scholarly journals Integrasi Dinamis Pasar Modal Indonesia dengan Pasar Modal International pada Masa Pandemi Covid-19

2021 ◽  
Vol 3 (2) ◽  
pp. 143-151
Author(s):  
Stefany Cindy Sugiyanto ◽  
Robiyanto Robiyanto
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Markets ◽  
World Economy ◽  
Contagion Effect ◽  
Global Crisis ◽  
Stock Indices ◽  
The World ◽  
Closing Price ◽  
Dynamic Integration

The Covid-19 pandemic has an impact on the world economy especially on the stock mar-ket, thus the aim of this study is to determine whether there is dynamic integration be-tween the stock markets in Indonesia with the capital market in Asia and in the world during Covid-19 pandemic. This study uses return data from the closing price of 12 stock indices, namely ASX, DOWJONES, FTSE, HANGSENG, IHSG, KLSE, KOSPI, NIK-KEI, PSEI, SET, STI, and TAIWAN from January to December 2020 that have been ana-lyzed using DCC-GARCH. The results showed that the stock markets of both Indonesia, Asia and the world were dynamically integrated due to the global crisis of the Covid-19 pandemic. The results showed that there was a contagion effect on the stock market that occurred during the period when the Covid-19 pandemic crisis occurred. This research can be a reference for investors who want to invest in stocks in Indonesia during the Covid-19 pandemic. DOI: https://doi.org/10.26905/afr.v3i2.551

scholarly journals Impact of Macroeconomic Variables on Stock Market Indices Value: A Cross-Country Indices Study

2013 ◽  
Vol 12 (3) ◽  
pp. 65-76 ◽  
Author(s):  
Rohini Mariappan ◽  
Nikita Hari
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Economic Activity ◽  
Contagion Effect ◽  
Macroeconomic Variables ◽  
The World ◽  
Cross Country

Complete unpredictability and the contagion effect of stock markets could pose significant challenges for the entire financial markets of the world. Moreover, it is an incontrovertible truth that the variations in stock market indices is an integral part of the dynamics of economic activity and can propel social moods and expectations. In fact, the stock market has predicted 10 out of the last 3 recessions.

scholarly journals IMPACT OF COVID-19 ON ISLAMIC AND CONVENTIONAL STOCKS IN INDONESIA: A WAVELET-BASED STUDY

2021 ◽  
Vol 24 ◽  
pp. 15-32
Author(s):  
Mohsin Ali ◽  
Urooj Anwar ◽  
Muhammad Haseeb
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Recent Literature ◽  
Stock Index ◽  
Wavelet Coherence ◽  
Continuous Wavelet ◽  
Stock Indices ◽  
The World ◽  
Conventional Counterpart

The recent literature shows that COVID-19 has impacted stock markets around the world in many ways. In this paper, we examine the reaction of the Indonesian stock market to COVID-19. We apply the continuous wavelet coherence methodology to daily COVID-19 related deaths and daily conventional and Islamic stock indices inIndonesia. We find that COVID-19 negatively impacts the returns of both indices and enhances their volatility. We find the Islamic stock index to be more volatile as compared to its conventional counterpart during the COVID-19 outbreak.

scholarly journals A Study on Comparative Analysis of Major Stock Indices of World

2020 ◽  
Vol 10 (1) ◽  
Author(s):  
Alpesh Gajera
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Research Paper ◽  
Sufficient Time ◽  
Daily Return ◽  
Stock Indices ◽  
Time Period ◽  
Significant Difference ◽  
The World ◽  
Closing Price

Experts talk lots on integration of major stock indices of the world. In this research paper researcher has tried to establish integration between major stock indices of the world by calculating correlation and applying anova on daily return of 16 major stock indices of the world. In research it is found that preceding and succeeding time of opening the stock market plays vital roles in terms of effect on each other. To achieve the objectives of research, last 5 years daily closing price of these 16 indices is collected and analyzed for quantifying the level of correlation between different stock indices. As sufficient time period is taken and daily closing prices are analyzed so it is found there is not significant difference in the daily return of these stock indices.

Spillovers to the Global South

2017 ◽  
Author(s):  
Yilmaz Akyüz
Keyword(s):  
World Economy ◽  
Commodity Prices ◽  
Global South ◽  
Capital Inflows ◽  
Global Crisis ◽  
Advanced Economies ◽  
The World ◽  
Run Up ◽  
Global Growth ◽  
Very High

The crisis demolished the myth that EDEs were decoupled from advanced economies and BRICS were becoming new engines of global growth. From 2011 onwards, with the end of the twin booms in commodity prices and capital inflows, growth in EDEs has converged downward towards the depressed levels of advanced economies from the very high levels achieved in the run-up to the global crisis and the immediate aftermath. Loss of momentum is particularly visible in economies that failed to manage the earlier booms prudently. In examining the spillovers from policies in major advanced economies and China to EDEs, the chapter introduces the notion of commodity-finance nexus wherein these markets reinforce each other during both expansions and contractions. The chapter concludes with a brief discussion of policies needed to put the world economy into decent shape and to avoid liquidity and debt crises in EDEs.

