: A Revisit Of The Evidence From India, Aviral Kumar Tiwari Mr.

Aviral Kumar Tiwari

We examined the causality in both static and dynamic framework between energy consumption, CO2 emissions and economic growth in India using Granger approach in VAR framework. We found from the VAR analysis that energy consumption, capital and population Granger-cause economic growth not the vice versa. IRFs and VDs analysis results indicate that CO2 emissions has positive impact on energy use and capital but negative impact on population and GDP. Energy consumption has positive impact on CO2 emissions and GDP but its impact is negative on capital and population. This implies that, in the framework of production function, capital and population/labour …

Was Financial Market Contagion The Source Of Economic Crisis In Asia? Evidence Using A Multivariate Var Model, Ahmed Khalid, Masahiro Kawai

Ahmed Khalid

The episodes of financial crises in many parts of the world during the 1990s have sparked interest in identifying channels through which such crises spread from one country to another. Researchers have identified several factors that may have sparked and induced contagion. This study further extends the existing research by identifying and testing three financial market variables to trace the alleged origin and the subsequent path of the contagion during the 1997 Asian Crisis. Foreign exchange rates, stock market prices and interest rates are three main financial market indicators, representing the currency, stock and money markets, respectively. We use a …

Derivative Markets And Economic Growth: Is There A Relationship?, A. Baluch, Mohamed Ariff

Mohamed Ariff

The spread of capital markets during the half century to-date is a notable global phenomenon in economic development. Derivative markets spread globally in the last quarter century spreading form just two to some 50 in 2007. But the role of derivative markets to economic development has yet been studied. This paper reports new findings on the relationship between derivative market development and (a) economic growth and (b) spot market factors. The results provide very scant support to a positive functional contribution hypothesis by some scholars about derivative markets. However, a negative relationship between the liquidity level of derivative markets and …

Bond Rating Agencies And Stock Analysts: Who Knows What When?, Louis H. Ederington, Jeremy C. Goh

Research Collection Lee Kong Chian School Of Business

Both bond ratings agencies and stock analysts evaluate publicly traded companies and communicate their opinions to investors. Comparing the timelines of each, it is found that Granger causality flows both ways. While most bond downgrades are preceded by declines in actual and forecasting earnings, both actual earnings and forecasts of future earnings tend to fall following downgrades. Although part of this post-downgrade forecast revision can be attributed to negative news regarding actual earnings, most appears to be reaction to the downgrade itself. Little change is found in actual earnings following upgrades. Analysts, however, tend to increase their forecasts of future …