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Journal articles on the topic 'Equity market'

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Author: Grafiati

Published: 4 June 2021

Last updated: 25 January 2023

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1

D. Benson, Earl, and Sophie X. Kong. "The influence of U.S. equity returns on Asian-Pacific equity markets." Investment Management and Financial Innovations 16, no. 4 (November 26, 2019): 46–60. http://dx.doi.org/10.21511/imfi.16(4).2019.05.

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This paper examines monthly and daily returns in eleven Asian-Pacific equity markets and the U.S. market, showing that the Asian-Pacific markets systematically follow the returns in the U.S. market (S&amp;P 500 index). For investment managers, the important findings include the fact that each Asian-Pacific market moves differently in response to U.S. market changes over a given time period and the response of most of these markets to changes in the U.S. market is not stable over time. Therefore, in their attempt to diversify a portfolio using individual Asian-Pacific country equities, past correlations and covariances are not necessarily a good predictor of future values, especially for the less developed countries. On average, more developed markets react more strongly to U.S. market changes than do the less developed markets. All markets exhibit asymmetries relative to the U.S. market, where reactions are stronger following down-days than following up-days. Finally, the tests suggest that the Asian-Pacific markets have little or no influence on U.S. market returns.

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2

Gang, Gary Tian. "Equity Market Price Interactions Between China and the Other Markets Within the Chinese States Equity Markets." Multinational Finance Journal 12, no. 1/2 (June 1, 2008): 105–26. http://dx.doi.org/10.17578/12-1/2-5.

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3

Klein, Spencer L. "Equity Market Liberalization in Emerging Markets." CFA Digest 34, no. 1 (February 2004): 52–53. http://dx.doi.org/10.2469/dig.v34.n1.1424.

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4

Bekaert, Geert, Campbell R. Harvey, and Christian T. Lundblad. "Equity Market Liberalization in Emerging Markets." Journal of Financial Research 26, no. 3 (September 2003): 275–99. http://dx.doi.org/10.1111/1475-6803.00059.

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5

Lamba, Asjeet S., and Isaac Otchere. "An Analysis of the Dynamic Relationships Between the South African Equity Market and Major World Equity Markets." Multinational Finance Journal 5, no. 3 (September 1, 2001): 201–24. http://dx.doi.org/10.17578/5-3-3.

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6

Graaf, Johan. "Equity market interactions." Accounting, Auditing & Accountability Journal 31, no. 4 (May 21, 2018): 1230–56. http://dx.doi.org/10.1108/aaaj-05-2016-2565.

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Purpose The purpose of this paper is to contribute to the sociology of financial analysis by exploring how sell-side analysts enact their professional roles during public earnings presentations. It addresses the following research question: How do analysts perform their professional roles in interactions with managers, fund managers and other analysts? Design/methodology/approach The research adopts a dramaturgical analysis of analysts’ interactions with managers and fund managers. The empirical material includes 50 hours of direct observations of earnings presentations and 21 interviews with analysts, managers and other relevant actors. Findings The findings show that analysts struggle with role conflicts because they need to satisfy the contrasting demands of managers, fund managers and colleagues. Performing the role of an expert critic mainly depends on the approval of managers; yet, analysts also find themselves in situations where they must confront the managers. To counter role conflicts and sustain their role performance, analysts also produce displays of role distance and carefully prepare to meet their audiences’ expectations. To maintain the role of the expert critic, analysts depend on both those taking their advice (fund managers) and those being reviewed (managers). Originality/value This study is one of few empirically rich investigations of analysts’ activities, interactions with managers and meetings with multiple audiences. It also contributes to previous interview studies using dramaturgical analysis by offering in-depth observations of a single, distinct situated activity system.

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7

Berndt, Antje, and Anastasiya Ostrovnaya. "Do Equity Markets Favor Credit Market News Over Options Market News?" Quarterly Journal of Finance 04, no. 02 (June 2014): 1450006. http://dx.doi.org/10.1142/s2010139214500062.

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Credit default swap (CDS) and equity options markets often experience abnormal swings prior to the announcement of negative credit news. Option prices reveal information about such forthcoming adverse events at least as early as credit spreads, except for negative earnings announcements. Prior to negative credit news being announced, the equity market does not respond to abnormal movements in option prices unless that information has also manifested itself in credit spreads, perhaps because options are perceived as more likely to trade on unsubstantiated rumors than default swaps.

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8

Kenourgios, Dimitris, and Aristeidis Samitas. "Equity market integration in emerging Balkan markets." Research in International Business and Finance 25, no. 3 (September 2011): 296–307. http://dx.doi.org/10.1016/j.ribaf.2011.02.004.

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9

Pham, Linh. "How Integrated are Regional Green Equity Markets? Evidence from a Cross-Quantilogram Approach." Journal of Risk and Financial Management 14, no. 1 (January 17, 2021): 39. http://dx.doi.org/10.3390/jrfm14010039.

