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Journal articles on the topic 'Stock markets'
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1
Yaya, OlaOluwa, Olayinka Adenikinju, and Hammed A. Olayinka. "African stock markets’ connectedness: Quantile VAR approach." Modern Finance 2, no. 1 (February 6, 2024): 51–68. http://dx.doi.org/10.61351/mf.v2i1.70.
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The present paper investigates African stock markets’ linkages by considering stocks in the continent’s largest economies, specifically Egypt, Kenya, Morocco, Nigeria, South Africa, and Tunisia. Using a dataset that spanned November 25, 2008, to September 18, 2023, the quantile connectedness approach of Chatziantoniou et al. (2021) is employed, and the results unfold these interesting dynamics of African market connectivity: (i) In the bearish market phase, South African stock dominated the entire network, transmitting shocks to the remaining stocks, while Moroccan and Kenyan stocks played similar role mildly. (ii) In the bullish market phase, Nigerian stock dominated the market as a major net transmitter of shock supported by South African and Kenyan stock markets. (iii), The Egyptian and Tunis stock markets are net shock receivers in both the bear and bull market phases. (iv), At the median quantile value, stocks become less riskier and the Kenyan stock market becomes the most vulnerable while Nigerian, Egyptian, and South African stock markets are influenced by other stock markets when markets are calm. (v), Though, African stocks are underperforming, interested portfolio managers will learn from the trading strategies to be adopted to maximize their returns. These findings will benefit portfolio managers, international stakeholders, and regulators.
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Kirkulak Uludag, Berna, and Muzammil Khurshid. "Volatility spillover from the Chinese stock market to E7 and G7 stock markets." Journal of Economic Studies 46, no. 1 (January 7, 2019): 90–105. http://dx.doi.org/10.1108/jes-01-2017-0014.
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PurposeThe purpose of this paper is to examine volatility spillover from the Chinese stock market to E7 and G7 stock markets. Using the estimated results, the authors also analyze the optimal weights and optimal hedge ratios for the portfolios including stocks from E7 and G7 countries.Design/methodology/approachThe authors employed generalized vector autoregressive-generalized autoregressive conditional heteroskedasticity approach, developed by Ling and McAleer (2003), in order to analyze daily data on the national stock indices. Considering the late establishment of some E7 stock markets, the sampling covers the period from 1995 through 2015.FindingsThe findings indicate significant volatility spillover from the Chinese stock market to E7 and G7 stock markets. In particular, the Chinese stocks highly co-move with the stocks of countries within a same geographical region. While the highest volatility spillover occurs between China and India among E7 countries, the highest volatility spillover occurs between China and Japan among G7 countries. Furthermore, the examination of optimal weights and hedge ratios suggest that investors should hold more stocks from G7 countries than E7 countries for their portfolios.Originality/valueTo the best of the authors’ knowledge, this is the first study which investigates the volatility spillover in the stock markets of G7 and E7 countries. Moreover, the current study contributes particularly to the existing limited literature on the Chinese stock market. Since the Chinese stock market is not fully integrated to other markets and it is subject to intense government interventions, there is a widely accepted belief that the contagion effects from the Chinese stock market to other stock markets are not influential. This view discourages and limits the prospect studies. However, the findings of this paper refute this view and indicate significant interaction among the Chinese stock market and E7 and G7 stock markets.
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Robiyanto, Robiyanto. "Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets." Jurnal Pengurusan 52 (2018): 181–92. http://dx.doi.org/10.17576/pengurusan-2018-52-15.
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Sharma, Gunjan. "A STUDY ON PERFORMANCE OF STOCKS OF BLUE CHIP COMPANIES IN INDIA." BSSS Journal of Management 14, no. 1 (June 30, 2023): 110–64. http://dx.doi.org/10.51767/jm1410.
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The main aims of this paper are to explain the discriminatory variables between the top 10 blue chip companies stocks in stock markets of the India. . Since there is relatively less empirical research on the stock selection in markets, with even less studies on the markets in the transition economies of India, this paper is designed to shed some light on the identification of blue chip stocks from Indian stock market. Results presented in this paper provide confirmatory evidence that the blue chip stocks from the selected stock markets of the Indian stock market can be identified by examining their dividend payout , Market price of share , EPS and relevant ratios were analyzed and research tools like Mean etc. The variables were tested with the help of hypothesis testing on the basis of ANNOVA to determine the performance of the selected stocks.
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Yousaf, Imran, Shoaib Ali, and Wing-Keung Wong. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management." Journal of Risk and Financial Management 13, no. 10 (September 25, 2020): 226. http://dx.doi.org/10.3390/jrfm13100226.
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This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost equal during the Chinese stock market crash and the US financial crisis. Regarding hedge ratios, fewer US stocks were required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk management.
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Setiawan, Budi, and Muhammad Hidayat. "PENGARUH PASAR MODAL NEGARA G-3 TERHADAP PASAR MODAL ASEAN-5." Jurnal Ilmiah Ekonomi Global Masa Kini 8, no. 3 (January 8, 2018): 11–15. http://dx.doi.org/10.36982/jiegmk.v8i3.348.
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The stock market has captured the attention of many practitioners and scholars in the past decade. It has become one of the most vital aspects of a modern market economy. The stock market provides companies with access to capital and gives opportunity for investors to have a slice of company ownership. The present paper investigates the impact of G-3 stock markets (US, Japan and Europe) to ASEAN-5 stock markets (Indonesia, Malaysia, Philippines, Thailand and Singapore). The data coverage is composed of daily closing stock index at G-3 stock markets and ASEAN-5 stock markets over the period from January 4, 2000 to December 31, 2014. The historical stock market data were analyzed by using Structured Equation Model (SEM). The empirical results suggest that the G-3 stock markets have a positive and significant impact on ASEAN-5 stock markets. For further, the researcher could add other Asia stock markets such as Nikkei225 Index (Japan), Hang Seng Index (Hong Kong), Kospi Index (South Korea), and BSE Index (India).Keywords: G-3 Stock Markets, ASEAN-5 Stock Markets, Structured Equation Model, Stock Market Diversification; Contagious Effect.Â
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Shkolnyk, Inna, Serhiy Frolov, Volodymyr Orlov, Viktoriia Dziuba, and Yevgen Balatskyi. "Influence of world stock markets on the development of the stock market in Ukraine." Investment Management and Financial Innovations 18, no. 4 (November 24, 2021): 223–40. http://dx.doi.org/10.21511/imfi.18(4).2021.20.
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Viewing the development of the stock market in Ukraine, the economy, which world financial organizations characterize as small and open, is largely determined by the trends formed by the global stock markets and leading stock exchanges. Therefore, the study aims to analyze Ukraine’s stock market, the world stock market, stock markets in the regions, and to assess their mutual influence. The study uses the data of the World Federation of Exchanges and National Securities and Stock Market Commission (Ukraine) from 2015 to 2020. Stock market performance forecasts are built using triple exponential smoothing. Based on pairwise correlation coefficients, the existence of a significant dependence in the development of the world stock market on the development of the American stock market was determined. Regarding the Ukrainian stock exchanges, only SE “PFTS” demonstrated its dependence on the US stock market. The results of the regression model based on an exponentially smoothed series of trading volumes in all markets showed that variations in the volume of trading on the world stock market are due to the situation on the US stock markets. Trading volume dynamics on Ukrainian stock exchanges such as SE “PFTS” and SE “Perspektiva” is almost 50% determined by the development of stock markets in the American region. Although Ukraine is geographically located in Europe, the results show a lack of significant links and the impacts of stock markets in this region on the major Ukrainian stock exchanges and the stock market as a whole.
