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The question of whether returns are predictable is fundamental and crucial to our understanding of equity markets, asset pricing models, and modern portfolio theory. In the absence of rational bubbles, the present value identity, introduced by Campbell and Shiller in 1988, suggests that dividend yield must either predict long-run stock returns or long-run dividend growth to justify current fluctuations in dividend yields. While there is a general consensus that dividend yield predicts long-run returns for the aggregate U.S. stock market, prior studies suggest that these findings may not extend to either a cross-section of the U.S. stock market or to international stock markets. This study aims to expand the current body of literature by examining a cross-section of Swedish stocks, segmented by different valuation metrics, and investigating the predictive power of dividend yield through a first-order vector autoregression and Monte Carlo simulations. The results suggest that dividend yield predicts long-run dividend growth for Swedish equities, without notable heterogeneity across the market cross-section., Frågan om huruvida avkastning kan förutsägas är fundamental och avgörande för vår förståelse av aktiemarknader, prissättningsmodeller och modern portföljteori. I avsaknad av rationella bubblor antyder nuvärdesidentiteten, som introducerades av Campbell och Shiller 1988, att direktavkastning måste kunna förutsäga antingen långsiktig aktieavkastning eller långsiktig utdelningstillväxt för att motivera nuvarande fluktuationer i direktavkastningen. Även om det råder en allmän konsensus om att direktavkastning förutsäger långsiktig aktieavkastning på den aggregerade amerikanska aktiemarknaden, har tidigare studier visat att dessa resultat inte nödvändigtvis är tillämpliga på olika segment av den amerikanska marknaden eller på internationella aktiemarknader. Denna studie syftar till att utvidga den befintliga litteraturen genom att undersöka ett tvärsnitt av svenska aktier, uppdelade efter olika värderingsmått, och utforska direktavkastningens prediktiva förmåga genom en första ordningens vektorautoregression och Monte Carlo-simuleringar. Resultaten indikerar att direktavkastning förutspår långsiktig utdelningstillväxt för svenska aktier, utan märkbar heterogenitet inom marknadens tvärsnitt.

The question of whether returns are predictable is fundamental and crucial to our understanding of equity markets, asset pricing models, and modern portfolio theory. In the absence of rational bubbles, the present value identity, introduced by Campbell and Shiller in 1988, suggests that dividend yield must either predict long-run stock returns or long-run dividend growth to justify current fluctuations in dividend yields. While there is a general consensus that dividend yield predicts long-run returns for the aggregate U.S. stock market, prior studies suggest that these findings may not extend to either a cross-section of the U.S. stock market or to international stock markets. This study aims to expand the current body of literature by examining a cross-section of Swedish stocks, segmented by different valuation metrics, and investigating the predictive power of dividend yield through a first-order vector autoregression and Monte Carlo simulations. The results suggest that dividend yield predicts long-run dividend growth for Swedish equities, without notable heterogeneity across the market cross-section., Frågan om huruvida avkastning kan förutsägas är fundamental och avgörande för vår förståelse av aktiemarknader, prissättningsmodeller och modern portföljteori. I avsaknad av rationella bubblor antyder nuvärdesidentiteten, som introducerades av Campbell och Shiller 1988, att direktavkastning måste kunna förutsäga antingen långsiktig aktieavkastning eller långsiktig utdelningstillväxt för att motivera nuvarande fluktuationer i direktavkastningen. Även om det råder en allmän konsensus om att direktavkastning förutsäger långsiktig aktieavkastning på den aggregerade amerikanska aktiemarknaden, har tidigare studier visat att dessa resultat inte nödvändigtvis är tillämpliga på olika segment av den amerikanska marknaden eller på internationella aktiemarknader. Denna studie syftar till att utvidga den befintliga litteraturen genom att undersöka ett tvärsnitt av svenska aktier, uppdelade efter olika värderingsmått, och utforska direktavkastningens prediktiva förmåga genom en första ordningens vektorautoregression och Monte Carlo-simuleringar. Resultaten indikerar att direktavkastning förutspår långsiktig utdelningstillväxt för svenska aktier, utan märkbar heterogenitet inom marknadens tvärsnitt.

The study empirically investigates the impact of green bonds issuance on listed firms operating in G7 (Japan, UK, USA, France, Germany, Italy, and Canada) economies. The sample consist of monthly data ranges from January 2015 to August 2022. Green bonds issuance data is collected from announcements, press releases, and semi-annual or yearly reports. Additionally, we use the official websites and credit rating agency portals of the particular country to find debt issuance. The subsequent findings imply that the issuance of green bonds cast a positive impact on shareholder wealth maximization moreover, sustainable financing practice increases firm value in a long run and thus is favored by shareholders.

Purpose: The focus of this study is to measure the relative worth of antecedents of perceived risk in equity market and contrast the same across socio economic characteristics. Theoretical framework: Risk perception is crucial for equity investors as it influences their investment decisions. In this study the risk perception of the retail investors about the antecedents of risk, relative worth wise, was tried to be tested through13 antecedents grouped under two dimensions i.e., Company and Market- Regulatory Linked Information based on age and income groups. Design/methodology/approach: The study used descriptive design. 204 retail investors were surveyed from Jorhat, India. The Relative Importance Index (RII) and Kruskal- Wallis test were used to measure and compare the antecedents. Findings: The study found that under Company-Linked Information, "Market share" and "Composition and fame etc., of Board of Directors of the companies" were the most and least influential antecedents. Secondly, "Further Public Offer" and "Trends in the Fluctuations in the price of Gold" were the most and least influential antecedents under Market-Regulatory Linked Information. Moreover, retail investors' risk perception significantly differed across three income groups under the Company -linked information. Research, practical and social implications: The equity market investors, data analyst and academicians may be benefited by depending on more objectively carved out relative importance of the antecedents based on the findings of this study. Originality/value: The value of the research lies in its endeavor to prioritize the antecedents that potentially impact the risk behaviour of investors, thereby facilitating informed decision-making.