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Rising concerns over climate change have increased investors’ and policymakers’ interests in environmentally friendly investments, which have led to the rapid expansion of the green equity market recently. Previous studies have focused on analyzing the green equity market at the aggregate level, thereby overlooking the heterogeneity across green equity sub-sectors. This paper contributes to the literature by investigating how interdependence between green equity markets and other financial assets varies across regions, market conditions, and investment horizons. To this end, the paper employs the recently developed cross-quantilogram framework, which measures the cross-quantile dependence across time series without any moment condition requirement. The results show that within the green equity market, movements in the U.S. market can predict movements in the Asian and European markets during all market conditions. In contrast, the Asian and European green equity markets only predict movements in the U.S. market during bearish periods. The paper also finds that regional green equity markets respond differently to movements in other financial assets, such as energy commodity and general stock returns. In addition, the interdependence among regional green equity and other assets varies across market conditions and investment horizons. These results have important implications for environmentally friendly investors and policymakers.

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10

Pandey, Asheesh, Sanjay Sehgal, Amiya Kumar Mohapatra, and Pradeepta Kumar Samanta. "Equity market anomalies in major European economies." Investment Management and Financial Innovations 18, no. 2 (June 10, 2021): 245–60. http://dx.doi.org/10.21511/imfi.18(2).2021.20.

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This paper investigates five leading equity market anomalies – size, value, momentum, profitability, and asset growth, for four Western European markets, namely, Germany, France, Italy and Spain, from January 2002 to March 2018. The study tests whether these anomalies reverse under different macro-economic uncertainty conditions, and evaluates if strategies based on time diversification can be formed using these equity market anomalies. Market anomalies were tested using four major asset pricing models – the Capital Asset Pricing Model, the Fama-French three-factor model, the Carhart model, and the Fama-French five-factor model. Macro-economic uncertainty was tested using two proxies, namely VIX and default premiums. Time diversified strategies were examined by estimating Sharpe ratios of combined portfolios formed by combining winner univariate portfolios. Value effect in Germany, Size effect in France and Profitability effect in Italy and Spain provide the highest unadjusted returns on long side strategies. No significant reversal of these anomalies was found under different macroeconomic uncertainties. Asset pricing tests show that CAPM works well for Spain and Italy, while Carhart’s model explains returns in Germany. The Fama-French five factor model does not seem to be a good descriptor of asset pricing for data. No suitable model for explaining asset returns is identified for France. Finally, it is observed that some of the equity market anomalies seem to be countercyclical and therefore provide time diversification opportunities. The study has implications for academicians, investors, and policy makers by providing insights for developing profitable investment strategies and highlighting the efficacy of alternative models as performance benchmarks.

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11

Dong, Huijian. "Asynchronous Signaling in Global Equity Markets：Based on Opening Times." International Business Research 10, no. 8 (July 14, 2017): 173. http://dx.doi.org/10.5539/ibr.v10n8p173.

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This paper employs cointegration tests to identify the impacts of sequential opens of global equity market among the equity indices. We use the daily data of 31 major equity markets and explore the comovement relationship according to the sequence of the market open. This study also examines the impact of the 2008 global financial crisis to such comovement relationship. Our results indicate that the markets in Europe-Middle East, Asia-Pacific and Latin America, are less affected by the levels of earlier opens of other markets. After the end of 2007, the global equity market comovement pattern changed significantly, yet the interdependence of markets was not unanimously strengthened. The size of an equity market does not dictate its range and power of impact, as we find that a large size market can still be cointegrated with small size markets, while a small size market is almost always cointegrated with large size markets.

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12

Low, Soo-Wah, Lain-Tze Tee, and Si-Roei Kew. "DOES THE QUALITY OF GOVERNANCE MATTER FOR EQUITY MARKET RISK? EVIDENCE FROM EMERGING AND DEVELOPED EQUITY MARKETS." Journal of Business Economics and Management 16, no. 3 (December 22, 2014): 660–74. http://dx.doi.org/10.3846/16111699.2012.720595.

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This paper examines the relation between country-level governance and cross-country differences in equity market risk by employing panel data regressions. For emerging markets, we find consistent evidence that governance quality of various dimensions is negatively related to equity market risk. On the contrary, for developed markets, the results show that there is generally little or no relation between governance quality and equity market risk. The results provide practical implication to policy makers of emerging markets by highlighting the relevant governance dimensions that constitute important drivers of stock market risk. The findings have academic implication in the context of equilibrium pricing of stock market in emerging market.

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Dubey, Priti, and Rishika Shankar. "Determinants of the Commodity Futures Market Performance: An Indian Perspective." South Asia Economic Journal 21, no. 2 (September 2020): 239–57. http://dx.doi.org/10.1177/1391561420970837.

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This article aims to find out interlinkages between equity and commodity markets through the channel of investors’ outlook in the equity market. The proxies used for gauging perception of investors are investor sentiment index and Advance–Decline ratio. The study also incorporates the introduction of Commodity Transaction Tax (CTT) and occurrence of National Spot Exchange Limited (NSEL) scam in the year 2013. Additionally, returns in commodity market are examined to be a function of equity returns. The empirical findings suggest that the liquidity of commodity futures is inversely related to investor sentiments in equity market, and commodity returns are also negatively related to equity returns. Therefore, equity and commodity markets are inversely related, as liquidity in both the markets reacts to the investor sentiments; contrarily, commodity returns experience a significantly negative impact from equity returns. Additionally, the results also provide evidence that investor sentiment in equity possesses the ability to predict liquidity in the commodity futures market. The study also suggests that the CTT and NSEL scam have significantly and positively affected the liquidity of the Indian commodity market.

