Anatomy of global stock market crashes [electronic resource] : an empirical analysis /
Chakrabarti, Gagari.author.
Sen, Chitrakalpa.author.
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic inter-linkages 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.
Description based upon print version of record.
Anatomy of Global Stock Market Crashes; Foreword; Preface; Contents; 1 Introduction; References; 2 Stock Market Cycles and Volatility Regime Switch; Abstract; 2.1...Introduction; 2.2...Two Significant Stock Market Cycles; 2.2.1 The First Cycle Revisited; 2.2.2 The Second Cycle Revisited; 2.2.3 The Peak in the Recent Years; 2.2.4 Three Peaks and Two Troughs; 2.3...Detection of Structural Break in Volatility; 2.3.1 Detection of Multiple Structural Breaks in Variance: The ICSS Test; 2.3.1.1 The Original Model: Breaks in Unconditional Variance; 2.3.1.2 Modified ICSS Test: Breaks in Conditional Variance
2.3.2 Volatility Breaks in Global Stock Market References; 3 Crises and Latent Structure in the Global Stock Market; Abstract; 3.1...Introduction; 3.2...Exploring the Latent Structure in the Global Stock Market; 3.2.1 Methodology; 3.2.2 Result for Sub-Period 1 (1998--2005); 3.2.3 Result for Sub-Period 2 (2006--2011); 3.3...Analysis of Intra-Regional Association; 3.3.1 Methodology: Granger Causality; 3.3.2 Methodology: Dependence Analysis; 3.3.3 Results for Phase 1; 3.3.3.1 Results for Applying Granger Causality; 3.3.3.2 Results for Applying Dependence Techniques; 3.3.4 Results for Phase 2
3.3.4.1 Results for Applying Granger Causality3.3.4.2 Results for Applying Dependency Techniques; 3.4...The Latent Structure and the New Issues Arising; References; 4 Global Stock Market, Knife-Edge Stability and the Crisis; Abstract; 4.1...Introduction; 4.2...Methodology; 4.2.1 BDS Test; 4.2.2 The State-Space Reconstruction; 4.2.3 Mutual Information Criterion: Finding tau; 4.2.4 False Nearest Neighborhood: Decide the Optimal m; 4.2.5 Determinism Test; 4.2.6 Maximum Lyapunov Exponent; 4.3...Results; 4.4...The Dynamics of Global Stock Market: The Emerging Issues; References
Includes bibliographical references.
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic inter-linkages 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.
Macroeconomics.
Finance.
Business.
Management science.
Macroeconomics/Monetary Economics//Financial Economics.
Finance, general.
Business and Management, general.
SpringerBriefs in Economics