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Journal articles on the topic 'Financial market uncertainty'

Author: Grafiati
Published: 19 February 2023

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1

Goodell, John W., Richard J. McGee, and Frank McGroarty. "Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis." Journal of Banking & Finance 110 (January 2020): 105684. http://dx.doi.org/10.1016/j.jbankfin.2019.105684.

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2

Yurchenko, Yu P. "INNOVATIVE PARADOXES OF FINANCIAL MARKET UNCERTAINTY." Nauka. Kultura. Obshestvo, no. 2 (May 2020): 93–96. http://dx.doi.org/10.38085/2308829x-2020-2-93-96.

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3

Zhang, Zhiqiang, Zhenfang Wang, and Xiaowei Chen. "Pricing Convertible Bond in Uncertain Financial Market." Journal of Uncertain Systems 14, no. 01 (March 2021): 2150007. http://dx.doi.org/10.1142/s1752890921500070.

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This paper is devoted to evaluating the convertible bonds within the framework of uncertainty theory. Under the assumption that the underlying stock price follows an uncertain differential equation driven by Liu process, the price formulas of convertible bonds and the callable convertible bonds are derived by using the method of uncertain calculus. Finally, two numerical examples are discussed.
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4

Shokrollahi, Foad. "Equity Warrants Pricing Formula for Uncertain Financial Market." Mathematical and Computational Applications 27, no. 2 (February 22, 2022): 18. http://dx.doi.org/10.3390/mca27020018.

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In this paper, inside the system of uncertainty theory, the valuation of equity warrants is explored. Different from the strategies of probability theory, the valuation problem of equity warrants is unraveled by utilizing the strategy of uncertain calculus. Based on the suspicion that the firm price follows an uncertain differential equation, a valuation formula of equity warrants is proposed for an uncertain stock model.
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5

Turuk, Igor, and Marcela Passova. "Financial markets in the period of uncertainty – focus on the Slovak financial market." International journal of contemporary business and entrepreneurship 1, no. 1 (June 30, 2020): 40–49. http://dx.doi.org/10.47954/ijcbe.1.1.3.

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Economic environment has changed significantly in recent days due to the COVID19 and measures the governments apply to combat it will inevitably cause the substantial shrinkage of economies due to reduced economic activities on the national as well as global levels. As a result, financial markets have been under great stress because there is no prediction on the size, scope, and duration of this situation. Simultaneously this causes a great uncertainty. It is obvious that financial markets play crucial role in the general good standing of economies because they are serving as a channel through which funds are transferred to and between entities on the market. Financial and monetary systems are a part of the economic system whereby for the latter it is important the former to be as stable as possible. In order this to be achieved or at least risks caused by uncertainty to be reduced both in short-term as well as long-term perspectives a wide scope of traditional as well as modern the financial market regulations have been applied and here we are going to present at least some of them.
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6

Mei, Jianping, and Limin Guo. "Political Uncertainty, Financial Crisis and Market Volatility." European Financial Management 10, no. 4 (December 2004): 639–57. http://dx.doi.org/10.1111/j.1354-7798.2004.00269.x.

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7

Smales, Lee A. "Political uncertainty and financial market uncertainty in an Australian context." Journal of International Financial Markets, Institutions and Money 32 (September 2014): 415–35. http://dx.doi.org/10.1016/j.intfin.2014.07.002.

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8

Abid, Maryam, and Danish Ahmed Siddique. "Impact of Financial Market Uncertainty on Market Returns: A Global Analysis." Business and Economic Research 10, no. 3 (July 26, 2020): 216. http://dx.doi.org/10.5296/ber.v10i3.17276.

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This paper examines the effect of financial market uncertainty on market returns of different countries of the world. The effect of other macroeconomic like Consumer Price Index (CPI), Real Interest Rates (R.IR), Market Capitalization (MCAP), and Gross Domestic Product per capita growth (GDPPCG).For analyzing this relationship, around 40 countries data including developed and developing countries, over the period of 10 years from 2009-2018. For analysis, Panel Least Square (PLS) was used. Fixed Effect Model (FEM) is used to check the overall strength of the model. Group correlation was also performed on overall variables to check the causal relationship between all the variables and individual regression tests are also conducted country wise to explore that how much this model is applicable, descriptive analysis for market return and uncertainty to check the moments of these variables. The overall results it is concluded that market returns are affected by the financial markets uncertainty in the long run and it is a significant variable in explaining market returns while overall test results proved a positive relationship with market returns but individual testing of this model on each country shows, more than half countries in the study have a negative relationship of financial market uncertainty with market returns. Along this, other macro-economic variables impact is also measured over market returns of the world which shows all variables Consumer Price Index, Real Interest Rates and Market Capitalization except Gross Domestic Product per capita growth have a negative relationship with the Equity Market returns.
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Oueslati, Jihene Ghouli, Nadia Basty, and Lamis Klouj. "Euro-Mediterranean Financial Markets Reaction to Political Elections." International Journal of Social and Administrative Sciences 6, no. 2 (September 3, 2021): 70–85. http://dx.doi.org/10.18488/journal.136.2021.62.70.85.

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This paper studies a sample of Euro-Mediterranean countries to test the link of political-financial interdependencies. We focus specifically on the impact of the occurrence of national elections on the reaction of financial markets. We used the GARCH (1,1) model and the concept of the volatility multiplier to test our hypotheses. The results established that political elections have a significant impact on stock market performance and volatility for Euro-Mediterranean countries. We detected anomalous behavior in stock market returns. Stock market returns on election day and in the days following the election are inversely higher as uncertainty about the election outcome decreases. Investor uncertainty, combined with the consequences of the multiparty system in Euro-Mediterranean countries, leads to negative abnormal returns around elections. In terms of volatility, we found that the greater degree of uncertainty about the situation and the market disruption affected by the media and social networks increase volatility before election day.
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10

Janková, Zuzana, and Eva Rakovská. "Comparison Uncertainty of Different Types of Membership Functions in T2FLS: Case of International Financial Market." Applied Sciences 12, no. 2 (January 17, 2022): 918. http://dx.doi.org/10.3390/app12020918.

