Anatomy of Global Stock Market Crashes: An Empirical AnalysisThis work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions. |
Contents
| 1 | |
2 Stock Market Cycles and Volatility Regime Switch | 6 |
3 Crises and Latent Structure in the Global Stock Market | 27 |
4 Global Stock Market KnifeEdge Stability and the Crisis | 48 |
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American markets analyzed Argentina Australia Austria Aviv Belgium Brazil breaks in volatility Cairo Chakrabarti chaos chaos theory chaotic system characterized China correlation correlation integral crash crisis Cronbach’s alpha detect deterministic Dow Jones eigenvalues embedding dimension endogenous European markets experienced breaks explore Finan financial crises financial markets France Francea Gagari Germany Germanya global market global stock market Granger causality Hong Kong ICSS test India Indonesia initial condition intra-regional association investors iteration Japan Kmax latent structure lead-lag relationship linear Lyapunov exponent Malaysia market return explained Masih Mexico NASDAQ nature Netherlands nonlinear Norway period Perron phase space possible presence reached their respective regional association respective peaks Results for Applying Rev Econ S&Pa second cycle second peak second phase Seoul shock significant Singapore slump Spain stock market cycles stock price Stockholm structural break Switzerland Table Taiwan trajectory trend Unique variance variables vector volatility break dates Zealand