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Chi, Wei, Robert Brooks, Emawtee Bissoondoyal-Bheenick, and Xueli Tang. "Classifying Chinese bull and bear markets: indices and individual stocks." Studies in Economics and Finance 33, no. 4 (October 3, 2016): 509–31. http://dx.doi.org/10.1108/sef-01-2015-0036.
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Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Markov switching model, this paper examines whether different industries or A- and B-share markets could lead to different stock market cyclical behaviour and whether firm size can determine the relationship between the firm stock cycles on the market cycles. Findings This paper finds a high degree of overlapping of bear cycles between stocks and indices and a high level of overlapping between the bear market and a fraction of stock with increasing stock prices. This leads to the conclusion that the stock performance and trading behaviour are widely diversified. Furthermore, the paper finds that the same industry may have different overlapping intervals of bull or bear cycles in the Shanghai and Shenzhen stock markets. Firms with different sizes could have different overlapping intervals with bull or bear cycles. Originality/value This paper fills the literature gap by establishing the cyclical behaviour of stock markets.
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Chang, Ruiqian. "Financial Technology: China’s Stock Markets vs U.S. Stock Markets." E3S Web of Conferences 275 (2021): 01006. http://dx.doi.org/10.1051/e3sconf/202127501006.
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This paper provides a detailed analysis of the difference between the Chinese stock market and the U.S. stock market under the development of financial technology. In conclusion, we find that the Chinese stock market is more dominated by retail investors, but the United States owns more stocks, mostly held by institutional investors, and has a better financial mindset. The behavior of investors in the Chinese stock market is mainly the excessive speculation of investors in the Chinese market. This is one of the reasons for the many fluctuations in the Chinese stock market. Due to the speculative nature of China’s stock market, the floating ratio reflects the management mechanism of China’s stock market and helps to observe the correlation with the U.S. stock market. And technology and digitalization affect the trading of the stock market. This research is correlational, and there is no causality implied.
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Imhanzenobe, Japhet Osazefua. "Historical Development of Frontier Stock Markets in Sub-Saharan Africa." International Journal of Professional Business Review 8, no. 7 (July 10, 2023): e02659. http://dx.doi.org/10.26668/businessreview/2023.v8i7.2659.
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Purpose: The purpose of this research is to review and compare the development of the three major frontier stock markets in Sub-Saharan Africa over time. The study provides some narrative around the historical development of each market as well as a theoretical backdrop for stock market development studies. Theoretical framework: The adaptive market hypothesis was used as the theoretical backdrop for the study. The adaptive market suggests that stock markets develop in an evolutionary manner (similar to natural selection). This evolution of stock market development is influenced by changes in investors’ behavior and regulatory standards. Design/methodology/approach: Data was collected from 1993 to 2020 on the IMF market efficiency score, the value of stocks traded, aggregate market capitalization, and the number of listed companies for the sample markets. The study used descriptive statistics and trend analysis to discuss and compare the stock market development indicators across the different selected frontier markets. Findings: The study discovered an improvement in stock market performance across the sample period. The Johannesburg Stock Exchange was found to be the most developed of the three stock exchanges. The Nigerian Stock Exchange was second while the Nairobi Stock Exchange was third. Some factors that erode the performance of these stock markets were also discussed. The practical and social implications: The sample stock markets are the major frontier markets, and so are often the first stop for foreign investors that want to penetrate the Sub-Saharan African markets. The performance of these markets often determines the level of foreign direct investment (FDI) and foreign portfolio investment (FPI) that flow into Africa. Originality/ Value: Few studies have investigated the performance of stock markets in Sub-Saharan Africa. Also, the few studies that investigate the performance of these markets rarely proceed to discuss the market-wide factors that erode the performance of these markets compared to those of developed economies. Some factors like the size of the economy, low financial literacy, misplaced government policies, poor investment culture, buy-and-hold-tight attitude, and high transaction costs were identified and discussed.
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Lamichhane, Pitamber. "Individual Investors' Consciousness and Investment on Common Stocks." Journal of Academic Development 8, no. 1 (December 31, 2023): 45–60. http://dx.doi.org/10.3126/tjad.v8i1.64826.
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This paper analyzes Nepalese individual investors' consciousness and their investment on stocks. Investors’ consciousness creates positive environment for the investment which helps in capital formulation. This study has employed explorative research design to explain investors’ consciousness and investment on common stock in Nepalese stock market. Data were collected through survey from individual stock investors using structural questionnaire in Kathmandu valley in 2021. The estimated result of this study shows the level of investors’ consciousness (investors’ education and training, access to information, understanding of subjects and learning expectations etc.) is more than desirable level of 50 percent. Similarly, result indicates that conscious investors have chance of holding more common stock which indicates positive association between investors’ consciousness and level of investment in common stocks. Moreover, survey result reveals that investors assert problems on accessing of market information while making investment on stock in Nepalese stock market. This paper concludes that stock market should disseminate sufficient information of stocks, stock markets, stock returns, rules and regulation of security markets, security trading mechanism etc. to the investors through various training programs to make alert them for their sound investment decisions in Nepalese stock markets.
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Bauman, W. Scott, C. Mitchell Conover, and Robert E. Miller. "The Performance of Growth Stocks and Value Stocks in the Pacific Basin." Review of Pacific Basin Financial Markets and Policies 04, no. 02 (June 2001): 95–108. http://dx.doi.org/10.1142/s0219091501000358.
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Many studies show that value stock strategies outperform growth stock strategies in U.S. markets and in international markets. However, the evidence is not clear as growth stocks have had higher returns in a few countries. Because the behavior of stock markets vary between different geographic regions, it is possible that the performance of these strategies may differ in the Pacific Rim region. We examine the performance of value stocks and growth stocks, defined on the basis of market price to book value per share, over the 10-year period 1986-1996, for six Pacific Rim countries. Based on over 11,900 annual stock returns, value stocks generally outperformed growth stocks over the 10-year period, and in the various Pacific Rim country stock markets. In addition, smaller cap stocks outperformed large cap stocks. Regardless of cap size, however, value stocks, on the whole, outperformed growth stocks. When growth stocks occasionally outperformed value stocks, the margin of difference tended to be small.
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Kumar, Rakesh, and Raj S. Dhankar. "Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty." Vikalpa: The Journal for Decision Makers 34, no. 4 (October 2009): 25–36. http://dx.doi.org/10.1177/0256090920090403.