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This article deals with the determination and comparison of different types of functions of the type-2 interval of fuzzy logic, using a case study on the international financial market. The model is demonstrated on the time series of the leading stock index DJIA of the US market. Type-2 Fuzzy Logic membership features are able to include additional uncertainty resulting from unclear, uncertain or inaccurate financial data that are selected as inputs to the model. Data on the financial situation of companies are prone to inaccuracies or incomplete information, which is why the type-2 fuzzy logic application is most suitable for this type of financial analysis. This paper is primarily focused on comparing and evaluating the performance of different types of type-2 fuzzy membership functions with integrated additional uncertainty. For this purpose, several model situations differing in shape and level or degree of uncertainty of membership functions are constructed. The results of this research show that type-2 fuzzy sets with dual membership functions is a suitable expert system for highly chaotic and unstable international stock markets and achieves higher accuracy with the integration of a certain level of uncertainty compared to type-1 fuzzy logic.
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11

Bouri, Elie, Riza Demirer, Rangan Gupta, and Jacobus Nel. "COVID-19 Pandemic and Investor Herding in International Stock Markets." Risks 9, no. 9 (September 13, 2021): 168. http://dx.doi.org/10.3390/risks9090168.

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The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between pandemic-induced market uncertainty and herding behavior in a set of 49 global stock markets. More specifically, we study the pattern of cross-sectional market behavior and examine whether the pandemic-induced uncertainty drives directional similarity across the global stock markets that cannot be explained by the standard asset pricing models. Utilizing a time-varying variation of the static herding model, we first identify periods during which herding is detected. We then employ probit models to examine the possible association between pandemic-induced uncertainty and the formation of herding. Our findings show a strong association between herd formation in stock markets and COVID-19 induced market uncertainty. The herding effect of COVID-19 induced market uncertainty is particularly strong for emerging stock markets as well as European PIIGS stock markets that include some of the hardest hit economies in Europe by the pandemic. The findings establish a direct link between the recent pandemic and herd formation among market participants in global financial markets. Considering the evidence that herding behavior can drive security prices away from equilibrium values supported by fundamentals and further contribute to price fluctuations in financial markets, our findings have significant implications for policy makers and investors in their efforts to monitor investor sentiment and mitigate mis-valuations that might occur as a result. Furthermore, the evidence on the behavioral pattern of stock investors in relation to infectious diseases uncertainty can be useful in studying price discovery in stock markets and might help market participants in forming hedging strategies to mitigate downside risk in their investment portfolios.
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12

Klein, Irene. "Market free lunch and large financial markets." Annals of Applied Probability 16, no. 4 (November 2006): 2055–77. http://dx.doi.org/10.1214/105051606000000484.

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13

Choi, Sangyup, and Myungkyu Shim. "Financial vs. Policy Uncertainty in Emerging Market Economies." Open Economies Review 30, no. 2 (July 28, 2018): 297–318. http://dx.doi.org/10.1007/s11079-018-9509-9.

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14

Geyt, Debby Van, Philippe Van Cauwenberge, and Heidi Vander Bauwhede. "THE IMPACT OF THE FINANCIAL CRISIS ON INSIDER TRADING PROFITABILITY IN BELGIUM." Journal of Business Economics and Management 14, no. 2 (May 7, 2012): 364–85. http://dx.doi.org/10.3846/16111699.2011.652980.

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The 2007 global financial crisis led to a chaotic financial environment characterized by highly uncertain and volatile stock markets. This created additional uncertainty about the fundamental value of shares and potentially increased the benefit of inside information. In this paper, we use event study methodology to examine whether Belgian corporate insiders were able to benefit from these turbulent market conditions. Given the large weight of financial institutions, the Belgian stock market was especially vulnerable to the financial crisis and provides an interesting environment to test this hypothesis. Our results show that, while insiders are generally able to earn abnormal returns, these returns are significantly higher during the years of the financial crisis.
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15

Almeida, Dora, Andreia Dionísio, Isabel Vieira, and Paulo Ferreira. "Uncertainty and Risk in the Cryptocurrency Market." Journal of Risk and Financial Management 15, no. 11 (November 14, 2022): 532. http://dx.doi.org/10.3390/jrfm15110532.

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Cryptocurrency investments are often perceived as uncertain and risky. In this study, we assessed if this is indeed the case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the life of these relatively new financial assets, the COVID-19 pandemic. Uncertainty was evaluated using Shannon’s symbolic entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis, uncertainty increased while risk decreased, suggesting that the considered assets may have safe haven properties.
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16

Ulyukaev, A., and E. Danilova. "Russian Banking Sector under World Financial Market Uncertainty: Problems and Prospects." Voprosy Ekonomiki, no. 3 (March 20, 2008): 4–19. http://dx.doi.org/10.32609/0042-8736-2008-3-4-19.

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The authors point out that the local market crisis - on the USA substandard loan market - has led to the uncertainty of the world financial market. It has caused the growing demand for liquidity in the framework of the world financial system. The Russian banking sector seems to be more stable under negative changes than banking systems of other emerging markets. At the same time one can assume that the crisis will become the factor of qualitative shift in the character of the Russian banking sector development - the shift from impetuous to more balanced growth.
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17

Abdalmajeed Alsmadi, Ayman, Najed Alrawashdeh, Anwar Al-Gasaymeh, Loai Naser Alhwamdeh, and Amer Moh’d Al_hazimeh. "Do oil prices and oil production capacity influence decision making and uncertainty in the financial market? Evidence from Saudi Arabia." Investment Management and Financial Innovations 19, no. 3 (September 26, 2022): 335–45. http://dx.doi.org/10.21511/imfi.19(3).2022.28.