As the global economy transitions towards net zero, it is conjectured that efficient financial markets reflect the risks involved with this transition. This hypothesis is empirically tested in this paper and signals are found of climate transition risk pricing in options, equity and bond markets, based on greenhouse gas emission levels. The analysis of recent developments in the option market suggests that investors perceive the oil and gas sector to have an elevated risk profile. In the equity and bond market for, particularly, the energy sector, investors appear to demand higher returns to compensate for a higher transition risk. In addition, it is found that the average maturity of newly issued bonds in the carbon intensive coal sector decreased, while the average maturity increased strongly in the renewables sector with low carbon emissions. The reduction of investors’ long-term exposure tothe coal sector signals concerns about its long-term viability, while the opposite is the case for the renewables sector. Nonetheless, it is not possible to conclude that climate risk pricing is consistent, as the statistical evidence is not overwhelming and not fully aligned across different markets. Furthermore, as climate indicators and emission data still contain important flaws, climate pricing based on these indicators could also be inadequate. Therefore, this paper aligns with the literature arguing that climate risk pricing is inconsistent and inadequate and that this is important for investors and risk managers to acknowledge. In addition, policymakers are urged to ensure that transition information, like emission data, is correct, timely and comparable to ensure its information value and usability.

We examine time-invariant and time-varying market integration across European stock markets. Financial integration increases during the sovereign debt crisis and is mainly driven by macroeconomic variables, market capitalization, political uncertainty, and technological developments. Higher market integration is associated with decreasing diversification benefits. During crises, investors select portfolios that are not only explained by firm characteristics.

We examine time-invariant and time-varying market integration across European stock markets. Financial integration increases during the sovereign debt crisis and is mainly driven by macroeconomic variables, market capitalization, political uncertainty, and technological developments. Higher market integration is associated with decreasing diversification benefits. During crises, investors select portfolios that are not only explained by firm characteristics.

Purpose: To understand how the COVID-19 pandemic has impacted investment and financial decisions of individuals in small towns in developing nations such as India. Methodology: A literature review was undertaken on COVID-19 and steps taken by the government to fight the pandemic. A sample survey was conducted to determine the impact of COVID-19 on individuals’ financial transactions in Madhya Pradesh (MP) . The respondents either belonged to the service sector or owned businesses. The relationship between the COVID-19 pandemic and change in investment decisions of individuals with respect to SIPs was studied. Findings: Significant association was found between measures taken to prevent the spread of COVID-19 (such as lockdown and travel restrictions) and individual income; such preventive measures directly impacted savings and investment behaviour. Indeed, respondents reported a 43% drop in SIP investments during the COVID-19 pandemic. While decline in investment was common to genders, the difference between percentage decline was statistically non-significant. Furthermore, investment behaviour did not vary with investor age. Research Implications: Results highlight the socioeconomic effects of the COVID-19 outbreak at the micro-level and may enable financial institutions and individuals to better handle such situations in future. The scope of the present research is limited. Future studies could consider larger samples and different contexts to gain deeper insights into the socioeconomic effects of the COVID-19 pandemic. Studies could also suggest policies and measures to help governments effectively deal with future crises. Originality/ Value: Hitherto, the impact of COVID-19 outbreak on investment decisions of individuals in Tier 3 cities had remained under-examined; this is one of the first studies to carry out such an investigation.

The purpose of this study is to investigate the effects of COVID-19 initial hit and the associated lockdowns effect on the semiconductor industry. The study emanates from factors of return on investment in the equity market using the CAPM model alongside the theories of EMH and behavioral finance. The semiconductor industry is represented by the SOX index, and the S&P 500 index representing the general markets. The mapping of movements in these indexes are done in a daily time series between 01/01/2018 to 29/11/2021 to find out the behavior of the market during a period of shock. The conclusion is that equity markets is affected by lockdowns, but also has other factors affecting the industry., Syftet med denna studie är att undersöka effekterna av COVID-19 och karantänregleringar på halvledarindustrin. Studien utgår från faktorer som risk och avkastning på aktiemarknaden genom att använda CAPM-modellen tillsammans med teorierna EMH och beteendeekonomi. Skiftet på aktiemarknaden observeras genom risk och avkastning på SOX-indexet som representerar halvledarindustrin och S&P 500-indexet som representerar de allmänna marknaderna. Kartläggningen av rörelser i dessa index görs i en daglig tidsserie mellan 01/01/2018 och 29/11/2021 för att ta reda på om det är värt att investera i halvledarindustrin under pandemin. Slutsatsen är att aktiemarknaderna kan överreagera på nyheter och att halvledarmarknaden initialt är motståndskraftig mot covid-19. Marknadensmotståndskraft följs dock av längre prissvängningar som resulterar i högre avkastning och lägre risk vilket gör investeringar i halvledarindustrin betydligt bättre än S&P 500.