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Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If efficient market hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems in these markets. With globalization and deregulation, the enormous opportunities of investment in South Asian stock markets have attracted the domestic and foreign institutional investors in general, and to reduce their portfolio risk by diversifying their funds across the markets in particular. The efforts are made in this study to examine the cross-correlation in stock returns of South Asian stock markets, their regional integration, and interdependence on global stock market. The study also examines the important aspects of investment strategy when investment decisions are made under risk and uncertainty. The study uses Bombay stock exchange listed index BSE 100 for India, Colombo stock exchange listed Milanka Price Index for Sri Lanka, Karachi stock exchange listed KSE 100 for Pakistan, Dhaka stock exchange listed DSE-General Index for Bangladesh, and S & P Global 1200 to represent the global market. It carries out a comprehensive analysis, tracing the autocorrelation in stock returns, cross correlations in stock returns under risk and uncertainty, interdependency among the South Asian stock markets, and that with the global stock market. The research methodology applied in the study includes application of Ljung-Box to examine the cross-correlation in stock returns, ARCH and its generalized models for the estimation of conditional and asymmetric volatilities, and Ljung-Box as a diagnostic testing of fitted models, and finally correlation to examine the interdependency of these markets in terms of stock returns and expected volatility. The results bring out the following: L-B statistics suggests the presence of autocorrelation in stock returns in all Asian stock markets; however, for the global market, autocorrelations are significant at 15 lags, and thereafter they are insignificant. The significant autocorrelations in stock returns report volatility clustering in stock returns, reject the EMH, and hold that current stock returns are significantly affected by returns being offered in the past. ARCH and its generalized models significantly explain the conditional volatility in all stock markets in question. The study rejects the relationship between stock returns and expected volatility; however, the relationship is significant with unexpected volatility. It brings out that investors adjust their risk premium for expected variations in stock prices, but they expect extra risk premium for unexpected variations. With their entry into the liberalization phase, South Asian stock markets have reported regional interdependence, and also interdependence with the global stock market.
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Truong, Loc Dong, H. Swint Friday, and Tran My Ngo. "Market Reaction to Delisting Announcements in Frontier Markets: Evidence from the Vietnam Stock Market." Risks 11, no. 11 (November 16, 2023): 201. http://dx.doi.org/10.3390/risks11110201.
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This paper aims to measure the effects of delisting on stock returns for the Vietnam stock market. This study employs a sample of 118 stocks that were compulsorily delisted from the market between January 2011 and December 2021. Using an event study methodology, the empirical findings confirm that the delisting has negative effects on stock returns in the Vietnam stock market. Specifically, results derived from tests show that the average abnormal return of delisted stocks continuously declines during three trading days following the announcement of delisting. Moreover, it is found that the differences in cumulative abnormal returns between post-delisting and pre-delisting periods are significantly negative for all tracking periods. Apart from the negative effect of delisting on stock abnormal returns, we also find that the impact of delisting on stock returns for smaller companies is greater than for bigger companies. These results imply that investors can earn abnormal returns by using delisting information in the Vietnam stock market.
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Wang, Xiaowei, Rui Wang, and Yichun Zhang. "Cross-asset momentum and the hybrid fund transmission mechanism in China’s stock and bond markets." PLOS ONE 19, no. 3 (March 21, 2024): e0300781. http://dx.doi.org/10.1371/journal.pone.0300781.
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The allocation of assets across different markets is a crucial element of investment strategy. In this regard, stocks and bonds are two significant assets that form the backbone of multi-asset allocation. Among publicly offered funds (The publicly offered funds in China correspond to the mutual funds in the United States, with different names and details in terms of legal form and sales channels), the stock-bond hybrid fund gives investors a return while minimizing the risk through capital flow between the stock and bond markets. Our research on China’s financial market data from 2006 to 2022 reveals a cross-asset momentum between the stock and bond markets. We find that the momentum in the stock market negatively influences the bond market’s return, while the momentum in the bond market positively influences the stock market’s return. Portfolios that exploit cross-asset momentum have excess returns that other asset pricing factors cannot explain. Our analysis reveals that hybrid funds play an intermediary role in the transmission mechanism of cross-asset momentum. We observe that the more flexible the asset allocation ratio of the fund, the more crucial the intermediary role played by the fund. Hence, encouraging the development of hybrid funds and relaxing restrictions on asset allocation ratios could improve liquidity and pricing efficiency. These findings have significant implications for investors seeking to optimize their asset allocation across different markets and for policymakers seeking to enhance the efficiency of China’s financial market.
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Seifoddini, Jalal, Fraydoon Rahnamay Roodposhti, and Elahe Kamali. "Gold-Stock Market Relationship: Emerging Markets versus Developed Markets." EMAJ: Emerging Markets Journal 7, no. 1 (September 22, 2017): 17–24. http://dx.doi.org/10.5195/emaj.2017.126.
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We perform a comparative study on the gold-stock market relationship in U.S. stock market as a developed market and in Iran stock market as an emerging market. By considering appropriate variables for emerging markets and by providing a more proper methodology, we improve earlier studies. According to our findings, the relationship between stock market returns and gold price returns does not follow any specific regimes and that this relationship changes in short and long term returns. It is necessary to mention that in the present research, we did not consider this relationship in major structural changes in the economies and instead considered usual economic circumstances that investors are regularly faced with in their investment decisions.
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Shahzad, Syed Jawad Hussain, Memoona Kanwal, Tanveer Ahmed, and Mobeen Ur Rehman. "Relationship between developed, European and South Asian stock markets: a multivariate analysis." South Asian Journal of Global Business Research 5, no. 3 (October 17, 2016): 385–402. http://dx.doi.org/10.1108/sajgbr-01-2015-0002.
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Purpose The assessment of interdependence between stock markets is an important aspect of international portfolio management. The purpose of this paper is to examine and highlight the diversification potential of South Asian stock markets vis-à-vis developed and European stock markets. Design/methodology/approach The developed stocks markets include USA and UK, and South Asian stock markets include India, Pakistan and Sri Lanka while DJ STOXX 600 index is used to represent the European stock markets. Monthly data are used to examine long-run relationship through ARDL bound testing approach and estimates are obtained using DLOS. Short-term dynamics are captured through vector error correction-based Granger causality. Findings South Asian stock markets are closely linked with each other; similarly, developed/European markets are interlinked. US stock market not only impacts European stock markets, it also Granger cause South Asian stock markets. The findings suggest increase in comovement of South Asian stock markets with the global markets after financial crises of 2007-2008. Practical implications The diversification benefits of South Asian stock markets for international investors are still evident due to their low relationship (in both long and short run) with developed/European stock markets. Originality/value Given the emergence of South Asian stock markets, new insight on their relationship with developed stock markets can provide interesting findings for international portfolio diversification. The South Asian equity markets are an important source of investment because of their immense growth and weak correlation with international markets.
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Rijal, Syamsu, and Ashwani Kumar Aggarwal. "Fostering The Changing Economic Market Demand from The View of Various Behavioral Social Personal and Economic Transformation: Empirical Evidence from A Developed Country." Jurnal Multidisiplin West Science 3, no. 05 (May 31, 2024): 670–87. http://dx.doi.org/10.58812/jmws.v3i05.1202.
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The key objective of the study is to foster the changing market demand from the view of various social, behavioral, personal, and economic transformations on individual investment decisions at Shanghai and Shenzhen stock markets in China. The study used a questionnaire to survey a total of 345 investors holding stocks of listed companies at both Shanghai and Shenzhen stock exchanges. The results of the study indicate that behavioral factors, personal factors, and market factors have a significant positive impact on individual investor investment decisions in both shanghai and Shenzhen stock markets while social factors have an insignificant negative impact on individual investor investment decisions in both shanghai and Shenzhen stock markets. Chinese stakeholders will understand better the role of various social, behavioral, personal, and markets factors and their impacts on stock market performance at both Shanghai and Shenzhen stock markets. The findings have important insights for various stakeholders i.e. government, regulatory bodies, practitioners, academia, industry, and researchers.
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Mamcarz, Katarzyna. "Gold market and selected Nordic stock markets: Granger causality." Ekonomia i Prawo 21, no. 2 (June 30, 2022): 463–87. http://dx.doi.org/10.12775/eip.2022.026.