The world economy

1998 ◽  
Vol 165 ◽  
pp. 35-42
Author(s):  
Nigel Pain
Keyword(s):  
Capital Market ◽  
World Trade ◽  
Global Economy ◽  
World Economy ◽  
Domestic Demand ◽  
The World ◽  
Asian Economies ◽  
Trade Growth ◽  
The Impact ◽  
The Capital Market

Developments in the Asian economies have clearly begun to be felt in the wider global economy in recent months. It has always been expected that the OECD economies would be affected by the aftermath of the capital market turmoil last year, although the timing and magnitude of the impact was difficult to predict. Domestic demand in the affected Asian economies has proved much weaker than expected, with the effects magnified by a continued downturn in Japan. GDP fell by 5¾ per cent in Korea in the first quarter of this year and by 1¼ per cent in Japan. The aggregate volume of merchandise imports in Asia is expected to decline by around 5½ per cent this year, with falls of up to 25 per cent in countries such as Korea, Thailand and Indonesia. This largely accounts for our projected decline in world trade growth to under 6 per cent this year from an estimated 9¾ per cent in 1997.

scholarly journals Influence of world stock markets on the development of the stock market in Ukraine

2021 ◽  
Vol 18 (4) ◽  
pp. 223-240
Author(s):  
Inna Shkolnyk ◽  
Serhiy Frolov ◽  
Volodymyr Orlov ◽  
Viktoriia Dziuba ◽  
Yevgen Balatskyi
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Mutual Influence ◽  
Stock Exchanges ◽  
World Federation ◽  
Pairwise Correlation ◽  
Stock Market Performance ◽  
The Us ◽  
The World ◽  
Global Stock Markets

Viewing the development of the stock market in Ukraine, the economy, which world financial organizations characterize as small and open, is largely determined by the trends formed by the global stock markets and leading stock exchanges. Therefore, the study aims to analyze Ukraine’s stock market, the world stock market, stock markets in the regions, and to assess their mutual influence. The study uses the data of the World Federation of Exchanges and National Securities and Stock Market Commission (Ukraine) from 2015 to 2020. Stock market performance forecasts are built using triple exponential smoothing. Based on pairwise correlation coefficients, the existence of a significant dependence in the development of the world stock market on the development of the American stock market was determined. Regarding the Ukrainian stock exchanges, only SE “PFTS” demonstrated its dependence on the US stock market. The results of the regression model based on an exponentially smoothed series of trading volumes in all markets showed that variations in the volume of trading on the world stock market are due to the situation on the US stock markets. Trading volume dynamics on Ukrainian stock exchanges such as SE “PFTS” and SE “Perspektiva” is almost 50% determined by the development of stock markets in the American region. Although Ukraine is geographically located in Europe, the results show a lack of significant links and the impacts of stock markets in this region on the major Ukrainian stock exchanges and the stock market as a whole.

Challenges of Global Crisis. Italy

2013 ◽  
pp. 67-80
Author(s):  
I. Semenenko ◽  
I. Labinskaya
Keyword(s):  
International Relations ◽  
World Economy ◽  
Global Crisis ◽  
Global Trends ◽  
The World

A new stage has been reached in assessing new global trends. It is necessary to evaluate the West’s experience and its adaptability to the rest of the world. This journal begins a series of publications analyzing some of the leading states. For a starter, we offer contemporary Italy. Participants of the seminar are well-known scholars working at the Institute of World Economy and International Relations I. Semenenko and K. Kholodkovskiy (the main speakers), N. Goffe, N. Kisovskaya, A. Avilova.

Global financial architecture: possible directions of structural transformation

2021 ◽  
pp. 4
Author(s):  
Vladimir Andrianov
Keyword(s):  
Stock Market ◽  
Structural Transformation ◽  
Financial Institutions ◽  
Capital Market ◽  
Shadow Banking ◽  
International Financial Institutions ◽  
Financial Architecture ◽  
The World ◽  
Financial Infrastructure

The article examines the main trends in the transformation of the global financial infrastructure. The influence of shadow banking and the bubble of derivatives on the development of the world capital market and the stock market is investigated. Possible options for reforming international financial institutions and financial regulators are proposed.

scholarly journals Oil Dependency of GCC Stock Markets: Co-integration of GCC Stock Market Indices and Oil Price

2016 ◽  
Vol 12 (1) ◽  
pp. 188
Author(s):  
T. P. Ghosh
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Economic Recession ◽  
Oil Price ◽  
Integrated Analysis ◽  
Data Series ◽  
Stock Indices ◽  
Gcc Countries ◽  
Per Se ◽  
Johansen Cointegration Test

Oil dependent economies of GCC countries had passed through various cycles of boom and trough of oil price. In the aftermath of the economic recession of 2008 and oil price, the GCC countries have been pursuing plans for diversifying to non-oil revenues. The oil of 2014-16 raised the issue of stock market cointegration to oil price movement in the background of non-oil diversification.This research study analyzes long term cointegration of oil price and GCC stock indices, and also cointegration among the GCC stock indices per se in an attempt to investigate if there is any early sign of disintegration of GCC stock markets from oil price cyclicality. The study period is linked to cyclicality of oil price: the first period comprising of Jan 2006- Dec. 2011 that covers oil price cycle during economic recession of 2008, and the second period comprising of Jan 2012 –September 2016 which covers the post-economic recession oil price cycle. The null hypotheses is that oil price and stock market indices are co-integrated.Based on Johansen Cointegration test on Box Cox transformed data of oil price and seven stock market indices of GCC countries, it is found that oil price and GCC stock markets are co-integrated. Analysis using Augmented Dickey- Fuller test and Phillips –Perron test shows that data series are all I (1). This study establishes that efforts to reduce oil dependency in GCC countries is yet to result in decoupling of financial markets from oil price cyclicality. This study also establishes that GCC stock markets per se are co-integrated but factors of cointegration beyond oil price are not explored.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 ◽  
Vol 9 (4) ◽  
pp. 1
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Volatility ◽  
Future Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Us ◽  
The World ◽  
The Impact ◽  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

Sign in / Sign up

Export Citation Format

Share Document