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We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative relationship between the tail beta and future returns. The effect is robust to many considerations and cannot be explained by established pricing factors or alternative risk or illiquidity measures. We link our findings to specific characteristics of the Chinese stock market. [ABSTRACT FROM AUTHOR]

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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]

This paper proposes a novel and intuitive indicator to measure market systemic risk. This risk indicator is established by the understanding of market's needs for risk diversification through cross-border investment and its impact on the stability of global financial system as a whole. We formulate the risk indicator based on a measure of cross-sectional dependence that is robust to persistent and long-memory stochastic processes. In an analysis of 14 global equity markets and 10 hedging assets from January 1999 to December 2021, we demonstrate the usefulness of our indicator by showing its ability of accurately tracking international market fluctuations and its out-of-sample performance for predicting the U.S. equity market. We further analyze the impact of the U.S. macroeconomics news on market systemic risk, with the objectiveness of both measuring the change of market systemic risk and understanding how it links to various macroeconomic factors. In particular, we find that, in the long-run, monetary policy actions have a steady impact on market systemic risk regardless of whether policy changes are expected. • Novel, easy-to-compute measure of market systemic risk. • Accurate tracking of international market fluctuations. • Improved prediction of U.S. equity market using systemic risk indicator. • Impact of U.S. macroeconomics news on market systemic risk. • Long-term effects of expected and unexpected monetary policy on systemic risk. [ABSTRACT FROM AUTHOR]

The present paper continues the studies of Pop et al. (2014) and Pop et al. (2015) and completes the previous studies by presenting a brief survey of RASDAQ’s entire active life, the profile of RASDAQ indices, and focusing on the last 911 RASDAQ listed companies: their profile and their decision to be transferred on other market segments or to be delisted. The results of the present study confirms, from another viewpoint, the findings of Pop et al. (2014) and Pop et al. (2015): RASDAQ most important role was to assist the ownership concentration process, thus this role was fulfilled much later compared with the similar markets that existed within the former communist countries. The fulfillment of this role was confirmed by: a) no important trading activity for most of the listed companies between 2013 and 2015; b) weak January and weekend effects; c) low free float. Furthermore, by choosing to put an end to RASDAQ, the Romanian authorities acknowledged the fulfillment of this role and the fact that a radical transformation of this controversial market was almost impossible.

Based on the theory of cointegrationfor index RTS oil and gas for three time periods model of the relationship withthe factors of conjuncture in the globalfinancial market were built. Transformation of models under the influence of the global financial and economic crisis was shown. The changes were explained from an economic point of view

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]

Expansionary monetary policy is necessary to respond to financial crises. However, if Central Bank asset purchase initiatives are too large or last too long, they can lead to explosive increases in asset prices which add to the risk of a future crisis. This article employs two models including the Campbell-Shiller and Generalized Supremum Augmented Dickey Fuller techniques to search for bubbles in the US equity, housing and bond markets over the past eight years. Although, we find that prices in equities and housing have risen following Federal Reserve intervention, there is little indication of asset price bubbles. There is evidence of explosive bond price increases from September of 2011 to February of 2013. [ABSTRACT FROM AUTHOR]

The ups and downs of Kuwait's economy since the 1970s are often viewed as driven by two main factors: domestic shocks and oil price shocks. While these two factors have been visibly important in shaping economic fluctuations and growth in Kuwait, their effects have been conditioned by and combined with influences from other domestic and global factors. In particular, GDP growth, inflation, interest rates, and equity prices in the rest of the world are likely to have direct or indirect impacts on Kuwait's economy, though little is known about the significance of such effects. Assessing the role of various factors on the Kuwait's macroeconomic process is important for understanding the trends and fluctuations in the economy and for forecasting and policy analysis. To this end we use a Global VAR (GVAR) model framework to disentangle the size and speed of the transmission of different global macroeconomic shocks originating from three systemic countries (China, Euro Area, and the US) to Kuwait, as well as looking at the implications of shocks to both global equity and oil markets for the Kuwaiti economy. Our approach uses a dynamic multicountry framework for the analysis of the international transmission. The framework comprises 28 country/region- specific models, These individual models are solved in a global setting where core macroeconomic variables of each economy are related to corresponding foreign variables. The model has both real and financial variables. This framework is able to account for various transmission channels, including not only trade relationships but also financial and commodity price linkages. [ABSTRACT FROM AUTHOR]

ABC Private Limited2, a manufacturer of auto parts was supplying majority of its products to well-known Indian original equipment manufacturers (OEMs) including Ashok Leyland, Swaraj Mazda, Escorts, Bharat Gears, and Mahindra and Mahindra. In FY 2012-13, ABC Private Limited intended to acquire majority state in Devki Enterprises Limited3 (DEL). The management of the company scouted for alternative sources of funds for clinching the deal as bank financing was not permissible for takeover in accordance with Reserve Bank of India (RBI) norms and the equity market not easily accessible. The company already had private equity investment, therefore decided to raise further resources from short term & long term borrowings and by selling some fixed assets for this acquisition. After the successful takeover of DEL, the higher increase in the current liabilities as compared to the current assets caused liquidity issues for ABC Ltd. The problem was aggravated further by reduced profits by the end of FY 2014-15. Now the company wanted to offer exit route to private equity fund and was looking for various alternative sources of finance for resolving the impending liquidity issues and further technical upgradation of the plant. [ABSTRACT FROM AUTHOR]