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Motivation: The turbulence in financial markets, especially stocks, makes investors seek safer ways of capital allocation. Gold exhibiting a low or negative correlation with stocks can constitute an alternative form of investment for them. The price volatility of aforementioned assets has impact on investors’ decisions. That is why the assessment of interrelations between stock and gold returns is important. The direction of causality between the analysed variables is reflected by the fact that investors tend to transfer their funds from gold markets to more profitable markets, or return to gold markets. The research focuses on linkages between gold-stock markets of selected Nordic countries which in comparison with countries classified as key producers and consumers of gold were not under investigation so far. There is therefore a research gap in empirical research.
Aim: The aim of this paper is to investigate the causal relationship between the rates of return on stock markets in three Nordic countries, represented by their respective indices — OMXH25 (Finland: the Helsinki Stock Exchange Index), OMXS30 (Sweden: the Stockholm Stock Exchange Index) and OSEAX (Norway: the Oslo Børs All Share Index) — and the returns from investment in gold. The VAR model was applied in the analysis to perform a Granger non-causality linear test, along with decomposition of variance and the impulse response function. The study covered the period between September 2001 and October 2020.
Results: The study showed no causality between the analysed rates of return, except in Norway, where the gold market was found to have an impact on the stock market, assuming a statistical significance of 0.14. In the other two countries, changes in gold prices did not affect stock prices, and vice versa.
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Ni, Shang. "Research on optimal portfolios based on optimization and Simulated Annealing Algorithm A comparison of optimal portfolios between the Chinese and American stock market." BCP Business & Management 20 (June 28, 2022): 1192–206. http://dx.doi.org/10.54691/bcpbm.v20i.1119.
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This paper is aimed to show the correctness of our model, which combines optimization and the Simulated Annealing Algorithm and uses it to compare the American stock market with the Chinese stock market. Furthermore, we want to use this model to construct an optimal portfolio and expect to determine if it is general. We select nine stocks for both American and Chinese stock markets and use them to construct optimal portfolios. The study results show that the optimal portfolio based on the Sharpe ratio is optimal for these stock markets. Furthermore, this research study finds a strong correlation and significant differences between these stock markets.
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Chen, Muzi, Yuhang Wang, Boyao Wu, and Difang Huang. "Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy." Entropy 23, no. 4 (April 7, 2021): 434. http://dx.doi.org/10.3390/e23040434.
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The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai Stock Exchange (SSE) A-shares, this paper divides the period between 2005 and 2018 into eight bull and bear market stages to investigate interactive patterns in the Chinese financial market. We employ the Least Absolute Shrinkage and Selection Operator (LASSO) method to construct the stock network, compare the heterogeneity of bull and bear markets, and further use the Map Equation method to analyse the evolution of modules in the SSE A-shares market. Empirical results show that (1) the connected effect is more significant in bear markets than bull markets and gives rise to abnormal volatilities in the stock market; (2) a system module can be found in the network during the first four stages, and the industry aggregation effect leads to module differentiation in the last four stages; (3) some stocks have leading effects on others throughout eight periods, and medium- and small-cap stocks with poor financial conditions are more likely to become risk sources, especially in bear markets. Our conclusions are beneficial to improving investment strategies and making regulatory policies.
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Sari, Linda Karlina, Noer Azam Achsani, and Bagus Sartono. "THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA." Buletin Ekonomi Moneter dan Perbankan 20, no. 2 (October 31, 2017): 229–56. http://dx.doi.org/10.21098/bemp.v20i2.813.
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Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience financial instability as well (Liu et al., 1998). This paper aims to determine the best model to describe the volatility of stock returns, to identify asymmetric effect of such volatility, as well as to explore the transmission of stocks return volatilities in seven countries to Indonesia’s stock market over the period 1990-2016, on a daily basis. Modeling of stock return volatility uses symmetric and asymmetric GARCH, while analysis of stock return volatility transmission utilizes Vector Autoregressive system. This study found that the asymmetric model of GARCH, resulted from fitting the right model for all seven stock markets, provides a better estimation in portraying stock return volatility than symmetric model. Moreover, the model can reveal the presence of asymmetric effects on those seven stock markets. Other finding shows that Hong Kong and Singapore markets play dominant roles in influencing volatility return of Indonesia’s stock market. In addition, the degree of interdependence between Indonesia’s and foreign stock market increased substantially after the 2007 global financial crisis, as indicated by a drastic increase of the impact of stock return volatilities in the US and UK market on the volatility of Indonesia’s stock return.
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Masoub, Najeb. "Stock Markets." International Journal of Finance & Banking Studies (2147-4486) 2, no. 4 (October 21, 2013): 13–29. http://dx.doi.org/10.20525/ijfbs.v2i4.160.
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The stock market is a common feature of a current economy and it is reputed to achieve some necessary functions, which promote the growth and development of the economy. To achieve this objective, the endogenous growth literature and research, and recent theoretical studies have tried to provide a link between the literature of endogenous growth theory and financial markets. Providing evidence of stock market development will assist policy makers in designing reforms that do indeed promote the growth rate, enhancing stock market development as economic growth through to the banking system of financial sectors, and to the degree of investor’s right; furthermore, allowing risk sharing encourages speculative and productive investment (see, e.g. Greenwood and Jovanovic (1990) and Bencivenga and Smith (1991)). The results of the previous study, which established positive links between the stock market and economic growth, suggests the pursuit of policies geared towards rapid development of the stock market.
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Nittayakamolphun, Pitipat, Thanchanok Bejrananda, and Panjamapon Pholkerd. "Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets." Journal of Risk and Financial Management 17, no. 4 (April 12, 2024): 155. http://dx.doi.org/10.3390/jrfm17040155.
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The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sustainable stock investments in emerging markets may minimize and diversify investor risk. We applied the non-linear autoregressive distributed lag (NARDL) model to examine the effects of EPU, VIX, GPR, GD, and WTI on sustainable stocks in seven emerging markets (Thailand, Malaysia, Indonesia, Brazil, South Africa, Taiwan, and South Korea) from January 2012 to June 2023. EPU, VIX, GPR, GD, and WTI showed non-linear cointegration with sustainable stocks in seven emerging markets and possessed different asymmetric effects in the short and long run. Change in EPU increases the return of Thailand’s sustainable stock in the long run. The long-run GPR only affects the return of Indonesian sustainable stock. All sustainable stocks are negatively affected by the VIX and positively affected by GD in the short and long run. Additionally, long-run WTI negatively affects the return of Indonesia’s sustainable stocks. Our findings contribute to rational investment decisions on sustainable stocks, including gold and crude oil prices, to hedge the asymmetric effect of uncertainty.
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Gu, Anthony Yanxiang, and Chauchen Yang. "Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets." Review of Pacific Basin Financial Markets and Policies 10, no. 04 (December 2007): 469–78. http://dx.doi.org/10.1142/s021909150700115x.
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Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility, on the Stock Exchange of Hong Kong where short selling is allowed than on the Shanghai Stock Exchange and Shenzhen Stock Exchange where short selling is restrained. This unique evidence indicates that short selling increases stock price volatility for the Chinese stocks in the Chinese stock markets.
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Lai Cao Mai, Phuong. "Corruption and stock market development in EAP countries." Investment Management and Financial Innovations 17, no. 2 (July 1, 2020): 266–76. http://dx.doi.org/10.21511/imfi.17(2).2020.21.