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14

Bonga-Bonga, Lumengo, and Sefora Motena Rangoanana. "Carry Trade and Capital Market Returns in South Africa." Journal of Risk and Financial Management 15, no. 11 (October 27, 2022): 498. http://dx.doi.org/10.3390/jrfm15110498.

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This paper assesses the extent to which carry trade operations affect the performance of equity and bond markets in a target country, South Africa, by considering the US and the euro area as the funding countries. A two- and three-factor capital asset pricing model (CAPM) is employed to assess whether the pricing of equity and bond markets in South Africa depends on the US dollar/rand and euro/rand carry trade returns. Moreover, the paper uses the quantile regression technique to assess whether this pricing varies with the distribution of the equity and bond returns. The findings support that the US- and euro-funded carry trade are essential factors for the pricing of equity and bond markets in South Africa. Moreover, the results of the two-factor model show a negative relationship between the equity excess return and the US-carry trade returns at lower quantiles of the equity market returns. The positive relationship is observed in the upper quantiles of the equity market. The negative relationship means that carry trade activities reduce equity market returns during a bear market as investors close out their position when conditions in the equity market become unfavourable. The results of the three-factor model, controlling for the global volatility or uncertainty, show that carry trade investors exit the equity market to invest in the bond market when global uncertainty rises. This finding shows that carry trade investors choose less risky assets during rising global uncertainty.

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15

Mushtaq, Rizwan, and Zulfiqar Shah. "International portfolio diversification: United States and south Asian equity markets." Panoeconomicus 61, no. 2 (2014): 241–52. http://dx.doi.org/10.2298/pan1402241m.

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This paper explores the dynamic liaison between US and three developing South Asian equity markets in short and long term. To gauge the long-term relationship, we applied Johansen co-integration procedure as all the representative indices are found to be non-stationary at level. The findings illustrate that the US equity market index exhibits a reasonably different movement over time in contrast to the three developing equity markets under consideration. However, the Granger-causality test divulge that the direction of causality scamper from US equity market to the three South Asian markets. It further indicates that within the three developing equity markets the direction of causality emanates from Bombay stock market to Karachi and Colombo. Overall, the results of the study suggest that the American investors can get higher returns through international diversification into developing equity markets, while the US stock market would also be a gainful upshot for South Asian investors.

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16

Yavas, Burhan F., Kathleen Grave, and Demosthenes Vardiabasis. "Diversification strategies and equity market performances." Review of International Business and Strategy 29, no. 3 (September 2, 2019): 207–25. http://dx.doi.org/10.1108/ribs-01-2019-0002.

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Purpose This paper aims to investigate the linkages among foreign direct investment (FDI – greenfield and mergers and acquisitions [M&A]) decisions and equity market returns and volatilities. The main premise is that FDI decisions by multinational enterprises (MNE) are influenced by risk and uncertainty indicated by equity market returns and volatilities in the destination (host) countries. This is so because the events on the stock markets in general and their volatilities in particular signal the vitality of the investment climate of the target market. Understanding volatility in capital markets is important for determining the cost of capital and for evaluating direct investment and asset allocation decisions. Design/methodology/approach Surveys and structured interviews were conducted with senior managers of 11 MNEs based in the USA to collect the data used in this study from November 2017 to October 2018. The paper investigates if FDI decisions of the MNE managers are influenced by risk and uncertainty indicated by equity market returns and volatilities. The paper endeavors to make a contribution to the IB literature in highlighting the role played by equity returns and volatilities in FDI decisions and therewith attempts to integrate finance (capital markets) with international business/strategic decision-making. Findings Capital market performances (returns and volatilities) were found to influence the country choice for location of production facilities (FDI – both greenfield and M&A decisions) as well as timing of the FDI by a MNE. In other words, the share of production capacity optimally located abroad and M&A activities are affected by capital market returns and volatilities.

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17

Jamaani, Fouad, Manal Alidarous, and Abdullah Al-Awadh. "The Early Impact of Government Financial Intervention Policies and Cultural Secrecy on Stock Market Returns During the COVID-19 Pandemic: Evidence From Developing Countries." International Journal of Financial Research 12, no. 2 (January 11, 2021): 401. http://dx.doi.org/10.5430/ijfr.v12n2p401.

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This paper examines the role of government financial intervention policies and cultural secrecy on equity market returns during the start of the COVID-19 pandemic in developing countries’ stock markets. We employ global data including 939 observations across 32 developing countries (23 emerging and 9 frontier stock markets) from December 1 to April 28, 2020. Our results show that the above-mentioned policies that set out to curb the COVID-19 pandemic succeed in increasing equity returns. It reflects investors’ improved perceptions of governments’ commitment to stabilizing the economy during the pandemic in developing, emerging, and frontier equity markets. Results show that investors in all equity markets discount differences in cultural secrecy in processing market information when investing in stock markets. We find that equity market investors in developing and emerging countries truly react negatively to the rise in the number of confirmed COVID-19 cases reported. Yet, we find that COVID-19 wields no influence on equity market returns in frontier equity markets. This presents frontier equity markets as a safe-haven investment destination during a global health outbreak. Our work helps investors during such events to identify the best and worst investment destinations in developing, emerging, and frontier stock markets. At the same time, it is important to understand the critical roles of: firstly, the introduced government financial intervention policies; and secondly, the daily growth in reported COVID-19 cases on stock market returns.

