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This study has been conducted to identify the impact of publicly offered companies in the BIST Technology sector on the index. The aim is to contribute to the development of more informed and effective strategies for investors in their future investment decisions. Focusing on 12 businesses that went public on the BIST Technology index in 2021 and 2022, their initial public offering (IPO) dates have been considered as event days. The relationship between index returns and these dates has been evaluated through an Event Study methodology. The analysis has revealed that, particularly in 2022, IPOs of businesses had a significant impact on index returns and the number of abnormal returns during this period was high. This finding helps to better understand the influence of IPO processes and developments in the technology sector on capital markets. [ABSTRACT FROM AUTHOR]

Purpose: Market volatility is subject to good or bad news and even responses to fake news and policy changes. In this piece of work, the authors consider the effects of the recent COVID-19 pandemic event on the global equity market, commodities and FX market, measured in terms of the investors' fear index. Design/methodology/approach: In this empirical work, the authors employ time series-based regression models followed by augmented dummy regressions and growth of the COVID-19. Findings: COVID-19-induced investors' fear appears to be higher in the equity segment for the first time since the market crash of 1987 and the global financial crisis of 2008–2009. Furthermore, this disease outbreak shock has been more pronounced in terms of crude oil prices. Besides, a market participant in the commodity and FX market has paid a disproportionate premium to protect such pandemic development. Findings show that Options act as the best hedge against an uncertainty like COVID-19 and that option-based implied volatility is the best measure of investors' fear and market volatility. Practical implications: This study has practical implications for the financial markets, e.g. (1) Contagious disease outbreak news matters for the equity, commodity, and foreign exchange markets – empirical outcome validates the theory of market efficiency valid for the Options. (2) Option's implied volatility is the best indicator of investor fear measured for the unprecedented economic news. Further implication holds for the policymakers and society, e.g. (1) The unavailability of short-selling could be one plausible reason for increased uncertainty and volatility; hence, policymakers should look upon this issue at the exchange level. (2) Any market needs multiple lines of risk management, effective price discovery and attractive liquidity. Originality/value: The study is novel in terms of presenting market behavior amid COVID-19 across global equity markets and commodities and FX markets. [ABSTRACT FROM AUTHOR]

This paper selects weekly transaction data from the Shenzhen Exchange and Shanghai Exchange for 2012 to 2018 to investigate factors including corporate size, the ration of book-to-market, default risk, term and credit rating that influence the corporate bond spread. It can be concluded that small firms prefer to issue high yield spread bonds while large firms issue bonds with low yield spreads. High (low) book-to-market firms issue high (low) yield spread bonds. The most important factors influencing corporate bond spread yield are default risk, terms, and credit ratings. We suggest that China Securities Regulatory Commission should encourage small firms to issue corporate bonds and there should be more kinds of credit ratings bonds in China bond market. [ABSTRACT FROM AUTHOR]

The EU has led efforts to promote green economic financing, crucial to achieving sustainable development objectives and transitioning to a greener economy. This paper explores the link between financial development, the stock market, and green economic financing in the EU from 2000 to 2020. We reveal the relationship between these factors using panel quantile regression analysis. The paper examines how financial development and equity markets promote green economic financing, which helps achieve sustainable development objectives and solve environmental issues. Financial development and stock market effects on green economic financing vary among quantiles. Financial development has a favorable and considerable influence on green economic financing, suggesting that a well-developed financial system may promote sustainable and environmentally friendly investments. The equity market is also linked with green economic financing, implying that a healthy stock market may increase green project funding. We also find threshold effects, demonstrating that financial development and stock markets affect green economic financing unevenly. At higher quantiles, financial development and stock market advantages on green economic finance are more significant for nations with more significant green investment.These results affect EU officials and investors. Policymakers may promote a greener economy by permitting sustainable investments. • Stock markets have limited impact on Green finance. • Trade and economic development drive energy efficiency. • High quantile stock markets promote Green finance initiatives. • FDI fosters Green economic finance in lower-income Asian nations. [ABSTRACT FROM AUTHOR]

