Thesis
Stock market crises and their effects on investors, and financial markets : insights from global events
- Creator
- Rights statement
- Awarding institution
- University of Strathclyde
- Date of award
- 2025
- Thesis identifier
- T17314
- Person Identifier (Local)
- 202173399
- Qualification Level
- Qualification Name
- Department, School or Faculty
- Abstract
- Introduction of PhD Thesis (Chapters One, Two and Three) Assets and stocks are affected by the volatility and crises in financial markets. This thesis is driven by the strong interest in identifying the impact of stock market crises on Financial Markets and Investors. As opposed to previous studies based on a single firm, single country, single case study, and a single technique, this thesis is based on five different natures of crises to show the big picture by comparative analysis. The collection of three studies tries to explore the effect of volatility on various assets and stocks during different financial market crises and which assets and stocks can maintain their value as a safe haven or a hedge during three financial market crises including 1) Global Financial Crises (GFC) in 2007–2008 that happened due to financial system failure in the USA, 2) The COVID-19 pandemic in 2019, which was a worldwide pandemic, 3) The Russia- Ukraine Conflict in 2022, which is a political war, 4) The Monkeypox (MPX) global outbreak in 2022, which is a pandemic, and 5) The Federal Reserve’s Quantitative Easing (QE) program, which was the US government action or policy intervention in response to the GFC 2007–2008. Chapter One: This chapter, already scheduled for publication in the Journal of Investing, provides a comparative analysis of the performance and volatility of assets and stocks during the Global Financial Crisis (GFC) in 2008, the COVID-19 pandemic, and the Russia- Ukraine conflict in 2022. This chapter used daily data (1 January 1990 – 13 May 2022). The purpose of using daily data is to observe short-term, day-by-day changes. Besides the GFC 2007-08, COVID-19, and the Russia- Ukraine War 2022, the period from 1990 to 2022 also covered the dot-com bubble, where many people invested in internet companies expecting high returns, which caused stock prices to increase. However, firms could not generate profits, and investors sold their assets and stocks to recover their money. Consequently, stock prices suddenly decreased, causing the bubble to burst. This chapter includes six assets and ten stocks. To address volatility, the GARCH methodology (univariate and multivariate) is used. The basic idea of this research is that if there's a negative correlation between assets and stocks, then investors can benefit from portfolio diversification. However, if assets and stocks are positively correlated, investors should invest in safe haven and hedged assets and stocks. Chapter One used various methodologies to identify which assets and stocks have the potential to act as hedges and safe havens during financial crises. To address hedging effectiveness (HE), four HE techniques are used: the HE formula method, the OLS method, the portfolio method, and the GARCH-in-mean method. The results showed that gold and silver can be considered safe haven assets because of their hedging properties, even during global crises. Furthermore, gold and silver tend to reduce volatility and can generate higher returns. Chapter Two: The objective of chapter two is to explore whether the Monkeypox (MPX) 2022 global outbreak has any impact on the firm’s average stock returns. Daily data of MPX for 110 countries (01 May 2022 – 10 Nov 2022) and daily data of 59 countries’ average stock returns are used. Because 52 countries' stock returns data was missing. Daily data is used to show the short-term changes day by day. The difference-in-differences (DID) methodology has been used to identify the causal relationship. This chapter focuses on the performance of these stocks during three phases which are: Before MPX (01–01–2021 to 30–04–2022), During MPX (01–05–2022 to 10–11–2022), and After MPX (11–11–2022 to 30–04–2023). This study's findings reveal that the stock returns are not highly affected by MPX. Chapter Three: This chapter aims to identify the outcome of implementing the Quantitative Easing (QE) program. This chapter provides a comparative analysis of whether the financial constraints of US financial and non-financial firms will increase or decrease specifically because of the implementation of QE. Annual data (1990 – 2023) is used to show the long-term changes over the years. The difference-in-differences (DID) methodology has been used to identify the causal relationship. The findings of this chapter show that because of the implementation of QE, financial firms have easy access to finances and tend to face fewer financial constraints in accessing the funds as compared to non-financial firms.
- Advisor / supervisor
- Tang, Leilei
- Basu, Devraj
- Resource Type
- Note
- Chapter 1 has been removed from the public version of this thesis due to copyright restrictions. University of Strathclyde users should log in to access the full version. Non-Strathclyde users can read the contents of chapter 1 in The Journal of Investing (October 2025).
- DOI
Relations
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PDF of thesis T17314 (without chapter 1) | 2025-08-14 | Public | Download |
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File | 2025-07-30 | University of Strathclyde |