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18

Smith, David. "Emerging Equity Market Volatility." CFA Digest 27, no. 4 (November 1997): 30–32. http://dx.doi.org/10.2469/dig.v27.n4.163.

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19

Ogum, George, Francisca Beer, and Genevieve Nouyrigat. "Emerging Equity Market Volatility." Journal of African Business 6, no. 1-2 (December 6, 2005): 139–54. http://dx.doi.org/10.1300/j156v06n01_08.

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20

Bekaert, Geert, and Campbell R. Harvey. "Emerging equity market volatility." Journal of Financial Economics 43, no. 1 (January 1997): 29–77. http://dx.doi.org/10.1016/s0304-405x(96)00889-6.

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21

Goodsall, William A. R. "Equity market neutral investing." Pensions: An International Journal 5, no. 3 (May 2000): 243–47. http://dx.doi.org/10.1057/palgrave.pm.5940127.

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22

Bhaduri, Saumitra N., and Ashwin Andrew Samuel. "International Equity Market Integration." Journal of Emerging Market Finance 8, no. 1 (April 2009): 45–66. http://dx.doi.org/10.1177/097265270900800103.

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23

Huth, William L. "International Equity Market Integration." Managerial Finance 20, no. 4 (April 1994): 3–7. http://dx.doi.org/10.1108/eb018467.

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24

Hussain, Fazal, and Muhammad Ali Qasim. "The Pakistani Equity Market in 50 Years: A Review." Pakistan Development Review 36, no. 4II (December 1, 1997): 863–72. http://dx.doi.org/10.30541/v36i4iipp.863-872.

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The equity market plays an important role in the economic development of a country. However, in Pakistan the equity market has not played its due role because of interventionist economic policies and over reliance on debt financing. It was not until the middle of 1980s that thc importance of the equity market was recognised and steps were taken to activate thc market. However. the market actually became active in the beginning of 1991 when it was opened to foreign investors. besides other liberalisation measures. Since then tbe market bas made considerable progress and improved in size and depth. This paper reviews the performance of the Pakistani equity market in the background of Pakistan's'Go!den Jubilee programme. The information was collected li'om thc Corporate Law Authority (the regulatory body), the State Bank of Pakistan (the central bank). and International Finance Corporation (a branch of the World Bank). The paper shows that the Pakistani equity markct gained momentum in the 1960s and made significant progrcss in listings and market capitalisation. However. the market lost its momentum in the 1970, due to political turmoil in the country and the nationalisation policies adopted by the then government. Though the policy of greater reliance on private enterplise restored the markct scntiments in the 1980s, the market actually regained its momcntum in early 1990s when it was opened to international investors. [n terms of its performance. the market was ranked third in 1991 among the emerging markets. Unfortunately, the market could not maintain its peIi'ormance in later years because of economic and political instability. A series of political changes in the country, cthnic vio[ence in Karachi, increasing inllation and unemployment rates, widening budget delicits, etc., proved to be detrimental to business activities.

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25

Soebhag, Amar. "Investor Sentiment: Too Contagious to Ignore?" Applied Finance and Accounting 4, no. 1 (November 22, 2017): 57. http://dx.doi.org/10.11114/afa.v4i1.2810.

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This article empirically investigates the role of investor sentiment as a determinant of financial contagion during crises periods. The focus is on developed equity markets as well as emerging equity markets during 1990-2015. By using a multivariate GARCH methodology, cross-equity market correlations are documented to be substantially increasing during financial crises. Investor sentiment is negatively related cross-equity market correlation. This inverse relationship becomes even stronger during times of financial crises, indicating the existence of financial contagion. This finding can be motivated by loss-averse and ambiguity-averse investors in equity markets. The relationship between investor sentiment and cross-equity market correlation persists after controlling for trade linkages, financial linkages, and other macroeconomic similarities between countries. The findings are robust to changes in crises definition.

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Yu, Ip-Wing, Kang-Por Fung, and Chi-Sang Tam. "Assessing financial market integration in Asia – Equity markets." Journal of Banking & Finance 34, no. 12 (December 2010): 2874–85. http://dx.doi.org/10.1016/j.jbankfin.2010.02.010.

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Maung, Min, and Reza H. Chowdhury. "Is there a right time for corporate investment?" Studies in Economics and Finance 31, no. 2 (May 27, 2014): 223–43. http://dx.doi.org/10.1108/sef-08-2013-0112.

