Comparative Analysis of Major Stock Markets in Relation to Global Financial Crises: Evidence from 2000 to the COVID-19 Pandemic

Doobae Jun; Jinsu Kim; Gwangil Kim

doi:10.5755/j01.ee.33.2.26579

Authors

Doobae Jun Gyeongsang National University, Republic of Korea
Jinsu Kim Gyeongsang National University, Republic of Korea
Gwangil Kim Gyeongsang National University, Republic of Korea

DOI:

https://doi.org/10.5755/j01.ee.33.2.26579

Keywords:

Stock-index return, Financial crisis, Fourier series, spectral analysis, COVID-19

Abstract

We analyze the impact of financial crises on major stock markets from 2000 to the COVID-19 pandemic using Fourier series. Analyzing the behaviors of the spectra obtained from monthly returns of their indices, we identify three global financial crises from 2000 to 2015, with different characteristics. In addition, applying Z-test and the color-contour plotting method to monthly propagations of the spectra of major frequencies from the monthly returns of each index, we analyze the developments in each market around the crises by comparing patterns in the color-contour plots. Using recent status analysis, we identify an instability around 2016 close to a real crisis; starting in 2020, the markets, which had already recovered from this instability have generated abnormal signals of an approaching crisis. Applying Z-test and color-contour plotting to monthly propagations from the recent status, we show that recent developments in major markets might be more serious than those occurring around previous financial crises.

Author Biographies

Doobae Jun, Gyeongsang National University, Republic of Korea

Doobae Jun, PhD, is an Associate Professor at Department of Mathematics, Gyeongsang National University, Republic of Korea. He achieved his PhD in Applied Mathematics from Sungkyunkwan University, Republic of Korea. His research interest covers financial data and pricing financial derivatives.

Jinsu Kim, Gyeongsang National University, Republic of Korea

Jinsu Kim is a Graduate student at Department of Mathematics, Gyeongsang National University, Republic of Korea.

Gwangil Kim, Gyeongsang National University, Republic of Korea

Gwangil Kim, PhD, is a Professor at Department of Mathematics, Gyeongsang National University, Republic of Korea. He achieved his PhD in Applied Mathematics from Pohang University of Science and Technology (POSTECH), Republic of Korea.