Purpose: To understand how the COVID-19 pandemic has impacted investment and financial decisions of individuals in small towns in developing nations such as India. Methodology: A literature review was undertaken on COVID-19 and steps taken by the government to fight the pandemic. A sample survey was conducted to determine the impact of COVID-19 on individuals’ financial transactions in Madhya Pradesh (MP) . The respondents either belonged to the service sector or owned businesses. The relationship between the COVID-19 pandemic and change in investment decisions of individuals with respect to SIPs was studied. Findings: Significant association was found between measures taken to prevent the spread of COVID-19 (such as lockdown and travel restrictions) and individual income; such preventive measures directly impacted savings and investment behaviour. Indeed, respondents reported a 43% drop in SIP investments during the COVID-19 pandemic. While decline in investment was common to genders, the difference between percentage decline was statistically non-significant. Furthermore, investment behaviour did not vary with investor age. Research Implications: Results highlight the socioeconomic effects of the COVID-19 outbreak at the micro-level and may enable financial institutions and individuals to better handle such situations in future. The scope of the present research is limited. Future studies could consider larger samples and different contexts to gain deeper insights into the socioeconomic effects of the COVID-19 pandemic. Studies could also suggest policies and measures to help governments effectively deal with future crises. Originality/ Value: Hitherto, the impact of COVID-19 outbreak on investment decisions of individuals in Tier 3 cities had remained under-examined; this is one of the first studies to carry out such an investigation.

The purpose of this study is to investigate the effects of COVID-19 initial hit and the associated lockdowns effect on the semiconductor industry. The study emanates from factors of return on investment in the equity market using the CAPM model alongside the theories of EMH and behavioral finance. The semiconductor industry is represented by the SOX index, and the S&P 500 index representing the general markets. The mapping of movements in these indexes are done in a daily time series between 01/01/2018 to 29/11/2021 to find out the behavior of the market during a period of shock. The conclusion is that equity markets is affected by lockdowns, but also has other factors affecting the industry., Syftet med denna studie är att undersöka effekterna av COVID-19 och karantänregleringar på halvledarindustrin. Studien utgår från faktorer som risk och avkastning på aktiemarknaden genom att använda CAPM-modellen tillsammans med teorierna EMH och beteendeekonomi. Skiftet på aktiemarknaden observeras genom risk och avkastning på SOX-indexet som representerar halvledarindustrin och S&P 500-indexet som representerar de allmänna marknaderna. Kartläggningen av rörelser i dessa index görs i en daglig tidsserie mellan 01/01/2018 och 29/11/2021 för att ta reda på om det är värt att investera i halvledarindustrin under pandemin. Slutsatsen är att aktiemarknaderna kan överreagera på nyheter och att halvledarmarknaden initialt är motståndskraftig mot covid-19. Marknadensmotståndskraft följs dock av längre prissvängningar som resulterar i högre avkastning och lägre risk vilket gör investeringar i halvledarindustrin betydligt bättre än S&P 500.

Purpose: To understand how the COVID-19 pandemic has impacted investment and financial decisions of individuals in small towns in developing nations such as India. Methodology: A literature review was undertaken on COVID-19 and steps taken by the government to fight the pandemic. A sample survey was conducted to determine the impact of COVID-19 on individuals’ financial transactions in Madhya Pradesh (MP) . The respondents either belonged to the service sector or owned businesses. The relationship between the COVID-19 pandemic and change in investment decisions of individuals with respect to SIPs was studied. Findings: Significant association was found between measures taken to prevent the spread of COVID-19 (such as lockdown and travel restrictions) and individual income; such preventive measures directly impacted savings and investment behaviour. Indeed, respondents reported a 43% drop in SIP investments during the COVID-19 pandemic. While decline in investment was common to genders, the difference between percentage decline was statistically non-significant. Furthermore, investment behaviour did not vary with investor age. Research Implications: Results highlight the socioeconomic effects of the COVID-19 outbreak at the micro-level and may enable financial institutions and individuals to better handle such situations in future. The scope of the present research is limited. Future studies could consider larger samples and different contexts to gain deeper insights into the socioeconomic effects of the COVID-19 pandemic. Studies could also suggest policies and measures to help governments effectively deal with future crises. Originality/ Value: Hitherto, the impact of COVID-19 outbreak on investment decisions of individuals in Tier 3 cities had remained under-examined; this is one of the first studies to carry out such an investigation.

Using different measures of how the Covid-19 pandemic progresses we find that the level of credit risk among US blue chip companies increases in tandem with the Covid-19 virus spreading. The credit risk increases dramatically during the pandemic, but we find it to be short of the levels seen during the 2008–2009 financial crisis. Furthermore, we find weekly ups and downs in credit risk and virus impact to be significantly positively correlated throughout the pandemic. Finally, Basel II capital requirements increase drastically when the pandemic strikes but, again, not to the levels seen during the financial crisis.