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Purpose – The purpose of this paper is to determine whether corporate investment in real fixed assets in hot issue markets leads to higher income to shareholders than that in other equity market conditions. Design/methodology/approach – The authors address the research question in two steps: first, the authors identify how security issuances in hot and cold issue markets influence corporate investment decisions. Second, the authors examine how debt- and equity-financed investments in two different market conditions affect future holding period returns. The sample includes an unbalanced panel data set consisting of all non-financial and non-utility US companies from 1973 to 2006. The authors apply both firm- and industry-level fixed effect methods to estimate the coefficients of two separate empirical models. Findings – The authors find that equity issuances increase firms' capital investments in hot issue markets. These equity-financed investments in hot equity markets result in higher returns to shareholders compared to those in other market conditions. Therefore, there exists a window of opportunity for firms to issue new equities and make investments, which in turn improve shareholders' wealth. Practical implications – The findings convey a critical message to corporate managers about the right timing of equity-financed capital investments. Originality/value – While earlier research focuses on determining a specific equity market condition that favours new issuances, this paper determines a particular equity market condition when firms typically choose value-enhancing equity-backed projects for investment.

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M, Prof Rekha D., and Yashaswini S. "Investors’ Attitude towards Investment Decisions in Equity Market." International Journal of Trend in Scientific Research and Development Volume-3, Issue-4 (June 30, 2019): 426–28. http://dx.doi.org/10.31142/ijtsrd23770.

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29

Mahoney, Paul. "Equity Market Structure Regulation: Time to Start Over." Michigan Business & Entrepreneurial Law Review, no. 10.1 (2021): 1. http://dx.doi.org/10.36639/mbelr.10.1.equity.

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Over the past half-century, the U.S. Securities and Exchange Commission (SEC)’s regulations have become key determinants of the way in which stocks trade and the fees that exchanges charge for their services. The current equity market structure rules are contained primarily in the SEC’s Regulation NMS. The theory behind Regulation NMS is that a system of dispersed markets operating pursuant to SEC-mandated information and order routing links will provide the benefits of consolidation and competition simultaneously. This article argues that Regulation NMS has failed in that quest. It has produced fragmented markets and created questionable incentives for market participants, possibly producing socially excessive investments in trading speed and secrecy. It also discourages exchange innovation, provides insufficient incentives for traders to price orders aggressively, requires brokers to act against their customers’ interests, and forces the SEC to act as a price regulator. The article contends that the SEC should replace Regulation NMS with three simple design principles—issuer choice, exchange autonomy, and regulatory consistency. These would allow market forces, rather than regulatory mandates, to determine the design and pricing of trading platforms and the trading strategies of broker-dealers. They would better align the private incentives of trading platforms with the social objectives of improving liquidity and price discovery.

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Vortelinos, Dimitrios I. "The Greek equity market in European equity portfolios." Economic Modelling 49 (September 2015): 144–53. http://dx.doi.org/10.1016/j.econmod.2015.04.004.

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Shi, Jinyan, Conghui Yu, Sicen Guo, and Yanxi Li. "Market effects of private equity placement: Evidence from Chinese equity and bond markets." North American Journal of Economics and Finance 53 (July 2020): 101214. http://dx.doi.org/10.1016/j.najef.2020.101214.

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32

Husain, Fazal, and Reza Saidi. "The integration of the Pakistani equity market with international equity markets: an investigation." Journal of International Development 12, no. 2 (March 2000): 207–18. http://dx.doi.org/10.1002/(sici)1099-1328(200003)12:2<207::aid-jid636>3.0.co;2-z.

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33

Sanford, Andrew D. "Granger causality in volatility between Australian equity and debt markets: A Bayesian analysis." Corporate Ownership and Control 9, no. 1 (2011): 587–96. http://dx.doi.org/10.22495/cocv9i1c6art2.

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This paper is concerned with identifying Granger causality in the volatilities of returns between the Australian equity and debt markets. Using a bivariate stochastic volatility model previously described by Yu and Renate (2006), we estimate and compare four causal models between equity market volatility, and the short term and long term debt market volatilities. The causal models are compared with two non-causal, bivariate stochastic volatility models. Models comparisons are performed using the Deviance Information Criteria (DIC). Modelling results suggest that bond market volatility Granger causes equity market volatility. Equity volatility and money market volatility show evidence of Granger causality between the two, but no dominate causal direction is identified suggesting causal feedback between the two market volatilities.

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Kumar, Satish, Riza Demirer, and Aviral Kumar Tiwari. "Oil and risk premia in equity markets." Studies in Economics and Finance 37, no. 4 (September 28, 2020): 697–723. http://dx.doi.org/10.1108/sef-03-2020-0059.

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Purpose This study aims to explore the oil–stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market, size, book-to-market and momentum factors via bivariate cross-quantilograms. Design/methodology/approach This study makes use of the bivariate cross-quantilogram methodology recently developed by Han et al. (2016) to analyze the predictability patterns across the oil and stock markets by focusing on various quantiles that formally distinguish between normal, bull and bear as well as extreme market states. Findings The study analysis of systematic risk premia across the four regions shows that crude oil returns indeed capture predictive information regarding excess factor returns in stock markets, particularly those associated with market, size and momentum factors. However, the predictive power of oil return over excess factor returns is asymmetric and primarily concentrated on extreme quantiles, suggesting that large fluctuations in oil prices capture markedly different predictive information over stock market risk premia during up and down states of the oil market. Practical implications The findings have significant implications for the profitability of factor- or style-based active portfolio strategies and suggest that the predictive information contained in oil market fluctuations could be used to enhance returns via conditional strategies based on these predictability patterns. Originality/value This study contributes to the vast literature on the oil–stock market nexus from a novel perspective by exploring the effect of oil price fluctuations on the risk premia associated with the systematic risk factors including market, size, value and momentum.

