Get Anatomy of Global Stock Market Crashes: An Empirical PDF

By Gagari Chakrabarti, Chitrakalpa Sen

ISBN-10: 813220462X

ISBN-13: 9788132204626

This paintings is an exploration of the worldwide marketplace dynamics, their intrinsic natures, universal tendencies and dynamic interlinkages throughout the inventory industry crises over the past twelve years. The learn isolates assorted levels of quandary and differentiates among any challenge that is still constrained to the quarter and people who absorb an international size. The latent constitution of the worldwide inventory industry, the inter-regional and intra-regional inventory marketplace dynamics round the crises are analyzed to get an entire photograph of the constitution of the worldwide inventory industry. The research additional probing into the inherent nature of the worldwide inventory industry in producing problem unearths the worldwide marketplace to be chaotic hence making the method intrinsically volatile or at top to stick to knife-edge balance. The findings have major bearing at theoretical point and on coverage decisions.

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Extra info for Anatomy of Global Stock Market Crashes: An Empirical Analysis

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The analysis has further hinted 24 2 Stock Market Cycles and Volatility Regime Switch toward possible presence of some regional association and strong financial integration at the global level over the two cycles considered in the study, particularly during the second one that has been truly global in nature. It could now be of interest to analyze the nature of such associations in greater detail and to identify channels through which a regional crisis might spill over to the rest of the world and assume global dimension.

B. 3. The communalities are high in most of the markets except for Malaysia, China, Tel Aviv and Cairo. The common variances shared with other markets are thus sufficiently high for these markets. c. 4. Using the VARIMAX method of rotation, four factors are retained on the basis of eigenvalues. The market, however, is characterized by three uncorrelated structures. As is evident from the value of Cronbach’s alpha, the fourth factor is not a valid structure. There is significant presence of regional integration.

Glezakos et al. (2007) examined the short and long-run interlinkages between major world financial markets with particular attention to the Greek stock exchange. They have found strong influence of the US financial market, DAX and FTSE on the other markets of the sample. Moreover, sectoral indices, particularly the IT indices are related globally. CAC and the NEMAX with the help of a VAR model with GARCH errors (Suleimann 2003a, b). Sharma and Kennedy (1977) find strong link between the Indian, US and UK markets.

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Anatomy of Global Stock Market Crashes: An Empirical Analysis by Gagari Chakrabarti, Chitrakalpa Sen

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