YIELD VOLATILITY AS A CHARACTERISTIC OF STOCK CRISES - COMPARISON OF "BLACK TUESDAY", "BLACK MONDAY" AND THE GLOBAL FINANCIAL CRISIS Cover Image

VOLATILNOST PRINOSA KAO KARAKTERISTIKA BERZANSKIH KRIZA - UPOREDBA “CRNOG UTORKA”, “CRNOG PONEDELJKA” I GLOBALNE FINANSIJSKE KRIZE
YIELD VOLATILITY AS A CHARACTERISTIC OF STOCK CRISES - COMPARISON OF "BLACK TUESDAY", "BLACK MONDAY" AND THE GLOBAL FINANCIAL CRISIS

Author(s): Džafer Alibegović, Lejla Dedović
Subject(s): Supranational / Global Economy, Business Economy / Management, Economic history, Financial Markets, Socio-Economic Research
Published by: Ekonomski fakultet u Sarajevu
Keywords: Stock market crash; Black Monday; Black Tuesday; Global financial crisis; financial contagion; spillover effect; stock market indices; volatility; event methodology;

Summary/Abstract: This paper examines whether stock market volatility is a feature of stock market crises in three notable cases: Black Tuesday, Black Monday, and the Global Financial Crisis. By analyzing the DJIA index (NYSE and NASDAQ), and the SASX-10 index and BIRS (Sarajevo and Banja Luka Stock Exchange), the study seeks answers to three research questions: (1) Are there similarities between stock market crises (do crises have "patterns" of development)? (2) Can the crisis in BiH can the stock markets be explained by spillover effects from developed markets or is it a local crisis? (3) Can the nature of the crisis be understood by analyzing volatility trends? Using the event study methodology, we examine the volatility of each index before and after the characteristic event date. The results show that each crisis had a significant impact on the volatility of all indices. The global financial crisis created the most volatility, but it was found that there was no statistically significant similarity in volatility patterns with the Black Tuesday and Black Monday crises. Furthermore, the findings suggest the existence of a certain similarity between indices in the same crisis, in terms of development patterns. However, the crisis in BiH. stock markets cannot be explained by the spillover effect. Finally, we conclude that the analysis of the volatility trend of the series of returns of the stock market indices really gives an insight into the nature of the crisis. Research findings can help investors and policy makers better understand the impact of the crisis on stock market volatility and choose appropriate measures to mitigate the risks associated with them.

  • Issue Year: 2022
  • Issue No: 40
  • Page Range: 114-130
  • Page Count: 17
  • Language: Bosnian
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