Title: Direct and indirect effect of notes – for actors in a stock market Background: Notes make up a significant part of the company´s annual report, but does this information have any major impact? On one side, notes should lead to less information asymmetry, which positively affects the stock market and financial analysts forecasting precision as well as this relationship depends on different contexts. The question is also asked if all information presented in the notes is too extensive, which creates information overload for financial analysts. Purpose: The purpose is to explain the effects of more information in accounting notes for actors in equity markets in different contexts that have the same accounting standard. Method: The study applies a cross-sectional design together with a deductive approach to investigate whether the amount of note information has a relationship with financial analysts forecasting precision, stock volatility and stock liquidity. For these relationships, moderating effects will also be tested. The hypotheses arose through theories of asymmetric information, effective market hypothesis, cognitive load theory and system-orientated theories. Conclusion: The study rejects the relationship between note information and errors in financial analyst forecast, stock volatility as well as stock liquidity. However, the results show a significant positive relationship between note information and error in forecasting precision. Financial analyst forecasting precision show that the relationship is affected by three different contexts. Despite the relationship between note information and stock liquidity were rejected when tested on the overall sample is the relationship affected by two different contexts., Sammanfattning Titel: Direkta och indirekta effekter av noter - För aktörer på en aktiemarknad Bakgrund: Noter utgör en väsentlig del av företags årsredovisning men har den informationen någon större påverkan? På ena sidan bör noter leda till mindre informationsasymmetri, vilket påverkar aktiemarknaden och finansiella analytikers prognosprecision positivt samt att detta samband även beror på olika kontexter. Frågan ställs även ifall informationen som presenteras i notavsnittet är för omfattande, vilket skapar informationsöverbelastning för finansiella analytiker. Syfte: Syftet är att förklara effekten av ökad delgivande av information i redovisningsnoter på aktörer på aktiemarknaden i olika kontexter som tillämpar samma redovisningsstandard. Metod: Studien tillämpar en tvärrsnittsdesign tillsammans med en deduktiv ansats för att undersöka ifall mängden notinformation har något samband med finansiella analytikers prognosprecision, aktievolatilitet och aktielikviditet För dessa samband testas även modererande effekter. Hypoteserna uppstod genom teorierna asymmetrisk information, effektiva marknadshypotesen, kognitiv belastningsteori och systemorienterade teorier. Slutsats: Studien förkastar sambandet mellan notinformation och fel i prognosprecision, aktievolatilitet och aktielikviditet. Däremot visar resultatet ett positivt signifikant samband mellan notinformation och fel i prognosprecision. Finansiella analytikers prognosprecision uppvisar även att sambandet påverkas av tre olika kontexter. Trots att sambandet mellan notinformation och aktielikviditet förkastas när den testas på en övergripande nivå, påverkas sambandet av två olika kontexter.

Title: Direct and indirect effect of notes – for actors in a stock market Background: Notes make up a significant part of the company´s annual report, but does this information have any major impact? On one side, notes should lead to less information asymmetry, which positively affects the stock market and financial analysts forecasting precision as well as this relationship depends on different contexts. The question is also asked if all information presented in the notes is too extensive, which creates information overload for financial analysts. Purpose: The purpose is to explain the effects of more information in accounting notes for actors in equity markets in different contexts that have the same accounting standard. Method: The study applies a cross-sectional design together with a deductive approach to investigate whether the amount of note information has a relationship with financial analysts forecasting precision, stock volatility and stock liquidity. For these relationships, moderating effects will also be tested. The hypotheses arose through theories of asymmetric information, effective market hypothesis, cognitive load theory and system-orientated theories. Conclusion: The study rejects the relationship between note information and errors in financial analyst forecast, stock volatility as well as stock liquidity. However, the results show a significant positive relationship between note information and error in forecasting precision. Financial analyst forecasting precision show that the relationship is affected by three different contexts. Despite the relationship between note information and stock liquidity were rejected when tested on the overall sample is the relationship affected by two different contexts., Sammanfattning Titel: Direkta och indirekta effekter av noter - För aktörer på en aktiemarknad Bakgrund: Noter utgör en väsentlig del av företags årsredovisning men har den informationen någon större påverkan? På ena sidan bör noter leda till mindre informationsasymmetri, vilket påverkar aktiemarknaden och finansiella analytikers prognosprecision positivt samt att detta samband även beror på olika kontexter. Frågan ställs även ifall informationen som presenteras i notavsnittet är för omfattande, vilket skapar informationsöverbelastning för finansiella analytiker. Syfte: Syftet är att förklara effekten av ökad delgivande av information i redovisningsnoter på aktörer på aktiemarknaden i olika kontexter som tillämpar samma redovisningsstandard. Metod: Studien tillämpar en tvärrsnittsdesign tillsammans med en deduktiv ansats för att undersöka ifall mängden notinformation har något samband med finansiella analytikers prognosprecision, aktievolatilitet och aktielikviditet För dessa samband testas även modererande effekter. Hypoteserna uppstod genom teorierna asymmetrisk information, effektiva marknadshypotesen, kognitiv belastningsteori och systemorienterade teorier. Slutsats: Studien förkastar sambandet mellan notinformation och fel i prognosprecision, aktievolatilitet och aktielikviditet. Däremot visar resultatet ett positivt signifikant samband mellan notinformation och fel i prognosprecision. Finansiella analytikers prognosprecision uppvisar även att sambandet påverkas av tre olika kontexter. Trots att sambandet mellan notinformation och aktielikviditet förkastas när den testas på en övergripande nivå, påverkas sambandet av två olika kontexter.

Short-term interest rates are key drivers for the economy. The relation of interest rates to equities cannot easily translated into a direct equation, though. Therefore, the paper explains the impact of interest rates on the S&P500 price return through stock market volatility. Out of the several volatility measures, one of the VIX components, the variance risk premium has been chosen with its strong predictive power on stock returns. The key findings include the 10-month lag between the real Fed funds rate and variance risk premium, furthermore the trading strategy of buying the S&P500 10 months after a 5% or higher real Fed funds rate drop month-on-month, in case variance risk premium goes up.*****Short-term interest rates are key drivers for the economy. The relation of interest rates to equities cannot easily translated into a direct equation, though. Therefore, the paper explains the impact of interest rates on the S&P500 price return through stock market volatility. Out of the several volatility measures, one of the VIX components, the variance risk premium has been chosen with its strong predictive power on stock returns. The key findings include the 10-month lag between the real Fed funds rate and variance risk premium, furthermore the trading strategy of buying the S&P500 10 months after a 5% or higher real Fed funds rate drop month-on-month, in case variance risk premium goes up.