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35

Wang, Tina. "Does the Equity Market Reward “Superior” Management Earnings Forecast? Evidence from the U.S. Quarterly Earnings Guidance." Asia-Pacific Management Accounting Journal 16, no. 3 (December 1, 2021): 1–30. http://dx.doi.org/10.24191/apmaj.v16i3-01.

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This paper examines whether equity markets reward the controversial practice of issuing short-term management earnings forecasts. Using a large sample of quarterly earnings forecasts, this research found that firms may temporarily reduce stock price volatility by issuing quarterly earnings forecasts. Furthermore, the analysis showed that not all guidance issuers are equally rewarded by equity capital markets. The benefits of reduced stock price volatility and favorable market valuation primarily accrue to firms with a track record of supplying accurate and timely short-term earnings forecasts. Findings suggest that superior short-term earnings guidance, which fosters transparent financial information environments and reduces investor information uncertainty, is indeed rewarded by equity capital markets. As limited research examines the association between forecast attributes and the capital market consequences of quarterly earnings guidance, this study aimed to provide empirical evidence on equity capital market rewards by issuing high-quality quarterly earnings guidance. A practical implication is that firms need to invest in accounting information systems and accounting talent in order to achieve capital market benefits of supplying high-quality short-term earnings forecasts. Keywords: quarterly earnings guidance, forecast attributes, accounting information system, equity market rewards, United States

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36

Charters, John G., and Mark S. Epper. "THE MAIN CHANCES FOR NEW EQUITY." APPEA Journal 34, no. 1 (1994): 835. http://dx.doi.org/10.1071/aj93063.

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The main chance for new equity to be raised by Australian petroleum explorers is to:recognise that the unfavourable oil price environment of 1993 will change;in the meantime, understand the manner in which capital markets operate; andbe patient and ready for when it happens.In Australia we can obviously do little about global economic and market conditions, particularly the market for petroleum commodities. This paper is intended to ensure that petroleum explorers continuously consider their position from the perspective of shareholders, potential investors and other market participants so that they are well placed to benefit when capital markets turn in their direction.This paper:Provides an Overview of Australian capital markets;Deals with the Performance of the oil and gas sector within that market;Considers The Three Dimensions of investment decision-making; and, with those foundations,Outlines The Way Forward for this sector, in these difficult times.Equity markets have experienced a period of particularly strong support for equity raisings and there is a real prospect that the Australian stock market will exceed the previous all-time record high.During 1993 many listed oil and gas companies reported improved earnings performance and enjoyed increased share prices, although a flattening of exploration and development activity seems to have followed the lack of significant exploration success in recent years. With the odd exception oil prices have been generally stable in recent years. However, toward the end of 1993, a sharp deterioration in oil prices followed expectations of increased OPEC supply; not withstanding generally widespread faith in medium-to long-term escalation of all commodity prices, and oil prices in particular, investor appetites appear all too easily diverted to other market opportunities.Participants in this industry probably do more searching than finding when it comes to oil and gas reserves. The same is true for raising new capital. We will outline what companies must do to be ready to benefit from the right environment to raise new equity.

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K S, Nemavathi, and Ashraf Ali A. "Banks in equity market - a risk analysis." Journal of Management and Science 1, no. 1 (June 30, 2012): 23–32. http://dx.doi.org/10.26524/jms.2012.3.

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Equity market is often considered as the main engine driving the economy. In emerging countries, equity market plays a vital role in economic development. Many emerging markets, firms would need large quantum of fund to expand and be able to pursue the prevalent high growth rates. Equity market is the only liquid financial market in many emerging countries and hence its role in economic development cannot be overemphasized.In addition, all over the world, financial markets are getting less insular. The investors in developed countries are seeking investment opportunities beyond the confines of their domestic economy to enhance return and diversify risks. The investment in stock involves many risks. The investors have to carry analysis before investing in any stocks. Most of the investors are unaware about the analysis to be carried out before investing. This study involves analysis of earnings per share, price to earnings and analysis of risk through beta value, of the banks in equity market. Technical analysis helps the investor to know whether the stock is in over sold region or over bought region and to find any trend reversals. Based on these analysis investor can make buy or sell decision. The researcher concludes that the maximum return is based on the maximum risk in which the investor is going to face.

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Naumoski, Aleksandar, and Metodija Nestorovski. "Ex-ante equity risk premia: Expectational estimates using stock market returns forecasts in the emerging equity market." Panoeconomicus 65, no. 4 (2018): 479–507. http://dx.doi.org/10.2298/pan130925004n.

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We estimated the ex-ante equity risk premium for the Republic of Macedonia, which is a young, small and open emerging market. We polled academics and practitioners for their expectations on the stock market index MBI10 as a proxy for market portfolio. The risk premium is the expected MBI10 return relative to a government bond yield. Using the Kolmogorov-Smirnov and Anderson- Darling goodness-of-fit tests we determined the best fitted statistical distribution, and consequently estimated the short-term ERP of 8.55 and long-term average ERP for the next 10 years of 7.76. The estimated ex-ante ERP is higher and similar as it is in the other emerging markets.

