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

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.