The influence of news on financial markets has been studied by extracting opinions and sentiment from text using content analysis and natural language processing techniques, and then using this measure to estimate the impact of sentiment on price changes. We present a method and implementation that analyses the content of news using multiple dictionaries that accounts for the specific use of terminology in a given domain. To evaluate our approach we build different collections of domain related news for two financial markets and examine the impact that topical news has on two financial benchmarks in the equity and oil markets. We examine how the level of news sentiment from different news sources influences financial returns over time. We create a trading signal based on the news impact that predicts next day returns in the Dow Jones Industrial Average and West Texas Intermediate crude oil. We find that incorporating news sentiment into a trading strategy increases annual returns over a simple buy and hold strategy for both markets. [ABSTRACT FROM AUTHOR]

Bhatti and Nguyen (2012) used the copula approach to measure the tail dependence between a number of international markets. They observed that some country pairs exhibit only left-tail dependence whereas others show only right-tail. However, the flow of information from uni-dimensional (one-tail) to bi-dimensional (two-tails) between various markets was not accounted for. In this study, we address the flow of information of this nature by using the dynamic conditional correlation (DCC–GARCH) model. More specifically, we use various versions of the DCC models to explain the nexus between the information flow of international equity and to explain the stochastic forward vs. backward dynamics of financial markets based on data for a 15-year period comprising 3,782 observations. We observed that the information flow between the US and Hong Kong markets and between the US and Australian markets are bi-directional. We also observed that the DCC model captures a wider co-movement structure and inter-connectedness compared to the symmetric Joe–Clayton copula. [ABSTRACT FROM AUTHOR]

The paper empirically investigates the relationship between bank, stock market and economic growth in Bangladesh. In investigating empirical relationship , GDP at the current price, private sector credit given by banks and market capitalization are considered as indicators of economic growth, banks’ development and stock market development, respectively. Three possible regression models are estimated to know the relationship between economic growth and financial sector development. The paper shows that bank’s credit to the private sector is both positively and robustly contributing to the economic development of the country when bank credit to private sector entered alone in regression as an independent variable. Besides long-term relationship, contemporaneous change in bank’s credit to the private sector has profound positive short-run feedback effects to the economic growth. In assessing impact of stock market development on economic growth, no significant long-run relationship is found between stock market development and economic growth in Bangladesh. However, net positive subdued short-term effect of stock market development is evident. But when both bank and equity market jointly enter the model to find out the relationship of both variables with economic growth, a long-run relationship has been evident without statistical significance. It indicates that Bangladeshi financial system comprising both banking sector and stock market jointly is not still a strong promoter of its economic growth, although banking development alone is robustly associated with economic development. Bangladesh therefore needs to enhance the efficiency of banks for increasing credit to the private sector. An immediate initiative is also required to make both equity and debt market as regular sources of finance for the economy. In this perspective, ensuring smooth operation of primary and secondary market, increasing financial literacy among investors, minimizing volatility of the market, expanding issuer base, creating both individual and institutional investors, enhancing efficiency of the brokerage house, adding innovative financial services, initiating knowledge based trading, introducing shelf registration system, creating more professional trustee and ensuring authenticate credit rating from the rating agencies are required to be ensured. [ABSTRACT FROM AUTHOR]

The global crisis highlights the continued vulnerability of developing countries to shocks from advanced economies. Just a few years after the global crisis, the eurozone sovereign debt crisis has emerged as the single biggest threat to the global outlook. In this paper, we apply the event study methodology to gauge the scope for financial contagion from the EU to developing countries. More specifically, we estimate the responsiveness of equity and bond markets in developing countries to global crisis period and eurozone crisis news. Overall, we find that whereas global crisis period had a consistently negative effect on returns of equity and bond markets in developing countries, the effect of eurozone crisis news was more mixed and limited. [ABSTRACT FROM PUBLISHER]

The study investigates the macro-economic determinants of foreign institutional investments (FIIs) in India by employing the Autoregressive Distributed Lag (ARDL) approach on the monthly data for the time period from April 2009 to December 2014. The macro-economic variables, which are based partially on portfolio balance model, include exchange rate, inflation, interest rate, domestic stock market performance, and foreign market performance. The results indicate that the exchange rate share a significant relationship with FII flows both in short run as well as long run. Along with, the presence of the positive and negative feedback trading can also be traced in Indian market for short run and long run, respectively. [ABSTRACT FROM AUTHOR]

Abstract: We present empirical evidence for several hypotheses of how exchange rates are affected by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive, daily-frequency datasets of foreign exchange market transactions and equity market capital flows undertaken by nonresident investors in Thailand in 2005 and 2006. We find that net purchases of Thai equities by nonresident investors systematically lead to an appreciation of the Thai baht. Furthermore, higher returns on Thai equities relative to those on a reference market are associated with subsequent sales of Thai equities by foreign investors as well as a depreciation of the Thai baht, although the latter effect is not statistically significant. [Copyright &y& Elsevier]