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Using macroeconomic factors as control variables, this paper examines the impact of corruption on the development of the stock market in East Asia and the Pacific (EAP) from 2008 to 2018. The research model uses GMM techniques to estimate panel data on two sub-sets of data, including five developed markets and seven emerging markets, and a dataset of both market groups. The market capitalization and the stock transaction value relative to GDP represent the development of the stock market, and the corruption control index represents the corruption factor. The empirical results found that corruption has a positive impact on the EAP stock market capitalization with the entire sample data set, which positively affects both size of the market capitalization value and value of stock transactions in underdeveloped markets. However, it is not statistically significant in explaining the development of developed stock markets. Besides, macroeconomic factors such as inflation, interest rates, savings, and credit affect some stock markets at EAP. Compared to previous studies, the article’s results found that corruption affects stock market capitalization and has a positive impact on stock liquidity in underdeveloped stock markets. Corruption affects more underdeveloped stock markets than developed stock markets. This may be due to the implicit relationship of economic benefits between large enterprises and officials in underdeveloped markets.
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Ramachandra, N., M. Bhupathi Naidu, Sk Nafeez Umar, and K. Murali. "Arima Model with Box-Cox Transformed Univariate Variable in BSE Sensex." International Journal for Research in Applied Science and Engineering Technology 10, no. 11 (November 30, 2022): 1010–16. http://dx.doi.org/10.22214/ijraset.2022.47509.
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Abstract: Fluctuation of the stock market’s impact on investments of stocks. Sensex prediction plays an important role in the investment of markets. Predicting the stock market is difficult in market scenarios. The present study attempted to predict the stock market due to its complicated features and also compared different Auto-Regressive Integrated Moving Average (ARIMA) models to get the appropriate stock forecasting model using various Box-Cox transformations by using BSE Sensex past daily closing data. The ARIMA Model6 (0 1 0) showed accurate results in calculating the Mean Absolute Percentage Error (MAPE) and Bayesian Information Criterion (BIC) values, which indicates the potential of using the ARIMA model for accurate stock forecasting
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Nyasha, Sheilla, and N. M. Odhiambo. "The Dynamics Of Stock Market Development In Kenya." Journal of Applied Business Research (JABR) 30, no. 1 (December 30, 2013): 73. http://dx.doi.org/10.19030/jabr.v30i1.8284.
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This paper highlights the origin of the stock market in Kenya, and traces the reforms that have been undertaken to develop the stock market. It also highlights the growth of the Kenyan stock market, as well as the challenges currently facing the market. The country has one stock market, known as the Nairobi Securities Exchange (formerly the Nairobi Stock Exchange). It is one of Africas largest stock markets. Since the early 1980s, a number of stock market reforms have been implemented in Kenya. These include the formation of a regulatory body (Capital Markets Authority CMA) in 1989, the replacement of the "Call-Over" trading system by the floor-based "Open-Outcry System" in 1991, the reduction of listing costs, the relaxation of the exchange control for locally controlled companies, and the repeal of the Exchange Control Act. Following these reforms, Kenyas stock market has developed significantly in terms of market capitalisation, the total value of stocks traded, and the turnover ratio. Although the stock market in Kenya has developed over the years, like many other developing countries' markets, it still faces a number of wide-ranging challenges.
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Mansour Nomran, Naji, Abdelkader Laallam, Razali Haron, Aghilasse Kashi, Zakir Hossen Shaikh, and Joji Abey. "The Impact of the Cryptocurrency Market on Islamic vs. Conventional Stock Returns: Evidence from Gulf Cooperation Council Countries." Journal of Risk and Financial Management 17, no. 7 (July 17, 2024): 305. http://dx.doi.org/10.3390/jrfm17070305.
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The rapid rise and widespread global adoption of cryptocurrencies in recent years has fundamentally transformed the international financial landscape, with digital assets increasingly being recognized for their potential to influence the stability and performance of traditional capital markets. Against this backdrop, this study aims to empirically investigate the impact of cryptocurrency returns on Islamic vs. conventional stock returns in Gulf Cooperation Council (GCC) countries. The salient distinctions between Islamic and conventional stock markets include fundamental differences in principles, investment allocations, and risk profiles, underscoring the importance of examining the impact of cryptocurrency returns on these distinct equity segments. Daily data were collected from stock indices in five GCC countries over the period 2016–2019, including two sub-periods: before and after the 2017 crypto crash. Pooled OLS, fixed effects, random effects, and generalized linear models (GLMs) were used to analyze the data collected during the study. With the GCC increasingly focusing on cryptocurrency markets, there is growing concern about these markets’ potential impact on regional stocks. This study addresses the important questions of whether the impacts of the cryptocurrency market on Islamic vs. conventional stock markets differ throughout the GCC region and how these impacts have evolved since the crypto crash period. The findings reveal that cryptocurrency returns had a negative impact on both GCC Islamic and conventional stock market returns for the full sample period (2016–2019), and the negative effect was far more pronounced for conventional stocks. For the two sub-periods before and after the crash, only the cryptocurrency market and conventional GCC stocks remained negatively correlated, while the cryptocurrency market and the GCC Islamic stock markets became uncorrelated. Thus, for the calmer sub-periods before and after the crypto crash, the rise in cryptocurrency returns may have enticed GCC investors away from conventional stocks, perhaps resulting in a decline in their investment in these stocks. Meanwhile, those who invest in Islamic stocks may not be exposed to this temptation.
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Haq, Daffa Aqomal, Asep Nurhalim, and Ranti Wiliasih. "Sharia stock market integration of oic countries before and during the crisis of the russian-ukraine war." Halal Studies and Society 1, no. 1 (May 8, 2024): 25–32. http://dx.doi.org/10.29244/hass.1.1.25-32.
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An integrated stock market has negative impacts, such as accelerating co-movement, which is vulnerable to economic shocks and global market crises on the domestic market. One of the crises in 2022 was the Russia-Ukraine war which impacted the stock market, including Sharia stocks which were believed to be more resistant to the shocks of the global crisis. This study examines the development, integration, and response of OIC countries five Islamic stock markets in the Russia-Ukraine war. The method used is VAR/VECM on the DJIMMT25, SPSADS, SPSUUAEDS, JII, DJIMT, SPBMIR, and SPBMIU indices. The results show the same movement in the UAE and Saudi Arabia stock markets, while Turkey experienced a positive trend during the war. The Islamic stock market of the OIC countries during the Russia-Ukraine war was cointegrated. In contrast, the Malaysian stock market influenced the Islamic stock markets of the other four OIC countries. The IRF results show a permanent effect on the volatility of the Islamic stock market in OKI countries due to the shocks given. However, the volatility response is relatively small because the stock market itself dominates the contribution of shocks.
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Fatima Farooq, Muhammad Saeed Meo, Sajid Ali, and Usman Rasheed. "Co-movement between Sukuk, Conventional Bond and Islamic Stock Markets under Bullish and Bearish Market Conditions: An Application of Quantile-on-Quantile Regression." Journal of Accounting and Finance in Emerging Economies 6, no. 3 (September 30, 2020): 839–56. http://dx.doi.org/10.26710/jafee.v6i3.1390.