This paper explores the dynamic relationship between stock market fluctuations and the business cycle in three main economies (U.S.A, United Kingdom and Japan) highlighting its individual and collective trends. Given the forward-looking behavior of stock market investors, the paper explores the possibility of predicting business cycles turning points using the stock market factor and the available financial variables.For this purpose, the author has conducted a logistic regression model that is used to predict short and mid-term turning points of the business cycle based on the current equity market. This approach allows discovering the probabilities of the economy being in a recession or an expansion in each time period. These probabilities are determined based on several financial variables that are assumed to have an influence on the real economy with the outcome of extracting what implied business cycle expectations are embedded in the current equity market behavior. The estimated model can predict business cycle turning points with a reasonable accuracy and the findings describe the expectations from the macro cycle over the mid-term based on the past and current patterns of the stock market fluctuations. *****This paper explores the dynamic relationship between stock market fluctuations and the business cycle in three main economies (U.S.A, United Kingdom and Japan) highlighting its individual and collective trends. Given the forward-looking behavior of stock market investors, the paper explores the possibility of predicting business cycles turning points using the stock market factor and the available financial variables.For this purpose, the author has conducted a logistic regression model that is used to predict short and mid-term turning points of the business cycle based on the current equity market. This approach allows discovering the probabilities of the economy being in a recession or an expansion in each time period. These probabilities are determine

Previous research has shown a link between investor sentiment and stock market movement, as well as the correlation of search engine queries and market volatility. This research aims to extend these findings by predicting the exact firm-level daily return of Apple and Amazon. The daily returns are predicted with an artificial neural network model. In theory, this model is able to learn similarly to a human brain, it finds the relevance of individual inputs (investor sentiment and investor interest to trade) and then computes daily returns based on the inputs’ significance. Even though the model used in this research has an ability to learn, it fails to predict exact daily returns. However, the model is able to predict the positive or negative direction of the stock returns fairly accurately.

This research article illustrates different types of statistical methodologies with the objective of making an adequate estimate for value at risk (VaR), implementing the use of semi-parametric methods and a flexible class of copulas named VineCopulas. It was found that it is possible to explain volatility and dynamic market movements in estimation techniques by including the management of complex patterns of non-linear dependence in the modeling of financial assets. The flexibility of the models presented with the use of copulas and semi-parametric methodologies, such as quasi-maximum likelihood estimate (QMLE) and extreme value theory (EVT), allowed the adequate estimation of VaR in the Colombian equity market., Resumen Este articulo de investigación ilustra distintos tipos de metodologías estadísticas con el objetivo de realizar una estimación adecuada para el valor en riesgo (VaR), implementando el uso de metodos semiparamétricos y una clase flexible de cópulas nombradas como (VineCopulas) encontrando que en las tecnicas de estimación al incluir el manejo de los patrones complejos de dependencia no lineal en el modelado de los activos financieros, se logra explicar la volatilidad y los movimientos dinámicos del mercado. La flexibilidad de los modelos presentados con el uso de Cópulas y metodologías semiparamétricas como la quasiverosimilitud (QMLE) y teoría de valor extremo (EVT) permitió la adecuada estimación del VaR en el mercado de renta variable Colombiano.

This research article illustrates different types of statistical methodologies with the objective of making an adequate estimate for value at risk (VaR), implementing the use of semi-parametric methods and a flexible class of copulas named VineCopulas. It was found that it is possible to explain volatility and dynamic market movements in estimation techniques by including the management of complex patterns of non-linear dependence in the modeling of financial assets. The flexibility of the models presented with the use of copulas and semi-parametric methodologies, such as quasi-maximum likelihood estimate (QMLE) and extreme value theory (EVT), allowed the adequate estimation of VaR in the Colombian equity market., Resumen Este articulo de investigación ilustra distintos tipos de metodologías estadísticas con el objetivo de realizar una estimación adecuada para el valor en riesgo (VaR), implementando el uso de metodos semiparamétricos y una clase flexible de cópulas nombradas como (VineCopulas) encontrando que en las tecnicas de estimación al incluir el manejo de los patrones complejos de dependencia no lineal en el modelado de los activos financieros, se logra explicar la volatilidad y los movimientos dinámicos del mercado. La flexibilidad de los modelos presentados con el uso de Cópulas y metodologías semiparamétricas como la quasiverosimilitud (QMLE) y teoría de valor extremo (EVT) permitió la adecuada estimación del VaR en el mercado de renta variable Colombiano.

Previous research has shown a link between investor sentiment and stock market movement, as well as the correlation of search engine queries and market volatility. This research aims to extend these findings by predicting the exact firm-level daily return of Apple and Amazon. The daily returns are predicted with an artificial neural network model. In theory, this model is able to learn similarly to a human brain, it finds the relevance of individual inputs (investor sentiment and investor interest to trade) and then computes daily returns based on the inputs’ significance. Even though the model used in this research has an ability to learn, it fails to predict exact daily returns. However, the model is able to predict the positive or negative direction of the stock returns fairly accurately.

