By Gagari Chakrabarti, Chitrakalpa Sen
This paintings is an exploration of the worldwide industry dynamics, their intrinsic natures, universal traits and dynamic interlinkages in the course of the inventory marketplace crises during the last twelve years. The research isolates various levels of drawback and differentiates among any drawback that continues to be limited to the area and people who soak up an international measurement. The latent constitution of the worldwide inventory industry, the inter-regional and intra-regional inventory industry dynamics round the crises are analyzed to get an entire photograph of the constitution of the worldwide inventory industry. The learn extra probing into the inherent nature of the worldwide inventory marketplace in producing quandary reveals the worldwide industry to be chaotic hence making the procedure intrinsically risky or at most sensible to stick with knife-edge balance. The findings have major bearing at theoretical point and on coverage decisions.
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Additional resources for Anatomy of Global Stock Market Crashes: An Empirical Analysis
Policy prescriptions, based on the presumption of linearity, however, are likely to be ineffective when applied on a system which is actually nonlinear. Moreover, long-term economic forecasting is no longer feasible. At the theoretical level, a chaotic financial market suggests reorientation of traditional asset pricing models as the supporting pillar of these models namely, the Gaussian assumption about probability distribution seems to break down in a chaotic framework. It is particularly this consideration that has led the study to explore the possible chaotic nature of the global stock markets in the next chapter.
5 shows the lead-lag relationship among the nine markets that constitute the only valid construct in the world market. The US markets are not characterized by any lead-lag relationship among them. This is not surprising as perhaps these markets moved simultaneously during the first cycle. There is some lead-lag relationship among the European and the US markets. While Dow Jones leads Austrian market, there are both-way relationships among Dow Jones and other European markets. So far as the two other US markets are concerned, NASDAQ and S&P lead all the European markets except for Switzerland.
However, to analyze the nature of such association in a bit detail, it is useful to start from an exploration of the possible latent structure in the global stock market. Researchers often use an exploratory factor analysis to reveal the latent structure of any system through classification of variables under different factors. This exercise could effectively be used in the context of analyzing stock market dynamics. Exploratory factor analysis can be used to explore the underlying structure of the global stock market by classification of constituent markets in different categories.