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This study explores the asymmetric co-movement between conventional bonds market, sukuk market and Islamic stock markets of top ten Islamic economies. The study used daily data ranging from 1st January 2008 to 31st December 2019. However, for the dependency structure, we used Quantile-on-Quantile (QQ) method, which captures the dependence between the entire distributions of financial assets and uncovers some nuance features of the relationship. The empirical findings show that under the stress condition (bearish condition), both bonds and stocks markets negatively commove. However, in the bullish market condition, these markets show week positive correlation/ co-movement in all the sample economies. The findings also confirmed that under the bearish condition, a mild negative correlation exists between sukuk and Islamic stock markets except for Malaysia. However, in the bullish market condition, sukuk markets and stock markets show strong positive correlation in all sample economies. Furthermore, study also enriches quantiles estimation by using quantiles granger causality approach. The findings show that the conventional bond market, sukuk market and Islamic stock market granger cause to each other on all the quantiles (in bullish or bearish market conditions).
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Singh, Aditi, and Madhumita Chakraborty. "Examining Efficiencies of Indian ADRs and their Underlying Stocks." Global Business Review 18, no. 1 (January 25, 2017): 144–62. http://dx.doi.org/10.1177/0972150916666948.
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In this article, the efficient market hypothesis (EMH) is tested for US and Indian stock markets and Indian American depositary receipts (ADRs) and their underlying stocks. The approach used to observe changing market efficiency is time-varying Hurst exponent. The Hurst values have been calculated after filtering the financial asset return series for short-term dependence and volatility. Rolling window approach has been used to calculate Hurst exponent and observe time-varying long-range dependence. The data are filtered by autoregressive-generalized autoregressive conditional heteroscedasticity (AR-GARCH) method. The empirical results suggest that US stock market is more efficient than Indian stock market. All the ADRs, their underlying stocks and markets of both the countries have shown varying efficiency. The change in efficiency of Indian ADRs is more when compared to their underlying stocks, which suggests that stock of a company listed on stock indices of different countries may show different pace of evolution of efficiency depending on maturity of the market.
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Stereńczak, Szymon. "Conditional stock liquidity premium: is Warsaw stock exchange different?" Studies in Economics and Finance 38, no. 1 (January 11, 2021): 67–85. http://dx.doi.org/10.1108/sef-03-2020-0075.
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Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market. Originality/value This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.
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Rahma Tri Benita, Siti Damayanti, and Irwan Adi Ekaputra. "Information Distribution and Informed Trading in Mixed and Islamic Capital Markets." International Journal of Business and Society 21, no. 3 (April 27, 2021): 1333–51. http://dx.doi.org/10.33736/ijbs.3353.2020.
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The correlation between volume and frequency with return volatility can explicate the information distribution process and informed traders' transaction behavior in a stock market. In this study, the Indonesian stock market represents the mixed market, while the Saudi Arabian stock market represents the Islamic market. We find that 94% and 96% of sharia-compliant stocks in Indonesia and Saudi Arabia follow the Mixture of Distribution Hypothesis (MDH). Consequently, we may conclude that sharia-compliant stocks in both markets are informationally efficient. However, we find that informed traders tend to behave differently in both markets. In the Indonesian market, informed traders exhibit competitive behavior in 95% of shariacompliant stocks and strategic transaction behavior in only 5% of the stocks. In contrast, in the Saudi Arabian market, we find that informed traders exhibit competitive behavior in only 38% of the stocks and strategic behavior in 62% of the stocks. The findings suggest that social and religious contexts may affect market participants' behavior.
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Jamil, Izaan, Mori Kogid, Thien Sang Lim, and Jaratin Lily. "Pre- and Post-COVID-19: The Impact of US, UK, and European Stock Markets on ASEAN-5 Stock Markets." International Journal of Financial Studies 11, no. 2 (March 23, 2023): 54. http://dx.doi.org/10.3390/ijfs11020054.
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This study investigates the relationship between closing–opening prices of stocks in the US, UK, and European markets and the prices of stocks in the five Association of Southeast Asian Nations (ASEAN-5) markets, a group consisting of five founding members, namely, Indonesia, Malaysia, the Philippines, Singapore, and Thailand. In particular, this study examines the impact of US, UK, and European stock market movements on ASEAN-5 stock markets before and during the COVID-19 pandemic. An autoregressive distributed lag (ARDL) bounds testing approach was employed on two independent data sets, representing prices of stocks before and during the COVID-19 pandemic. The results reveal that among the ASEAN-5 markets, only the Philippines had a cointegration relationship with the US, UK, and European markets before the crisis. However, almost all ASEAN-5 markets moved in tandem with the US, UK, and European markets during COVID-19, except for Thailand. These empirical findings also indicate that the stock markets in the two regions tended to co-move during the COVID-19 pandemic, implying a contagion effect. Further, the causality results also provide substantial evidence of contagion between markets during the pandemic. These results imply that the stock markets in ASEAN-5 are susceptible at the opening bell to the behaviour of US, UK, and European stocks. Therefore, investors or traders in ASEAN-5 should participate in foreign markets (other than the US, UK, and Europe) that do not exhibit cointegration relationships to better mitigate and manage risk at the opening bell, especially during a global crisis.
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Chowdhury, Mohammad Ashraful Ferdous, Md Mahmudul Haque, and Md Nazrul Islam. "Contagion Effects on Stock Market of Bangladesh." International Journal of Asian Business and Information Management 8, no. 2 (April 2017): 1–14. http://dx.doi.org/10.4018/ijabim.2017040101.
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Due to increased globalization and economic integration in the global economy, contagion effects have been considered an important matter for the investors and policymakers. In the wake of the global financial crisis of September 2008, Islamic financial products were thrust into the spotlight as alternatives to the shaken conventional equity markets. The objective of this study is to discover the Islamic stock market dynamics of Bangladesh with the global Islamic stock markets such as Saudi Arabia, UAE, Kuwait, Europe, UK and Japan. For understanding long run relationship or the theoretical relationships among the Islamic stock market and short run co-movements among Islamic stocks, Johansen co-integration test and Vector Error Correction model (VECM) have been applied respectively. Furthermore, the investigation on short run dynamics is also carried through Impulse Response Function (IRF) analyses. The study found that the Japanese Islamic Stock market is affected to changes in other Islamic stock markets while Kuwait stock market is the leader in the sense it affects other stock market greatly. Bangladeshi Islamic stock market is found to be marginally affecting other stock markets but not as strong as Kuwait. Global Islamic stock market seems to have very little impact to Bangladesh Islamic stock market. The evidence of co-integration and short run dynamics help a diversification benefit may be derived from the cross boarder investment. The empirical evidence of co-integration and short run dynamic relationship found in this study will help investors in making efficient investment decisions and also enhance their understanding of market behavior.
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Magner Pulgar, Nicolás, Esteban José Antonio Terán Sánchez, and Vicente Alfonso Guzmán Muñoz. "Stock Market Synchronization and Stock Volatility: The Case of an Emerging Market." Revista Mexicana de Economía y Finanzas 17, no. 3 (May 24, 2022): 1–22. http://dx.doi.org/10.21919/remef.v17i3.747.
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The purpose of this paper is to study the effect of stock market synchronization on the volatility of its component assets. For this objective, we calculate the stock market's synchronization using the Minimum Spanning Tree Length (MSTL) network analysis method. Then, we implement forecasting tests in and out the sample to assess the forecasting power on the stock market's synchronization to predict the individual stock realized volatility. Additionally, we test a VAR and a forecast error variance decomposition analysis to study Granger causality's presence on volatility. Our results show that synchronization within a market exists and changes over time. Our main results show that an increase in synchronization causes an increase in financial assets' realized volatility in the following month. Our results made it possible to study financial markets' synchronization and take a systemic risk approach to improve investment management. Our main idea was that the stock markets' synchronization positively correlates with financial assets' volatility. The greater the synchronization, the greater the volatility in the following period. This study offers a new approach to study the stock market volatility.