This Study uses a period between 1939-2017 to analyse calendar anomalies on the Swedish equity market. We test whether calendar anomalies’ return deviates from the return of ordinary trading days. Our result shows that the day of the week effect, weekend effect, turn of the year, turn of the month and holiday effect have had an impact on the daily rate of return, both domestic and abroad. Similar to international markets the calendar anomalies in Sweden start to be less prominent during 1980’s. Also, our result displays that, since the 1970’s, UK holidays have had a negative impact on the daily return in Sweden. In contrast, American holidays have since the 2010’s had a positive impact. Turn of the year and turn of the month in Sweden have been more clustered around the first trading day of the year and month, compared to studies on other equity markets. Negative returns on Tuesdays, rather than Mondays, do also distinguish Sweden’s equity market relative to other markets.

This Study uses a period between 1939-2017 to analyse calendar anomalies on the Swedish equity market. We test whether calendar anomalies’ return deviates from the return of ordinary trading days. Our result shows that the day of the week effect, weekend effect, turn of the year, turn of the month and holiday effect have had an impact on the daily rate of return, both domestic and abroad. Similar to international markets the calendar anomalies in Sweden start to be less prominent during 1980’s. Also, our result displays that, since the 1970’s, UK holidays have had a negative impact on the daily return in Sweden. In contrast, American holidays have since the 2010’s had a positive impact. Turn of the year and turn of the month in Sweden have been more clustered around the first trading day of the year and month, compared to studies on other equity markets. Negative returns on Tuesdays, rather than Mondays, do also distinguish Sweden’s equity market relative to other markets.

Four technical indicators are tested on 14 return-series, covering the years 2000 – 2016 and representing 3 different asset types: equity, commodity and currency, with a further division of equity into developed and developing markets. The indicators assessed are Moving Averages with fixed and variable holding periods, MACD, and RSI. The purpose is to determine if there are any differences in the effectiveness of technical trading between the markets. Furthermore, the technical indicators tested, are evaluated for their predictive power using the t-test, and profitability, taking adequate market conditions into account. A further purpose of the study is to observe if markets are, in line with previous research, becoming more efficient with time, especially taking the introduction of ETFs into account. The study finds that all technical indicators perform poorly in terms of profitability and predictive power. The market type that shows most profitability is developing equity markets, although the results are not conclusive. This result supports the notion that markets are becoming increasingly efficient and gives merit to the efficient market hypothesis.

Four technical indicators are tested on 14 return-series, covering the years 2000 – 2016 and representing 3 different asset types: equity, commodity and currency, with a further division of equity into developed and developing markets. The indicators assessed are Moving Averages with fixed and variable holding periods, MACD, and RSI. The purpose is to determine if there are any differences in the effectiveness of technical trading between the markets. Furthermore, the technical indicators tested, are evaluated for their predictive power using the t-test, and profitability, taking adequate market conditions into account. A further purpose of the study is to observe if markets are, in line with previous research, becoming more efficient with time, especially taking the introduction of ETFs into account. The study finds that all technical indicators perform poorly in terms of profitability and predictive power. The market type that shows most profitability is developing equity markets, although the results are not conclusive. This result supports the notion that markets are becoming increasingly efficient and gives merit to the efficient market hypothesis.

The Brexit referendum outcome is nothing short of an earthquake affecting stock markets across the world, wiping US$2 trillion off their value. Turmoil in offshore markets can have a large impact on Australia’s economy, markets and trade. To measure these impacts, this and the proposed future research will apply econometric techniques to model dependence between Global, Australian and European Union stock markets. This study will formulate improved understandings of the interdependency of markets, and lead to recommendations for managing these impacts to help policy makers develop a stronger economic framework for Australia, and political leaders to develop constructive relationships with the UK and EU.

Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.

The Brexit referendum outcome is nothing short of an earthquake affecting stock markets across the world, wiping US$2 trillion off their value. Turmoil in offshore markets can have a large impact on Australia’s economy, markets and trade. To measure these impacts, this and the proposed future research will apply econometric techniques to model dependence between Global, Australian and European Union stock markets. This study will formulate improved understandings of the interdependency of markets, and lead to recommendations for managing these impacts to help policy makers develop a stronger economic framework for Australia, and political leaders to develop constructive relationships with the UK and EU.

Jianan Guo’s thesis focus on the dividend payout policy and its interaction with corporate governance mechanism, operating performance and asset pricing in the Chinese equity market. His thesis contributes to the empirical study and literature on the corporate finance in emerging markets.

This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated longrun stock price misalignments to date booms and busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our results show that China’s equity prices can be reasonable well modelled using fundamentals, but that various booms and busts can be identified. Policy actions, either taking the form of deposit rate changes, equity market reforms or excess liquidity, seem to have significantly contributed to these misalignments.