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S., Kirithiga, Naresh G., and Thiyagarajan S. "Spillover between commodity and equity benchmarking indices." Benchmarking: An International Journal 25, no. 7 (October 1, 2018): 2512–30. http://dx.doi.org/10.1108/bij-06-2017-0143.

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PurposeThe commodity and equity derivatives have a close resemblance between them in trade practices and mechanisms, which makes it easy for the investors to combine these two assets classes for building up their portfolio. The diversification of investment among asset classes builds some relation between them. The integration of market within a country is necessary to bring in a smooth and balanced economic growth. Thus, the purpose of this paper is to examine the spillover between the equity and commodity futures markets which will be helpful not only for the investors but also for the policy makers, producers and the regulators.Design/methodology/approachTo examine the spillover between the equity and commodity market, the major benchmarking indices of these markets, namely COMDEX of MCX, Dhaanya of NCDEX and NIFTY 50 of NSE, were chosen. NIFTY 50 index was chosen as representative of equity market due to its composition of most active constituent stocks than any other broad market index of Indian stock market. As the commodity market indices are not been traded, their constituent commodities were taken for the study. Thus, 11 MCX-COMDEX constituents such as Gold, Silver, Copper, Zinc, Aluminum, Nickel, Lead, Crude oil, Natural gas, Kapaskhali and Mentha oil and eight NCDEX-Dhaanya constituents such as Castor seed, Chana, Cotton seed oilcake, Jeera, Mustard seed, Refined soy oil, Turmeric and Wheat futures prices were taken against the NIFTY 50 futures prices with daily trading data for ten years starting from January 1, 2006 till December 31, 2015 to analyze their spillover effect. The return series data were used to test the spillover between equity and commodity futures market as it gives the crux of investors’ diversification through the Vector Autoregression (VAR) model and verified with Impulse Response Function by testing the null hypothesis,H0, that there is no return spillover between the equity and commodity futures market.FindingsThe investors move from equity to commodity when there is a threat in equity market and vice versa, thereby diversify their risk for those commodities which are vulnerable to global and domestic pressures in the economy. Investigating the spillover between equity and commodity market gives an insight of market integration effect. A nation can achieve its economic growth easily when its markets are integrated.Research limitations/implicationsThe commodity indices are still notional indices in the market; therefore, individual constituent commodities of commodities indices were considered with the benchmarking equity futures index, which is one of the limitations of the study.Practical implicationsThe integration of market within a country is necessary to bring in a smooth and balanced economic growth.Originality/valueMost of the past studies dealt only with few commodities and equities and not with the broad-based benchmarking indices. This paves way for enquiry into the commodity and equity markets integration with the major constituent commodities traded in the economy. Hence, this paper looks into the presence of spillover between the equity and commodity markets. The VAR model is verified with the impulse response function which explains the reaction of any dynamic system in response to a pulse change in another. The impulse response function is presented graphically for easy and better understanding.

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Arsyad, Nuruzzaman. "Integration between East and Southeast Asian equity markets." Journal of Financial Economic Policy 7, no. 2 (May 5, 2015): 104–21. http://dx.doi.org/10.1108/jfep-02-2014-0012.

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Purpose – This paper aims to seek to find answers to three questions. First, is there any possibility of long-term cointegration between East and Southeast Asian equity markets? If so, how many cointegrating equations are there? Second, what are the short-term causal relationships between equity markets in East and Southeast Asia? Third, what is the East Asia’s most influential equity market toward their Southeast counterparts, and vice versa? Design/methodology/approach – This study uses Johansen's (1988) cointegration method to test long-run relationships among East and Southeast Asian equity markets. With regards to short-run causal relationships, this study uses Granger-causality test as well as the forecast variance decomposition method. Findings – Johansen test proves that there is cointegration between East and Southeast Asian equity markets, but the integration process is not complete. Cointegrating vector also provides evidence that member countries of ASEAN+3 respond differently to external shocks. With regards to short-run causal direction, this study finds that Japan Granger-causes all equity markets in Southeast Asia, while Singapore and Vietnam Granger-cause all equity markets in East Asia. These results imply that Japan is the market with most linkages in Southeast Asia, while Singapore and Vietnam are the markets with most linkages to East Asia. Furthermore, forecast variance decomposition reveals that Japan is the East Asia’s most influential equity markets, while Singapore is the most influential equity market in Southeast Asia. This study suggests that policymakers in East and Southeast Asian countries to synchronize the capital market standards and regulations as well as to reduce the barriers for capital mobility to spur the regional equity market integration. Research limitations/implications – Increasing integration of East and Southeast Asian capital markets forces policymakers in ASEAN+3 countries to synchronize monetary policies, as it has been found that regionally integrated capital markets reduce the degree of independent monetary policy (Logue et al., 1976). It is therefore important for policymakers in East and Southeast Asian countries to assess the possibility of stock market integration within this region to anticipate the future risks associated with economic integration as well as to build collective regional institutions (Wang, 2004). Click and Plummer (2005) also argued that integrated stock markets is more efficient than nationally segmented equity markets, and the efficiency of Asian capital markets has been questioned in particular after the 1997 Asian financial crises. Yet, the empirical evidence on the extent of financial integration among ASEAN+3 member countries has been limited and inconclusive. This study is therefore an attempt to investigate the recent development of ASEAN+3 equity markets integration. Practical implications – This study focuses its attention on the existence and the extent of financial integration in East and Southeast Asia region, and it provides evidence that equity market integration in ASEAN+3 is far from complete, and for that reason, there is a need for policymakers in ASEAN+3 member countries to synchronize their standards and regulations. Furthermore, the policymakers in East and Southeast Asia can gain benefit from this study, as it provides the evidence that ASEAN+3 member countries respond differently to policy shocks, which may hinder the development of regional financial integration as well as the policy effectiveness of region-wide authority in ASEAN+3. Originality/value – This research is different from previous studies, as it puts the regional financial integration within the context of ASEAN+3 frameworks. Unlike previous research that considers East and Southeast Asian countries as an individual entity, this research considers East and Southeast Asia into two different blocks, following Tourk (2004) who documented that negotiation process for ASEAN+3 financial integration is conducted in sub-regional level (ASEAN vs East Asia), rather than national level (country per country basis). Second, this study covers the period after the 1997 Asian financial crisis. As suggested in Wang (2014), that the degree of stock market integration tends to change around the periods marked by financial crises, the updated study on Asian financial integration in the aftermath of 1997 financial crises is important to document the development of regional financial integration.