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Shaik, Muneer, and S. Maheswaran. "Market Efficiency of ASEAN Stock Markets." Asian Economic and Financial Review 7, no. 2 (2017): 109–22. http://dx.doi.org/10.18488/journal.aefr/2017.7.2/102.2.109.122.
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Bernstein, Peter L. "Liquidity, Stock Markets, and Market Makers." Financial Management 16, no. 2 (1987): 54. http://dx.doi.org/10.2307/3666004.
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Dajcman, Silvo, Mejra Festic, and Alenka Kavkler. "Comovement Dynamics between Central and Eastern European and Developed European Stock Markets during European Integration and Amid Financial Crises – A Wavelet Analysis." Engineering Economics 23, no. 1 (February 15, 2012): 22–32. http://dx.doi.org/10.5755/j01.ee.23.1.1221.
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Stock market comovements between developed (represented in the article by markets of Austria, France, Germany, and the UK) and developing stock markets (represented here by three Central and Eastern European (CEE) markets of Slovenia, the Czech Republic, and Hungary) are of great importance for the financial decisions of international investors. From the point of view of portfolio diversification, short-term investors are more interested in the comovements of stock returns at higher frequencies (short-term movements), while long-term investors focus on lower frequencies comovements. As such, one has to resort to a time-frequency domain analysis to obtain insight about comovements at the particular time-frequency (scale) level. The empirical literature on the CEE and developed stock markets interdependence predominantly apply simple (Pearsons) correlation analysis, Granger causality tests, cointegration analysis, and GARCH modeling. None of the existent empirical studies examine time-scale comovements between CEE and developed stock market returns. By applying a maximal overlap discrete wavelet transform correlation estimator and a running correlation technique, we investigated the dynamics of stock market return comovements between individual Central and Eastern European countries and developed European stock markets in the period from 1997-2010. By analyzing the time-varying dynamics of stock market comovements on a scale-by-scale basis, we also examined how major events (financial crises in the investigated time period and entrance to the European Union) affected the comovement of CEE stock markets with developed European stock markets. The results of the unconditional correlation analysis show that the developed European stock markets of France, the UK, Germany and Austria were more interdependent in the observed period than the CEEs stock markets. The later group of countries exhibited a lower degree of comovement between themselves as well as with the developed European stock markets during all the observed time period. The Slovenian stock market was the least correlated with other stock markets. By using the rolling wavelet correlation technique, we wanted to answer the question as to how the correlation between CEE and developed stock markets changed over the observed period. In particular, we wanted to examine whether major economic (financial) and political events in the world and European economies (the Russian financial crisis, the dot-com financial crisis, the attack on the WTC, the CEE countries joining the European union, and the recent global financial crisis) have influenced the dynamics of CEE stock market comovements with developed European stock markets. The results show that stock market return comovements between CEE and developed European stock markets varied over time scales and time. At all scales and during the entire observed time period the Hungarian and Czech stock markets were more interconnected to developed European stock markets than the Slovenian stock market was. The highest comovement between the investigated CEE and developed European stock market returns was normally observed at the highest scales (scale 5, corresponding to stock market return dynamics over 32-64 days, and scale 6, corresponding to stock market return dynamics over 32-64 and 64-128 days). At all scales the Hungarian and Czech stock markets were more connected to developed European stock markets than the Slovenian stock market. We found that European integration lead to increased comovement between CEE and developed stock markets, while the financial crises in the observed period led only to short-term increases in stock market return comovements.DOI: http://dx.doi.org/10.5755/j01.ee.23.1.1221
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Ncube, Mbongiseni, Mabutho Sibanda, and Frank Ranganai Matenda. "COVID-19 Pandemic and Stock Performance: Evidence from the Sub-Saharan African Stock Markets." Economies 11, no. 3 (March 17, 2023): 95. http://dx.doi.org/10.3390/economies11030095.
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Emerging stock markets provide great opportunities for investment growth and risk diversification. However, they are more vulnerable to extreme market events. This study examines the effects of the COVID-19 pandemic on stock performance in sub-Saharan African stock markets. An event study method was used to determine whether there was any significant difference in sector returns before and during the pandemic, and panel data regression was used to determine the causal relationship between COVID-19 events and the abnormal returns observed. Four stock exchanges were chosen, including the two largest and two fastest-growing markets in sub-Saharan Africa. According to the study’s findings, the information technology, consumer staples, and healthcare sectors outperformed during the pandemic, while the industrials, materials, and real estate sectors underperformed. The financial and consumer discretionary proved to be the most stable sectors during the pandemic. We also observed that the imposition of lockdown had a negative impact on the performance of most sectors in sub-Saharan African markets, whereas government assistance in the form of economic stimulus packages had no significant positive impact on stock performance except in the South African market. Furthermore, we find that increases in COVID-19 cases and deaths had no negative impact on capital markets, where stocks have responded positively to economic recovery aid. The study concludes that during the COVID-19 pandemic, stocks reacted more to government actions than the occurrence of the pandemic itself.
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Chen, Yan, Changyu Hu, Wenjie Zhang, and Qing Li. "CEO Exposure, Media Influence, and Stock Returns." Journal of Global Information Management 29, no. 6 (November 2021): 1–19. http://dx.doi.org/10.4018/jgim.20211101.oa43.
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Media-aware stock movements are well acknowledged by the behavioral finance. As the soul of a firm, CEO’s media behavior is critical to the operation of a firm. CEO’s exposure could have captured the investors’ attention and enhanced the media effect in the stock market in terms of the “eyeball economics”, or CEO’s overexposure could have attracted more attention than firm-specific news, which attenuate the media effect in the stock market due to the investors’ limited attention. This study systematically explores the role and the moderating effect of CEO’s media behavior on the relationship between media content and stock markets. Using daily frequency data for a sample of Chinese stocks, this study shows that higher CEO media exposure attenuates the media effect on stock markets, especially consumer-related stocks.
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Shackman, Joshua, Paul Lambert, Phoenix Benitiez, Nathan Griffin, and David Henderson. "Maritime Stock Prices and Information Flows: A Cointegration Study." Transactions on Maritime Science 10, no. 2 (October 21, 2021): 496–510. http://dx.doi.org/10.7225/toms.v10.n02.018.
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In this study, the issue of how global maritime stock prices influence the stock prices of large transportation companies in the U.S. and other large markets is examined. Maritime stocks are chosen because they are central in global trade and thus may be good indicators of future global stock market and economic trends. Maritime companies are often owned by families or governments and are traded in stock markets with lower standards of accountability, hence information flows from maritime stocks may be slower than flows from other stocks. Cointegration and vector error-correction analysis is used to analyze the short-term and long-term relationships between maritime stocks, rail stocks, and trucking stocks. Evidence is found of a gradual diffusion of information from maritime stock prices to large rail or trucking stocks. This suggests that price changes in maritime stocks may help predict changes in prices in non-maritime transportation stocks.
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Matek, Petar-Pierre, and Maša Galić. "The impact of designated market-makers on liquidity in frontier markets." Zbornik radova Ekonomskog fakulteta u Rijeci 42, no. 1 (June 28, 2024): 95–121. http://dx.doi.org/10.18045/zbefri.2024.1.95.