This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated long-run stock price misalignments to date booms and busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our results show that China’s equity prices can be reasonable well modelled using fundamentals, but that various booms and busts can be identified. Policy actions, either taking the form of deposit rate changes, equity market reforms or excess liquidity, seem to have significantly contributed to these misalignments

Asset Pricing Theory addresses the relationship of security return with security risk which is caused by the unknown possibility of returns. Determining the correct and accurate expected returns has been the major concern surrounding Asset Pricing Theory. For almost half a century, the Capital Asset Pricing Model, Sharpe (1964), Linter (1965) and Mossin (1966), has been the corner stone for determining the asset risk/return relationship. It relies on beta known as the systematic risk in determining returns. However in the 1980’s, criticism arose, which caused empirical researchers and financial practitioners to move away from the so known model. Miller (1999) and many professionals came to agree that the CAPM is no longer a sufficient model to explain the cross section of average returns. A recent alternative was introduced by the work of Fama and French (1993) who brought around two additional risk proxies not shown in the CAPM, one is the small size factor, indicating that smaller firms on average earned more than bigger firms and second book to market equity, demonstrating that firms with higher book to market ratios earn more than firms with lower book to market ratios. The two factors experienced abnormal returns that were not captured by CAPM’s beta. Looking briefly at some of the literature of Fama and French, their (1992) paper proved that security risk is associated with firm size as well as book to market equity. In 1993, they examined a time series approach to their work that was not apparent in their earlier paper. In 1995, their work confirms that book to market equity and size proxy for the sensitivity of the risk factor that explains stocks returns, and secondly that size and book to market equity are explained by profitability and the earnings behavior. In 1996, Fama and French prove that many of CAPM’s anomalies disappear when using their multi index model. Fama and French (1998) discovered that value and small cap stocks earn higher returns for the

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging markets from February 1976 to December 2006. A liberalization period is constructed to capture all identified market openings for each market. The purpose of this study is three-fold. First, a univariate GARCH methodology is utilized to examine the time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally, the study proposes a unique explanation for the differential impact of liberalization on volatility across countries. Univariate and multivariate GARCH estimates support previous empirical studies showing the differential impact of liberalization across countries. Results show countries that experienced reduced volatility during the post-liberalization period were significantly integrated with the world market during the sample period. Interestingly, our findings imply that the impact of stock market liberalization on equity market volatility is conditioned by the degree of market integration prior to liberalization and that integration leads to lower volatility over time.

I would like to especially thank my advisor, Professor Pete Ferderer, for his guidance and support throughout the year. I am very grateful for his insights on this topic. My appreciation also goes out to Professor Gary Krueger and Professor Liang Ding, for providing me with further advice. I would also like to thank Katie Kong, for her assistance in helping me collect important data for this project. Last but not least, I would like to acknowledge Gaurang Mehta, Siddharth Jha and especially Linh To, for supporting me through the completion of this thesis.

The final aim of this thesis is to evaluate opportunities and risk factors of investing in China, in terms of pros and cons, and also to elaborate an optimal portfolio strategy. The pros regarding investments in China are (1) the economic liberalisation and reforms of the institutional framework; (2) the Chinese market’s huge potential and the high-growth IT and telecommunications sectors; (3) a favourable macroeconomic climate and an impressive development. The cons are (1) the mismanagement of the state-run companies; (2) the mainland exchanges’ intra-year volatility; (3) the export sector’s performance might decline; (4) the institutional framework is largely responsible for many risk factors; (5) a tougher competition climate after the entry in the WTO. Also, our calculations on an optimal portfolio strategy suggest that less risk-averse investors may want to consider the World/Shanghai portfolio, whereas the World/Shenzhen portfolio might instead suit the preferences of more risk-averse investors.

The final aim of this thesis is to evaluate opportunities and risk factors of investing in China, in terms of pros and cons, and also to elaborate an optimal portfolio strategy. The pros regarding investments in China are (1) the economic liberalisation and reforms of the institutional framework; (2) the Chinese market’s huge potential and the high-growth IT and telecommunications sectors; (3) a favourable macroeconomic climate and an impressive development. The cons are (1) the mismanagement of the state-run companies; (2) the mainland exchanges’ intra-year volatility; (3) the export sector’s performance might decline; (4) the institutional framework is largely responsible for many risk factors; (5) a tougher competition climate after the entry in the WTO. Also, our calculations on an optimal portfolio strategy suggest that less risk-averse investors may want to consider the World/Shanghai portfolio, whereas the World/Shenzhen portfolio might instead suit the preferences of more risk-averse investors.

Golab, A., Knight, K., & Zamojska, A. (2016, December). The era of Brexit and its influence on European Union member states, Europe and the rest of the world. In ECU Business Doctoral and Emerging Scholars Colloquium 2016 (pp. 177-179). Joondalup, Western Australia. Available here

peer-reviewed, This thesis is concerned with the predictability of equity market performance in China while accounting for the possibility of model instability. The study of return predictability, particularly that on time-varying investment opportunities, is however, not that common and knowledge regarding trading strategies within the Chinese financial market is relatively scarce. Previous return predictability studies have not focused on economic gains in context of asset allocation nor attempted to consider the instability in model parameters when evaluating forecasting performance/making forecasts of equity returns. In the existing literature on the Chinese market, there has been little attempt to analyse return predictability in equity markets. It is in light of a noticeable deficiency in return predictability research within a Chinese context that the kernel of this research is concerned. Specifically, this thesis examines the statistical and the economic significance on the predictability of both equity market downturns and equity market returns in China while allowing for model instability. Conducting this research in different equity markets and comparing against each other provides a basis on which to address some of the knowledge deficit in this area. The objective of this research, therefore, questions the predictability of equity market performance in China. Specifically, it questions whether predictor variables, including those under macroeconomic, sentiment, and technical categories are able to predict and affect differences in the behavior of domestic equity markets. The research approach is based on a quantitative approach using statistical tests well documented in the literature. A naturally deductive research process emerged as the methodological paradigm of choice in this instance. Primarily an empirical approach was selected and ultimately the study examined the return performance of a population of 3 equity market indices in China based on 43 predictor varia