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The aim of this study is to investigate the relationship between oil prices and oil production capacity and financial market performance in the Kingdom of Saudi Arabia and how oil prices and oil production capacity influence the decision making and uncertainty factors in Saudi Arabia’s financial markets. The key variables considered are oil prices and oil production capacity in the Kingdom of Saudi Arabia. Other variables such as foreign direct investment decisions and domestic investment decisions are adopted to explore their impact and reaction to the various risks identified. Therefore, data was collected from online sources to analyze qualitative and quantitative information to understand risks, uncertainties and decision-making considerations. The findings of this paper indicate that rising oil prices increase the value of the Saudi Arabian financial market. The study showed that the diversification of the investor portfolio increases the stability of Saudi Arabia’s financial market. Also, the KSA’s financial market volatility primarily reflects oil price fluctuations, and the Saudi Arabian oil production capacity directly affects its financial market performance. Saudi Arabia’s oil production was also found to pose insignificant risk to long-term economic growth and stability, thereby putting investors’ long-term investments at risk. The study also showed that investors in Saudi Arabia’s financial market fail to objectively analyze risks by focusing on short-term high-profit margins from oil prices. AcknowledgmentAll authors have contributed equally to this paper.
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18

Bowes, David R. "Stock Market Volatility And Presidential Election Uncertainty: Evidence From Political Futures Markets." Journal of Applied Business Research (JABR) 34, no. 1 (December 29, 2017): 143–50. http://dx.doi.org/10.19030/jabr.v34i1.10105.

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Uncertainty about the economy can increase volatility in financial market returns. One potential source of uncertainty is the outcome of an upcoming national election. This paper uses a GARCH model to estimate the effect of uncertainty surrounding U.S. Presidential elections on the volatility of U.S. stock market returns from 1992-2012. Uncertainty in these elections is measured using asset prices from the Iowa Electronic Market (IEM), an on-line futures market based on real-world events, including U.S. elections. The empirical results show that the conditional variance in S&P 500 returns increases when IEM presidential election futures market asset prices indicate greater uncertainty about the outcome of an upcoming election.
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19

Zhu, Sha. "The Spillover and Transmission of Chinese Financial Markets Risk." International Business Research 11, no. 8 (July 19, 2018): 66. http://dx.doi.org/10.5539/ibr.v11n8p66.

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After the 2008 financial crisis, the whole world financial markets became more fluctuates, the same to China also. It is necessary to pay great attention to high volatility problem in Chinese market, and also the uncertainty problem, risk accumulation and spillover effect come along with it. This paper calculates stock market return and builds financial stress index to explore the risk spillover effect. Empirical results show that the Chinese financial market have higher volatility than other countries. The Chinese stock market had higher dynamic market co-movement with international financial markets after 2008 financial crisis. What’s more, this article also finds the financial risk spreads between China and US. When the US financial stress index increases, China's financial stress index experiences a larger increase. However, after the change in China's financial stress index, the US financial stress index has no obvious trend of change. So we should pay more attention to periods of Chinese financial market risk and its spillover.
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20

Mistry, Shilan. "Dynamics of the financial market." McGill Science Undergraduate Research Journal 3, no. 1 (March 31, 2008): 17–18. http://dx.doi.org/10.26443/msurj.v3i1.125.

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Financial mathematics must make use of assumptions in the development of mathematical models that provide predictive power on the behavior of economic markets, as it is impossible to collect data on the market as a whole. As a result, important quantities, such as the risk-measurement of a portfolio, are often inaccurately estimated. The financial market seems to be an erratic, pattern-less system. Indeed, attempts to find patterns, and to explain the processes behind the price movements of an asset, have been largely unsuccessful. This is analogous to the ‘Turkey Problem' described by N. Taleb in his book "The Black Swan". To illustrate, a turkey spends its life being fed and raised for slaughter, a fact that is unbeknownst to it. From the point of view of the turkey, life is delicious and predictable, until the day it is killed. For the turkey, its death is a ‘black swan event’, as it represents something highly unpredictable and catastrophic. This same type of uncertainty is also present in financial markets.
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21

Маnuylov, K. E. "FINANCIAL MARKET SPECULATIVE TRANSACTIONS." MGIMO Review of International Relations, no. 6(33) (December 28, 2013): 141–48. http://dx.doi.org/10.24833/2071-8160-2013-6-33-141-148.

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The article highlights the transformation of financial market, which determines its insulation as an independent economy sector. The tendency was first analyzed in late XIX century and has been developing since then, resulting in dissociation of real and financial sectors. Due to uncertainty traders lack decision guidelines, as speculative transactions do not imply property management. As a result, their decisions are based on expectations and market value losses any connection to real sector performance. Financial derivatives development through late XX century has brought financial market independence to a new level and inflation of the sector to values, exceeding world GDP. Stock market has provided the basis for property and management separation, and derivatives, in turn, separate returns from property and risk from asset. As risk valuation turns out to be the measure of market expectations, it is sure to affect the basic asset prices even more than underlying real capital. The imbalance is believed to have been one of the determinants of the modern financial and economic crisis. Financial market has evidently transformed to a casino to a greater extent, than Keynes identified.
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22

Yono, Kyoto, Hiroki Sakaji, Hiroyasu Matsushima, Takashi Shimada, and Kiyoshi Izumi. "Construction of Macroeconomic Uncertainty Indices for Financial Market Analysis Using a Supervised Topic Model." Journal of Risk and Financial Management 13, no. 4 (April 19, 2020): 79. http://dx.doi.org/10.3390/jrfm13040079.