This study aimed to investigate the relationship between book-tax differences (BTD) and earnings management in firms listed on the BM&F Bovespa. The final sample consisted of 485 observations (firm-year) and the analysis included the period from 2005 to 2009. Methodologically, two approaches were employed in this study: (I) frequency distribution and (ii) discretionary accruals -- Modified Jones Model. The findings indicate a directly proportional relationship between BTD and discretionary accruals. There was evidence that the firms manage their earnings in the same direction of the observed signal of BTD, and seek to present the amount of BTD in level and variation around the breakeven and thus avoid a relationship with low earnings quality. Additionally, evidence indicate that the size of firm and the adoption of the tax basis transition are inversely related to the level of discretionary accruals. [ABSTRACT FROM AUTHOR]

Estimators of the quantiles of the normal and log-normal distributions are derived. They are more efficient than the established estimators by a wide margin for small samples and high quantiles of the log-normal distribution. Although their evaluation is iterative, it requires only moderate amount of computing, which is not related to the sample size. The method is also applied to the quantiles of the Pareto distribution, but the resulting estimator is more efficient only in some settings. An application to financial statistics, estimating the return on a unit investment in equity markets over a long term, is presented. [ABSTRACT FROM AUTHOR]

This article investigates the presence of herd behavior in Latin American stock markets using the methodologies proposed by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Daily closing prices and trading volumes from January 3, 2000 to September 15, 2010 from the stock markets of Argentina, Brazil, Chile, Mexico, and the United States were analyzed. The US market was studied in order to provide a reference for comparison. The shares for which data was collected in each country were those listed in the most representative stock index for each market. It was not possible to establish evidence of herd behavior in any of the five countries studied using the Christie and Huang (1995) method. However, evaluating the data for the entire period using the method proposed by Chang, Cheng, and Khorana (2000) we detected herd behavior in the Chilean market. These results were not affected by the addition of additional exogenous variables representing the September 11 attacks of 2001 and the subprime crisis, or when the effect of the behavior of US shares on other countries was analyzed. Asymmetric herd behavior was detected in the Chilean, United States, Argentinean, and Mexican markets. [ABSTRACT FROM AUTHOR]

Abstract: We develop a tractable structural model to estimate a firm''s default probability by modeling its asset and debt behavior. The model incorporates jump factors. For a set of Brazilian large corporations, we compare the structural model results to the default probabilities predicted by a survival analysis applied to the Central Bank debt information database. Our model outperforms other structural models. In a last step, we use a firm''s sector failure probabilities to calibrate the model. This process is executed by adjusting the model jump volatility and it helps to explain the differences between debt and equity market failure probabilities. [Copyright &y& Elsevier]

The role of equity markets in economic development has been increasingly recognized in recent years. Yet few studies have analyzed the transmission mechanisms between them. This paper looks at this missing agenda by indirectly assessing whether the equity markets fulfill the following roles: (a) financing firms'' investment; (b) improving firms'' corporate governance and, hence, performance; and (c) signaling information regarding issuers to public investors through stock prices––all of which are essential in achieving economic growth for developing countries. This paper assesses the development stages of China''s equity markets by testing whether the above three roles are fulfilled. [Copyright &y& Elsevier]

We explore a model of time varying regional market integration that includes three factors for the North American equity market, the local Mexican equity market and the peso/dollar exchange rate. We argue that a useful instrument for the degree of integration is the sovereign yield spread. Applying our methodology to Mexico over the 1991–2002 period, we show that the degree of market integration was higher at the end of the period than at the beginning but that it exhibited wide swings that were related to both global as well as local events. We also discover that Mexico''s currency risk is priced. Further, the currency returns process reveals strongly significant asymmetric volatility that is strongly related to the asymmetric volatility of the Mexican equity market returns process. A plausible reason for these results is that currency devaluations in emerging markets like Mexico can cause default-risk crises in local banking systems that mismatch local-currency assets and hard currency liabilities, whereas appreciations produce no such problems. Devaluations that destabilize banking systems are, therefore, more likely than appreciations to increase the volatilities of both the currency''s and the equity market''s returns. [Copyright &y& Elsevier]