peer-reviewed, This thesis is concerned with the predictability of equity market performance in China while accounting for the possibility of model instability. The study of return predictability, particularly that on time-varying investment opportunities, is however, not that common and knowledge regarding trading strategies within the Chinese financial market is relatively scarce. Previous return predictability studies have not focused on economic gains in context of asset allocation nor attempted to consider the instability in model parameters when evaluating forecasting performance/making forecasts of equity returns. In the existing literature on the Chinese market, there has been little attempt to analyse return predictability in equity markets. It is in light of a noticeable deficiency in return predictability research within a Chinese context that the kernel of this research is concerned. Specifically, this thesis examines the statistical and the economic significance on the predictability of both equity market downturns and equity market returns in China while allowing for model instability. Conducting this research in different equity markets and comparing against each other provides a basis on which to address some of the knowledge deficit in this area. The objective of this research, therefore, questions the predictability of equity market performance in China. Specifically, it questions whether predictor variables, including those under macroeconomic, sentiment, and technical categories are able to predict and affect differences in the behavior of domestic equity markets. The research approach is based on a quantitative approach using statistical tests well documented in the literature. A naturally deductive research process emerged as the methodological paradigm of choice in this instance. Primarily an empirical approach was selected and ultimately the study examined the return performance of a population of 3 equity market indices in China based on 43 predictor varia

peer-reviewed, This thesis is concerned with the predictability of equity market performance in China while accounting for the possibility of model instability. The study of return predictability, particularly that on time-varying investment opportunities, is however, not that common and knowledge regarding trading strategies within the Chinese financial market is relatively scarce. Previous return predictability studies have not focused on economic gains in context of asset allocation nor attempted to consider the instability in model parameters when evaluating forecasting performance/making forecasts of equity returns. In the existing literature on the Chinese market, there has been little attempt to analyse return predictability in equity markets. It is in light of a noticeable deficiency in return predictability research within a Chinese context that the kernel of this research is concerned. Specifically, this thesis examines the statistical and the economic significance on the predictability of both equity market downturns and equity market returns in China while allowing for model instability. Conducting this research in different equity markets and comparing against each other provides a basis on which to address some of the knowledge deficit in this area. The objective of this research, therefore, questions the predictability of equity market performance in China. Specifically, it questions whether predictor variables, including those under macroeconomic, sentiment, and technical categories are able to predict and affect differences in the behavior of domestic equity markets. The research approach is based on a quantitative approach using statistical tests well documented in the literature. A naturally deductive research process emerged as the methodological paradigm of choice in this instance. Primarily an empirical approach was selected and ultimately the study examined the return performance of a population of 3 equity market indices in China based on 43 predictor varia

peer-reviewed, This thesis is concerned with the predictability of equity market performance in China while accounting for the possibility of model instability. The study of return predictability, particularly that on time-varying investment opportunities, is however, not that common and knowledge regarding trading strategies within the Chinese financial market is relatively scarce. Previous return predictability studies have not focused on economic gains in context of asset allocation nor attempted to consider the instability in model parameters when evaluating forecasting performance/making forecasts of equity returns. In the existing literature on the Chinese market, there has been little attempt to analyse return predictability in equity markets. It is in light of a noticeable deficiency in return predictability research within a Chinese context that the kernel of this research is concerned. Specifically, this thesis examines the statistical and the economic significance on the predictability of both equity market downturns and equity market returns in China while allowing for model instability. Conducting this research in different equity markets and comparing against each other provides a basis on which to address some of the knowledge deficit in this area. The objective of this research, therefore, questions the predictability of equity market performance in China. Specifically, it questions whether predictor variables, including those under macroeconomic, sentiment, and technical categories are able to predict and affect differences in the behavior of domestic equity markets. The research approach is based on a quantitative approach using statistical tests well documented in the literature. A naturally deductive research process emerged as the methodological paradigm of choice in this instance. Primarily an empirical approach was selected and ultimately the study examined the return performance of a population of 3 equity market indices in China based on 43 predictor varia

peer-reviewed, This thesis is concerned with the predictability of equity market performance in China while accounting for the possibility of model instability. The study of return predictability, particularly that on time-varying investment opportunities, is however, not that common and knowledge regarding trading strategies within the Chinese financial market is relatively scarce. Previous return predictability studies have not focused on economic gains in context of asset allocation nor attempted to consider the instability in model parameters when evaluating forecasting performance/making forecasts of equity returns. In the existing literature on the Chinese market, there has been little attempt to analyse return predictability in equity markets. It is in light of a noticeable deficiency in return predictability research within a Chinese context that the kernel of this research is concerned. Specifically, this thesis examines the statistical and the economic significance on the predictability of both equity market downturns and equity market returns in China while allowing for model instability. Conducting this research in different equity markets and comparing against each other provides a basis on which to address some of the knowledge deficit in this area. The objective of this research, therefore, questions the predictability of equity market performance in China. Specifically, it questions whether predictor variables, including those under macroeconomic, sentiment, and technical categories are able to predict and affect differences in the behavior of domestic equity markets. The research approach is based on a quantitative approach using statistical tests well documented in the literature. A naturally deductive research process emerged as the methodological paradigm of choice in this instance. Primarily an empirical approach was selected and ultimately the study examined the return performance of a population of 3 equity market indices in China based on 43 predictor varia