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The uncertainty in the financial market, whether the US—China trade war will slow down the global economy or not, Federal Reserve Board (FRB) policy to increase the interest rates, or other similar macroeconomic events can have a crucial impact on the purchase or sale of financial assets. In this study, we aim to build a model for measuring the macroeconomic uncertainty based on the news text. Further, we proposed an extended topic model that uses not only news text data but also numeric data as a supervised signal for each news article. Subsequently, we used our proposed model to construct macroeconomic uncertainty indices. All these indices were similar to those observed in the historical macroeconomic events. The correlation was higher between the volatility of the market and uncertainty indices with larger expected supervised signal compared to uncertainty indices with the smaller expected supervised signal. We also applied the impulse response function to analyze the impact of the uncertainty indices on financial markets.
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23

Scholl, Maarten P., Anisoara Calinescu, and J. Doyne Farmer. "How market ecology explains market malfunction." Proceedings of the National Academy of Sciences 118, no. 26 (June 25, 2021): e2015574118. http://dx.doi.org/10.1073/pnas.2015574118.

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Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is like the abundance of a species. We study a toy model of a market consisting of value investors, trend followers, and noise traders. We show that the average returns of strategies are strongly density dependent; that is, they depend on the wealth invested in each strategy at any given time. In the absence of noise, the market would slowly evolve toward an efficient equilibrium, but the statistical uncertainty in profitability (which is calibrated to match real markets) makes this noisy and uncertain. Even in the long term, the market spends extended periods of time away from perfect efficiency. We show how core concepts from ecology, such as the community matrix and food webs, give insight into market behavior. For example, at the efficient equilibrium, all three strategies have a mutualistic relationship, meaning that an increase in the wealth of one increases the returns of the others. The wealth dynamics of the market ecosystem explain how market inefficiencies spontaneously occur and gives insight into the origins of excess price volatility and deviations of prices from fundamental values.
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24

Chang, Yongsung, Jay H. Hong, and Marios Karabarbounis. "Labor Market Uncertainty and Portfolio Choice Puzzles." American Economic Journal: Macroeconomics 10, no. 2 (April 1, 2018): 222–62. http://dx.doi.org/10.1257/mac.20160207.

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The standard life-cycle models of household portfolio choice have difficulty generating a realistic age profile of risky share. These models not only imply a high risky share on average but also a steeply decreasing age profile, whereas the risky share is mildly increasing in the data. We introduce age-dependent, labor market uncertainty into an otherwise standard model. A great uncertainty in the labor market—high unemployment risk, frequent job turnovers, and an unknown career path—prevents young workers from taking too much risk in the financial market. As labor market uncertainty is resolved over time, workers start taking more risk in their financial portfolios. (JEL D14, D15, D81, G11, J31, J63)
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25

Aleksin, Glib. "Financial Strategy Formulation and Implementation under Economic Uncertainty: Ukrainian companies’ case." VUZF Review 5, no. 2 (June 29, 2020): 38–47. http://dx.doi.org/10.38188/2534-9228.20.2.04.

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Factors of economic uncertainty are considered. Economic uncertainty factors’ effect on financial managerial decisions is studied. Financial strategy matrix is proposed on the basis of a sample of Ukrainian companies. The proposed financial strategy matrix covers both financial and market goals – according to the BSC methodology. Thus, in the proposed tool, financial goals are reflected by the level of leverage A/E (Assets-to-Equity), market goals in turn are represented by ROA level; combination of the financial goal (A/E) and market goal (ROA) produces ROE, i.e. level of value creation for stakeholders. Within the proposed methodology financial strategy uses an analytical tool that combines financial and market goals of the enterprise, where the abscissa axis plots ROA level, the ordinate axis plots A/E level. The algorithm of making managerial decisions on financial strategy is described on an example of a company from selected sample – PJSC “Carlsberg Ukraine” – over 2014-2018. A set of managerial decisions targeted at further financial and market position is proposed.
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Zhang, Zongxin, Ying Chen, and Weijie Hou. "Asymmetric Risk Spillover Networks and Risk Contagion Driver in Chinese Financial Markets: The Perspective of Economic Policy Uncertainty." Complexity 2021 (September 13, 2021): 1–10. http://dx.doi.org/10.1155/2021/3169534.

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The global financial market shocks have intensified due to the COVID-19 epidemic and other impacts, and the impacts of economic policy uncertainty on the financial system cannot be ignored. In this paper, we construct asymmetric risk spillover networks of Chinese financial markets based on five sectors: bank, securities, insurance, diversified finance, and real estate. We investigate the complexity of the risk spillover effect of Chinese financial markets and the impact of economic policy uncertainty on the level of network contagion of financial risk. The study yields three findings. First, the cross-sectoral risk spillover effects of Chinese financial markets are asymmetric in intensity. The bank sector is systemically important in the risk spillover network. Second, the level of risk stress in the real estate sector has increased in recent years, and it plays an important role in the path of financial risk contagion. Third, Economic policy uncertainty has a significant positive impact on the level of network contagion of financial risk of Chinese financial markets.
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Lumjiak, Sutsarun, Nguyen Thi Thieu Quang, Christopher Gan, and Sirimon Treepongkaruna. "Good coups, bad coups: evidence from Thailand’s financial markets." Investment Management and Financial Innovations 15, no. 2 (May 4, 2018): 68–86. http://dx.doi.org/10.21511/imfi.15(2).2018.07.