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Boumosleh, Anwar, Abdallah Dah, and Mustafa Dah. "Internal Capital Markets And Equity Restructuring." Journal of Applied Business Research (JABR) 28, no. 6 (October 31, 2012): 1171. http://dx.doi.org/10.19030/jabr.v28i6.7402.

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Inefficient internal capital market is often blamed for conglomerate diversification discount. While the positive market reaction to spin-off announcements is in conformity with that claim, the abnormal market return on tracking stock announcements is certainly not. This paper investigates the possibility of a bright side for internal capital markets in conglomerates that track business units as a mean of equity restructuring. This paper finds no evidence of a diversification discount for firms with a tracking stock. Partial support on the presence of diversification discount is found for a pair-matched sample of spin-off firms. This paper also finds evidence on more efficient internal capital markets for the sample of tracking-stock firms. The results may suggest that the conglomerates choice between tracking business units or spin-off of business units depends on the efficient allocation of internally generated funds.

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Popović, Saša, Ana Mugoša, and Andrija Đurović. "Adaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market." Economic Research-Ekonomska Istraživanja 26, no. 3 (January 2013): 31–46. http://dx.doi.org/10.1080/1331677x.2013.11517620.

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Dimic, Nebojsa, Vitaly Orlov, and Janne Äijö. "Bond–Equity Yield Ratio Market Timing in Emerging Markets." Journal of Emerging Market Finance 18, no. 1 (March 28, 2019): 52–79. http://dx.doi.org/10.1177/0972652719831536.

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This article investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that BEYR-based investing strategies, namely extreme values, thresholds and moving averages, provide higher risk-adjusted returns than benchmark buy-and-hold portfolios. However, we develop new augmented BEYR indicators by introducing the notion of US bonds as a safe investment relative to emerging market stocks and bonds. Dynamic strategies based on our augmented BEYR indicators produce significant gains in risk-adjusted returns compared with traditional BEYR and buy-and-hold benchmark strategies. JEL Classifications: G11, G12, G15

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Bekaert, Geert. "Market Integration and Investment Barriers in Emerging Equity Markets." World Bank Economic Review 9, no. 1 (1995): 75–107. http://dx.doi.org/10.1093/wber/9.1.75.

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Kiesel, Florian, Sascha Kolaric, and Dirk Schiereck. "Market integration and efficiency of CDS and equity markets." Quarterly Review of Economics and Finance 61 (August 2016): 209–29. http://dx.doi.org/10.1016/j.qref.2016.02.010.

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Curry, Timothy J., Peter J. Elmer, and Gary S. Fissel. "Equity market data, bank failures and market efficiency." Journal of Economics and Business 59, no. 6 (November 2007): 536–59. http://dx.doi.org/10.1016/j.jeconbus.2007.02.002.

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Berger, Dave, and H. J. Turtle. "Emerging market crises and US equity market returns." Global Finance Journal 22, no. 1 (January 2011): 32–41. http://dx.doi.org/10.1016/j.gfj.2011.05.003.

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Wright, Edward. "Equity Market-Neutral Hedge Funds." Journal of Wealth Management 5, no. 1 (April 30, 2002): 47–51. http://dx.doi.org/10.3905/jwm.2002.320433.

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Chaudhry, Mukesh, and Robert J. Boldin. "GCC equity market indices integration." Applied Financial Economics 22, no. 6 (November 22, 2011): 471–78. http://dx.doi.org/10.1080/09603107.2011.619490.

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Fazekas, Balázs, and Patrícia Becsky-Nagy. "Private Equity Market in Recovery." Procedia Economics and Finance 32 (2015): 225–31. http://dx.doi.org/10.1016/s2212-5671(15)01386-6.

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