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Many exchanges around the globe have implemented market-making schemes inan attempt to mitigate liquidity risk and enhance trading volume. This researchexamines the impact of designated market makers on stock liquidity in frontiermarkets, specifically measured by bid-ask spreads and trading turnover. Using adifference-in-differences analysis, we studied 19 stocks that introduced designatedmarket makers at the Zagreb Stock Exchange and Ljubljana Stock Exchangebetween May 2010 and January 2022. To the best of our knowledge, this is the firststudy investigating the impact of market makers in these specific markets and onlythe second in frontier markets overall. As expected, we find a significant reductionin bid-ask spreads for most stocks following the introduction of market makers.However, unlike findings of studies conducted in more developed markets, ourresults for turnover are not conclusive, suggesting that market makers alone maynot be sufficient to overcome structural impediments to market liquidity in frontiermarkets, such as lack of free float and the dominance of large investors with long-term investment horizons.
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Mansoor, Muhammad, Hina Ismail, Shahzad Akhtar, and Haroon Hussain. "Volatility of Islamic Stock Markets and Developed Stock Markets of G6 Countries." Review of Applied Management and Social Sciences 2, no. 1 (June 30, 2019): 1–15. http://dx.doi.org/10.47067/ramss.v2i1.10.
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The objective of this to measure and compare Volatility of Islamic stock markets with equity markets of developed(G6) countries by taking daily values for period 2000-2016. The technique of Augmented fuller test (ADF), Heteroscedasticity test, ARCH (1,0), GARCH (1,1), TARCH and E-GARCH are applied. The results show Islamic stock markets shows positive returns as compare to previous day return but the Developed equity markets (G6) shows negative returns as compare to previous day return expect span and Poland equity market. The study explored that in all the stock markets the previous day volatility transfers in the next day volatility and there are many other factors affect the stock market volatility. The study is helpful in building stock portfolio for individual or institutional investor and for policy maker in decision making.
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Nikolaiev, Mykyta. "OVERVIEW OF ONLINE TRADING INFORMATION TECHNOLOGIES." Management of Development of Complex Systems, no. 50 (June 27, 2022): 106–14. http://dx.doi.org/10.32347/2412-9933.2022.50.106-114.
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It is impossible to deny the importance of technology in our modern life. Technology has had a significant impact on almost every aspect of modern life, including but not limited to socializing, commuting, shopping, studying, and everything else. Over the years, the impact of technology has grown to such an extent that even aspects such as investment and the stock market are beginning to feel some impact. The stock market and technological progress are important components of the modern world. Technology has led to fundamental changes in the way financial markets operate, starting with the very first stage of stock formation and continuing to trade those stocks. Technology has undoubtedly radically changed the way investments are made. Financial markets today are largely computerized ‒ from software-based bidding to price determination and direct clearing and settlement, computer technologies have replaced manual operations and simplified functions throughout the value chain in trading. Stock markets around the world are leveraging technological advances for Secure Transaction Management and monitoring. Until a few years ago, brokers shouted at each other for exchanging orders on the stock exchange. However, today's stock exchange trading takes place without physical contact from brokers and provides unlimited opportunities for studying market trends and buying stocks. Thanks to the introduction of technology, the stock market has become more user-friendly, providing faster settlements on transactions, increased transparency, increased security, automated surveillance, and much more. The close relationship between information technologies and financial markets is beyond doubt, as is the relevance of research on the use of various information technologies and innovative solutions to achieve the highest results in financial markets. The purpose of this study is to identify and analyze modern information technologies used in securities trading. In particular, attention is focused on: tools for predicting trends in financial markets; technological solutions for improving financial literacy of the population, open access to the securities market regardless of the age category of the user, his professional activity, etc.; advantages and disadvantages of online trading, the specifics of online brokers and their role in trading on financial markets; technical analysis, time series analysis and quantum computing for analyzing trends in financial markets; using information technologies in the derivatives market.
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Cai, Huan, Meining Wang, and Chaonan Bai. "An Empirical Study of Investors’ Disposition Effect in China Based on Open Data from the Chinese Stock Markets." International Journal of Economics and Finance 10, no. 5 (April 13, 2018): 165. http://dx.doi.org/10.5539/ijef.v10n5p165.
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This paper focuses on investors’ different behavioral biases in China’s segmented stock markets and investigates the correlation between average holding periods, stock returns and investors’ disposition effect between 2010 and 2014. The results show that the disposition effect is prevalent in A-share market but is very weak in Growth Enterprise market and there is a lack of evidence to support the existence of disposition effect in B-share market. The study supports the view that investors’ experience and sophistication can partly help reduce investors’ behavioral biases in stock markets. It also indicates that investors in A-shares market prefer to hold stocks with larger market capitalization for longer periods, while investors of B-shares markets and Growth Enterprise market do not reveal a specific preference for market capitalization.
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Karaömer, Yunus. "Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets." Organizations and Markets in Emerging Economies 13, no. 2 (December 22, 2022): 467–89. http://dx.doi.org/10.15388/omee.2022.13.89.
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This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis. For this purpose, the ARFIMA and ARFIMA-FIGARCH type models are used to analyze the MINT stock return series. In this study, the dataset encompasses the daily frequency data of the MINT stock market indices from January 12, 2018, to January 12, 2022. The empirical findings show that long memory is reported for the MINT stock returns. The long memory in the returns implies that the MINT stock prices follow a predictable behavior that is consistent with the Fractal Market Hypothesis. The long memory in the volatility implies that the uncertainty or risk is an important factor in the formation of price movements in the MINT stock prices. Moreover, the MINT stock prices consist of the effect of shocks and news that occurred in the recent past. Thus, this study contributes to investors, academics, and market regulatory authorities. Besides, as far as we know, the current literature on the analysis of the fractal market hypothesis to explore the efficiency of the MINT stock markets has not been found.
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Al Nasser, Omar M., and Massomeh Hajilee. "Integration of emerging stock markets with global stock markets." Research in International Business and Finance 36 (January 2016): 1–12. http://dx.doi.org/10.1016/j.ribaf.2015.09.025.
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Zaimović, Azra. "Testing the CAPM in Bosnia and Herzegovina with Continuously Compounded Returns." South East European Journal of Economics and Business 8, no. 1 (March 1, 2013): 35–43. http://dx.doi.org/10.2478/jeb-2013-0006.
Full textAbstract:
Abstract The capital markets of neighboring transitional Western Balkan countries have attracted a lot of interest from domestic and international investors in the last decade, who view them as an attractive alternative to investing in more developed markets. These markets are characterized by higher returns, and higher volatility of stock returns as compared to those of developed markets. The recent economic and financial crises devastated capital markets worldwide. The new Bosnian capital market faced its hardest times following the withdrawal of international investors. The aim of this paper is to explore whether there is a standard relation between stock returns and market portfolio returns, as proposed by the Sharpe-Lintner Capital Asset Pricing Model (CAPM), in the stock market of Bosnia and Herzegovina. We tested the model hypotheses with a traditional two-stage regression procedure using the OLS method, using continuously compounded (logarithmic) returns on stocks. Our study indicates that despite the crisis the systematic risk measured by the beta coefficient is priced and that the beta premium is positive. Nevertheless, the Security Market Line (SML) intercepts the ordinate lower than the risk free rate of return. Other factors might also influence stock returns in this market.