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This study investigates the short-run and long-run impact of coups on Thailand’s financial markets. Using daily data from the stock and foreign exchange markets during the period 2005–2017, the study shows (1) both coups in 2006 and in 2014 exert short-run impact on Thailand’s stock and foreign exchange markets; (2) however, the direction and magnitude of impact are different and opposite in the two coups; and (3) in the long run, the coups exhibit minimal impact on the currency market, but induce better market performance (positive return and decrease in the return volatility) despite an increase in liquidity risk of the stock market. Against common beliefs about negative consequences of the coup d’états, this study suggests that the uncertainty surrounding coups can bring good investment opportunities for investors to earn abnormal profits. Moreover, in the long term, the coup can drive the country to better stability and development.
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28

C.C. Smith, Garrett. "After a market panic: cash is king." Managerial Finance 40, no. 5 (May 6, 2014): 506–34. http://dx.doi.org/10.1108/mf-07-2013-0166.

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Purpose – The purpose of this paper is to examine the effects of financial flexibility as represented by excess cash holdings and debt capacity upon firm returns after periods of high market uncertainty. Design/methodology/approach – Days of high uncertainty are identified from 1987-2011 using the VXO Index (implied volatility of the S&P 100) yielding approximately 45,000 firm events. The main variables of interest are excess cash (Duchin et al., 2010) and debt capacity. Two financial constraint indexes are used as controls in a cross-sectional OLS regression. Findings – The precautionary value of cash during and after times of uncertainty is beneficial. A positive relationship exists for periods of up to two years following the initial day of high uncertainty. Positive BHRs exist on a zero-cost trade investing in a portfolio of high excess cash firms and shorting a portfolio of cash constrained firms. The value of excess debt capacity, on the other hand, is harder to discern; positive profits are obtainable on a zero-cost trade while regression estimates are typically insignificant on average. Originality/value – This paper expands the financial flexibility literature by testing the effects of financial flexibility on returns following days of high market uncertainty.
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Naser, Hanan. "COVID-19, Oil Price, Bitcoin, and US Economic Policy Uncertainty: Evidence from ARDL Model." International Journal of Economics and Finance 13, no. 11 (October 25, 2021): 92. http://dx.doi.org/10.5539/ijef.v13n11p92.

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The pandemic of coronavirus (COVID-19) creates fear and uncertainty causing extraordinary disruption to financial markets and global economy. Witnessing the fastest selloff in the American stock market in history with a plunge of more than 28% in S&P 500 has increased the volatility of global financial market to exceed the level observed during the financial crisis of 2008. On the other hand, Bitcoin value has shown considerable stability in the last couple of months peaking at $10,367.53 in the mid of February 2020. In this context, the aim of this paper is to investigate the impact of COVID-19 numbers on Bitcoin price taking into consideration number of controlling variables including WTI-oil price, S&P 500 index, financial market volatility, gold prices, and economic policy uncertainty of the US. To do so, ARDL estimation has been applied using daily data from December 31, 2019 till May 20, 2020. Key findings reveal that the daily reported cases of new infections have a marginal positive impact on Bitcoin price in the long term. However, the indirect impact associated with the fear of COVID-19 pandemic via financial market stress cannot be neglected. Bitcoin can also serve as a hedging tool against the economic policy uncertainty in the long term. In the short run, while the returns of economic policy uncertainty have no impact on Bitcoin price, the growth in the new cases of COVID-19 infection and returns of financial market volatility have more positive significant impact on Bitcoin returns.
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Naser, Hanan. "COVID-19, Oil Price, Bitcoin, and US Economic Policy Uncertainty: Evidence from ARDL Model." International Journal of Economics and Finance 13, no. 11 (October 25, 2021): 88. http://dx.doi.org/10.5539/ijef.v13n11p88.

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The pandemic of coronavirus (COVID-19) creates fear and uncertainty causing extraordinary disruption to financial markets and global economy. Witnessing the fastest selloff in the American stock market in history with a plunge of more than 28% in S&P 500 has increased the volatility of global financial market to exceed the level observed during the financial crisis of 2008. On the other hand, Bitcoin value has shown considerable stability in the last couple of months peaking at $10,367.53 in the mid of February 2020. In this context, the aim of this paper is to investigate the impact of COVID-19 numbers on Bitcoin price taking into consideration number of controlling variables including WTI-oil price, S&P 500 index, financial market volatility, gold prices, and economic policy uncertainty of the US. To do so, ARDL estimation has been applied using daily data from December 31, 2019 till May 20, 2020. Key findings reveal that the daily reported cases of new infections have a marginal positive impact on Bitcoin price in the long term. However, the indirect impact associated with the fear of COVID-19 pandemic via financial market stress cannot be neglected. Bitcoin can also serve as a hedging tool against the economic policy uncertainty in the long term. In the short run, while the returns of economic policy uncertainty have no impact on Bitcoin price, the growth in the new cases of COVID-19 infection and returns of financial market volatility have more positive significant impact on Bitcoin returns.
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Maeda, Iwao, Hiroyasu Matsushima, Hiroki Sakaji, Kiyoshi Izumi, David deGraw, Atsuo Kato, and Michiharu Kitano. "Predictive Uncertainty in Neural Network-Based Financial Market Forecasting." International Journal of Smart Computing and Artificial Intelligence 5, no. 1 (2021): 1–18. http://dx.doi.org/10.52731/ijscai.v5.i1.541.

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32

Segal, Gill, Ivan Shaliastovich, and Amir Yaron. "Good and bad uncertainty: Macroeconomic and financial market implications." Journal of Financial Economics 117, no. 2 (August 2015): 369–97. http://dx.doi.org/10.1016/j.jfineco.2015.05.004.

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Chiang, Thomas C., Jiandong Li, and Sheng-Yung Yang. "Dynamic stock–bond return correlations and financial market uncertainty." Review of Quantitative Finance and Accounting 45, no. 1 (January 8, 2014): 59–88. http://dx.doi.org/10.1007/s11156-013-0430-4.

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Wang, Huiqiang, and Annie L. Boatwright. "Political uncertainty and financial market reactions: A new test." International Economics 160 (December 2019): 14–30. http://dx.doi.org/10.1016/j.inteco.2019.07.004.

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35

Nelson, Stephen C., and Peter J. Katzenstein. "Uncertainty, Risk, and the Financial Crisis of 2008." International Organization 68, no. 2 (2014): 361–92. http://dx.doi.org/10.1017/s0020818313000416.

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AbstractThe distinction between uncertainty and risk, originally drawn by Frank Knight and John Maynard Keynes in the 1920s, remains fundamentally important today. In the presence of uncertainty, market actors and economic policy-makers substitute other methods of decision making for rational calculation—specifically, actors' decisions are rooted in social conventions. Drawing from innovations in financial markets and deliberations among top American monetary authorities in the years before the 2008 crisis, we show how economic actors and policy-makers live in worlds of riskanduncertainty. In that world social conventions deserve much greater attention than conventional IPE analyses accords them. Such conventions must be part of our toolkit as we seek to understand the preferences and strategies of economic and political actors.
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36

Debata, Byomakesh, and Jitendra Mahakud. "Economic policy uncertainty and stock market liquidity." Journal of Financial Economic Policy 10, no. 1 (April 3, 2018): 112–35. http://dx.doi.org/10.1108/jfep-09-2017-0088.

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Purpose This study aims to examine the relationship between economic policy uncertainty and stock market liquidity in an order-driven emerging stock market. Design/methodology/approach Empirical estimates are based on vector autoregressive Granger-causality tests, impulse response functions and variance decomposition analysis. Findings The empirical findings suggest that economic policy uncertainty moderately influences stock market liquidity during normal market conditions. However, the role of economic policy uncertainty for determining stock market liquidity is significant in times of financial crises. The authors have also observed a significant portion of variation in stock market liquidity that is attributed to investor sentiments during financial crises. Originality/value This study is original in nature and provides evidence to consider economic policy uncertainty as a possible source of commonality in liquidity in the context of an emerging market.
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Janková, Zuzana, and Petr Dostál. "Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty." Mathematical Problems in Engineering 2021 (June 18, 2021): 1–16. http://dx.doi.org/10.1155/2021/3839071.

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Extensive research results of stock market time series using classical fuzzy sets (type-1) are available in the literature. However, type-1 fuzzy sets cannot fully capture the uncertainty associated with stock market developments due to their limited descriptiveness. This paper fills a scientific gap and focuses on type-2 fuzzy logic applied to stock markets. Type-2 fuzzy sets may include additional uncertainty resulting from unclear, uncertain, or inaccurate financial data through which model inputs are calculated. Here we propose four methods based on type-2 fuzzy logic, which differ in the level of uncertainty contained in fuzzy sets and compared with the type-1 fuzzy model. The case study aims to create a model to support investment decisions in Exchange-Traded Funds (ETFs) listed on international equity markets. The created models of type-2 fuzzy logic are compared with the classic type-1 fuzzy logic model. Based on the results of the comparison, it can be said that type-2 fuzzy logic with dual fuzzy sets is able to better describe data from financial time series and provides more accurate outputs. The results reflect the capability and effectiveness of the approach proposed in this document. However, the performance of type-2 fuzzy logic models decreases with the inclusion of increasing uncertainty in fuzzy sets. For further research, it would be appropriate to examine the different levels of uncertainty in the input parameters themselves and monitor the performance of such a modified model.
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David, Alexander, and Pietro Veronesi. "A Survey of Alternative Measures of Macroeconomic Uncertainty: Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?" Annual Review of Financial Economics 14, no. 1 (November 1, 2022): 439–63. http://dx.doi.org/10.1146/annurev-financial-111720-091804.

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In the past 20 years, measures of economic uncertainty have been developed that are purely market price based; structural model based, using data on real fundamentals and asset prices; text based; or survey based. We compare the performance of these uncertainty measures in forecasting three real variables with irreversibilities—investment, hiring, and credit creation—as well as in explaining fluctuations in stock market and Treasury bond market volatility. In general, we find that structural model–based measures do better than measures constructed using other approaches, with a model of stock market volatility by David and Veronesi performing the best on several (but not all) dimensions. Their learning-based model's volatility places time-varying weights on inflation, earnings, and consumption news, as agents in the economy assess the impact that inflation has on the stability of real economic growth.
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Dalili, Saad. "Test empirique de l’hypothèse de l’efficience informationnelle faible du marché boursier Marocain à l’ère du Covid-19." International Journal of Performance and Organizations 1, no. 2 (November 28, 2022): 99–104. http://dx.doi.org/10.55897/ijpo.2022.02.13.

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The Covid 19 caused several changes on the economic scene worldwide, the financial markets do not escape this, indeed an important instability of these markets was noticed in the various stock exchanges due to the situation of uncertainty in which the operators were. The period of the covid was marked in the financial markets by an overreaction of the investors to the available information, during this striking period, the Moroccan market knew a remarkable collapse which can be explained by the concerns of the operators as for the propagation of the pandemic, this leads us to question the hypothesis of the informational efficiency of the financial markets and pushes us to seek explanations as for the processes of the determinations of the prices of the financial assets To this end, and given the scarcity of work in this direction, this article tries to verify the hypothesis of informational efficiency of the Moroccan stock market in the context of covid19.
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Seo, Hwan-Joo, Han Sung Kim, and Joonil Kim. "Does Shareholder Value Orientation or Financial Market Liberalization Slow Down Korean Real Investment?" Review of Radical Political Economics 48, no. 4 (August 3, 2016): 633–60. http://dx.doi.org/10.1177/0486613415603159.

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This study empirically tests whether the growing importance of shareholder value orientation and financial market liberalization can explain the decline in Korean real investment since the Asian financial crisis. First, the results indicate no negative relationship between increased payments to financial markets and the slowdown in Korean real investment. Second, the estimation results do not support the assertion that financial investment earnings crowd out Korean real investment. Third, an increase in the level of uncertainty from financial market liberalization reduces real investment by Korean firms. These results suggest that financial market liberalization explains the slowdown in Korean firm real investment for the 1990-2010 period better than shareholder value orientation does.
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Kotyza, Pavel, Katarzyna Czech, Michał Wielechowski, Luboš Smutka, and Petr Procházka. "Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?" Agriculture 11, no. 2 (January 21, 2021): 93. http://dx.doi.org/10.3390/agriculture11020093.

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Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.
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Istiak, Khandokar, and Md Rafayet Alam. "US economic policy uncertainty spillover on the stock markets of the GCC countries." Journal of Economic Studies 47, no. 1 (February 21, 2020): 36–50. http://dx.doi.org/10.1108/jes-11-2018-0388.

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PurposeThis study aims to investigate the nature and degree of US economic policy uncertainty spillover on the stock markets of a group of non-conventional economies like the Gulf Cooperation Council (GCC) countries, where a risk-sharing-based financial system is prominent and foreign investment, risk-free interest, derivatives, etc. are not as widespread as in the western economies.Design/methodology/approachthe monthly data of 1992–2018, linear and nonlinear structural vector autoregression (VAR) model, and an impulse response-based test to explore the nature and degree of US economic policy uncertainty spillover on the stock markets of the GCC countries.FindingsThis study finds that an unexpected increase in the US economic policy uncertainty significantly decreases the stock market index of all the GCC countries. This study also gets this relationship symmetric, meaning that the GCC stock market indices decrease and increase by the same amount when the US economic policy uncertainty increases and decreases, respectively.Originality/valueThis study investigates the characteristics of economic policy uncertainty spillover from the biggest economy of the world to the stock markets of the GCC region, which is new to the literature. The study results provide the first evidence that a risk-sharing based financial system does not necessarily protect the stock market from US uncertainty shock. However, the abundance of local investors, risk-sharing investment activities, the absence of derivatives, etc. may be responsible for the symmetric behavior of a stock market.
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43

Rickett, Laura K. "Do financial blogs serve an infomediary role in capital markets?" American Journal of Business 31, no. 1 (April 4, 2016): 17–40. http://dx.doi.org/10.1108/ajb-08-2015-0024.

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Purpose – Financial blogs provide an online platform whereby retail investors effortlessly gain access to an abundant array of investment guidance. Prior studies find that the market reacts to financial blogs and similar online venues but results are inconsistent and financial blogs, a growing area in new media and distinct from other online venues, have received little attention. The purpose of this paper is to examine the particular conditions in which financial blogs serve an infomediary role in capital markets; when information asymmetry is high, earnings quality is low, and during economic uncertainty. These are conditions in which retail investors may seek easily accessible advice for their investment decisions. Design/methodology/approach – Abnormal returns for firms mentioned in blog posts on the SeekingAlpha.com financial blog are examined using a multivariate regression to determine whether or not the market reaction associated with these posts is related to information asymmetry, earnings quality, and economic uncertainty. Findings – Results indicate that abnormal returns are associated with the SeekingAlpha.com financial blog when information asymmetry is high and during bearish market conditions, and in particular when buy recommendations are posted on the blog for firms with high information asymmetry. This association is strengthened for firms with low institutional ownership, a proxy for unsophisticated or retail investors. Research limitations/implications – Results are based on a sample collected during a specific time period in order to detect whether financial blogs serve an infomediary role during uncertain market conditions. Practical implications – Results of this study can be useful to company executives who may want to monitor investment advice posted about their firm on financial blogs. Financial blogs and other forms of social media such as Twitter and Facebook are becoming the “new normal” in the investor information environment, a trend that is likely to continue. Originality/value – Financial blogs provide an abundance of supplemental information demanded by investors. Financial blogs represent a form of “new media,” now considered a key component of firms’ information environment (Saxton, 2012). In contrast to prior studies which primarily investigate only whether the market reacts to financial blogs or similar online platforms such as stock message boards, this study attempts to understand the specific conditions in which the market reacts to financial blogs. The results provide a rationale as to when and why investors rely on financial blogs and whether financial blogs serve an infomediary role in capital markets.
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Uribe, Jorge M., and Montserrat Guillen. "Generalized Market Uncertainty Measurement in European Stock Markets in Real Time." Mathematics 8, no. 12 (December 2, 2020): 2148. http://dx.doi.org/10.3390/math8122148.

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We estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in the aggregate, and provide readily and easily interpretable estimates, in real time, which are relevant for market participants and regulators. We show that generalized uncertainty in Europe was, indeed, at historically high levels in the wake of the recent public health crisis before the large interventions by the European Central Bank, the Fed, and the Bank of England, but also that, for some markets, recently recorded uncertainty levels were still lower than those recorded during the Global Financial Crisis, which puts things into perspective. We also show that uncertainty shocks are extremely persistent, but such persistence varies greatly across countries. The period needed for the markets to absorb half of the shock lies between less than a year and two and a half years.
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45

Kocaarslan, Baris. "Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market." Business and Economics Research Journal 11, no. 1 (January 30, 2020): 119–29. http://dx.doi.org/10.20409/berj.2020.239.

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46

Mokoena, Sboniso, and Bomi Nomlala. "Analysis of the relationship between COVID-19 and the stock market performance in South Africa." International Journal of Finance & Banking Studies (2147-4486) 11, no. 2 (April 30, 2022): 25–33. http://dx.doi.org/10.20525/ijfbs.v11i2.1477.

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The paper’s objective was to investigate the relationship between COVID-19 and South Africa financial stock markets. The pandemic worsened South Africa's unstable financial condition and societal problems: business was severely disrupted, as were the travel industry, hospitality, food security, small businesses, and many other sectors. The results show that the COVID-19 pandemic triggered high and longer-lasting financial volatility in the markets. The higher level of volatility persistence suggests a prolonged period of increased uncertainty. Overall, the uncertainty about the vaccine's effectiveness towards the pandemic provides low expectations about the future of the stock market, since there are variants that are still being discovered.
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Nguyen, Canh Phuc, Thanh Dinh Su, Udomsak Wongchoti, and Christophe Schinckus. "The spillover effects of economic policy uncertainty on financial markets: a time-varying analysis." Studies in Economics and Finance 37, no. 3 (June 12, 2020): 513–43. http://dx.doi.org/10.1108/sef-07-2019-0262.

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Purpose This study aims to examine the spillover effects of trans-Atlantic macroeconomic uncertainties on the local stock market returns in the USA and eight selected European countries, namely, Germany, France, Spain, Italy, Greece, Ireland, Sweden and the UK, during the 2000-2019 period. Design/methodology/approach This paper applies the dynamic conditional correlation multivariate GARCH model (i.e. multivariate generalized autoregressive conditional heteroskedasticity model or DCC MGARCH) to examine the potential existence of the spillover from the uncertainty of the USA to EU stock markets and vice versa. To capture different dynamic relationships between multiple time-series variables following different regimes, this paper applies the Markov switching model to the stock returns of both the USA and the eight major stock markets. Findings The increases in US uncertainty have significant negative impacts on all EU stock returns, whereas only the increases in the uncertainties of Spain, Ireland, Sweden and the UK have significant negative impacts on US stock returns. Notably, the economic policy uncertainty (EPU) in the USA has a dynamic effect on the European stock markets. In a bear market (State 1), the increases in the EPU of the USA and EU have significant negative impacts on EU stock returns in most cases. However, only the increase in US EPU has significant negative impacts on EU stock returns in bull markets (State 2). Reciprocally, the increases in the EU EPUs of Germany, Spain and the UK have significant impacts on US stock returns in bear market. Originality/value The observations challenge the conventional wisdom according to which only larger economies can lead the smaller counterparts. The findings also highlight the stronger dependence of the US stock market on international macroeconomic uncertainty.
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Zhang, Dingzu, and Luqi Liu. "Does ESG Performance Enhance Financial Flexibility? Evidence from China." Sustainability 14, no. 18 (September 9, 2022): 11324. http://dx.doi.org/10.3390/su141811324.

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Environmental, social, and governance (ESG) performance may be one of the strategies firms adopt to enhance their financial flexibility in response to an increasingly uncertain environment and difficult sustainability conditions. We use A-share listed firms in China from 2015 to 2020 as samples to test the influencing mechanism of ESG performance on financial flexibility. The empirical results indicate that ESG performance significantly enhances financial flexibility. The mechanism results show that financing constraints mediate ESG performance and firms’ financial flexibility. The additional analysis suggests that environmental uncertainty and market attention have significant positive moderating effects. That is, the promotion effect of firms in high uncertainty environments is more apparent, and the same is true in high market attention. This study supports instrumental stakeholder theory, signaling, and social impact hypothesis. It has enlightenment significance for firms, investors, and creditors to evaluate ESG performance and government departments to formulate relevant policies.
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Sial, Muhammad Safdar, Jacob Cherian, Abdelrhman Meero, Asma Salman, Abdul Aziz Abdul Rahman, Sarminah Samad, and Constantin Viorel Negrut. "Determining Financial Uncertainty through the Dynamics of Sukuk Bonds and Prices in Emerging Market Indices." Risks 10, no. 3 (March 8, 2022): 61. http://dx.doi.org/10.3390/risks10030061.

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The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies the quantile regression technique. The study findings show that evidence of co-moment exists between the global emerging market index and Sukuk bond price returns, except the one. There is no impact of the financial uncertainty indicator reflected by the global volatility index (VIX) on the Sukuk index returns, and even this impact is negative for (VXEEM). The causal impact among the global emerging and Sukuk bond markets will help formulate future trading strategies in particular to Islamic bond markets.
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Naifar, Nader. "What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?" Journal of Risk and Financial Management 13, no. 10 (October 16, 2020): 245. http://dx.doi.org/10.3390/jrfm13100245.

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This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically, we explained the changes in sovereign credit default swap (hereafter SCDS) spreads at different locations of the spread distributions by three categories of explanatory variables: global uncertainty factors, local financial variables, and global financial market variables. Using weekly data from 5 April 2013, to 17 January 2020, and the quantile regression model, empirical results indicate that the global factors outperform the local factors. The most significant variables for all SCDS spreads are the global financial uncertainty embedded in the Chicago Board Options Exchange (CBOE) volatility index (VIX) and the global conventional bond market uncertainty embedded in the Merrill Lynch Option Volatility Estimate (MOVE) index. Moreover, the MOVE index affects the various SCDS spreads only when the CDS markets are bullish. Interestingly, the SCDS spreads are not affected by the global economic policy and the gold market uncertainties. Additionally, a weak dependence is observed between oil prices and SCDS spreads. For the country-specific factors, stock market returns are the most significant variable and impact the SCDS spreads at different market circumstances.
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