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In this study, we examined the COVID-19 effect in the global scale on the global retail markets with the Event Study methodology. The sample used in the study consists of data from 10 developed and developing countries in six continents, which are obtained from Reuters DataStream. The top large-cap, blue-chip companies in the stock market for each economies were included in the study, which is totaled of 91 active retail sector shares and major indices. Based on our findings; the cumulative average of abnormal returns (CAAR) of the retailers in three Event Studies in question showed a distortion in the efficiency of the formation of the retail prices at the 0.01, 0.01, and 0.05 significance levels and the global retail stock prices overreacted more. [ABSTRACT FROM AUTHOR]

Leveraging the availability of a large panel of signed trade data in the corporate bond market, we explore how machine learning methods can be used to improve upon standard trade direction classification methods in markets in general, both with and without pre-trade transparency. Using the signed data set allows us to show how both the trading and information environment at the time of the trade critically affect the accuracy of existing trade classification rules in general and also illustrate the importance of optimizing the feature set in correctly classifying trade direction. These insights extend to the equity market. [ABSTRACT FROM AUTHOR]

The study examines the interdependence between the returns of Nifty 50 Equity Index and Agricultural Commodities cotton, mentha oil, guar seed, jeera, turmeric and coriander over a period of time. By applying wavelet analysis, the interdependence of agricultural commodities and equity index during the COVID-19 pandemic, identified periods of both strong and weak correlations between these markets. It is critical to note that the reasons for the link between agricultural commodities and equity indexes during COVID-19 pandemic may vary according to market conditions, regional considerations and other contextual factors. According to this study, Nifty 50 has higher co-movements with MCX Cotton, MCX Mentha Oil, and NCDEX Turmeric and lower co-movements with NCDEX Guar seed, NCDEX Jeera and NCDEX Coriander. The low coherence intervals indicate the ability for commodities investments to diversify in the face of a pandemic such as Covid-19. The observed trends by commodity category revealed their potential utility in the development of cross-asset hedge strategies. Thus, combining commodities and stocks increases performance over a variety of investment horizons. [ABSTRACT FROM AUTHOR]

The study applies the effective transfer entropy (ETE) and Renyi transfer entropy (RTE) to quantify the information flow between government bonds and equity market of G7 countries. The magnitude and direction of information flow between these two markets are dynamic across the state of the markets and time thus confirming their adaptiveness to the evolution of cross-market information flow under different market conditions over time. Although information flow from the equity dominates the flow from the bond market, it is dynamic over the time and state of the markets. However, during the period of market turbulence, the bond dominates the equity market. This study is the first of its kind to validate the adaptive market hypothesis using the novel transfer entropy framework in the bond and equity market. [ABSTRACT FROM AUTHOR]

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. [ABSTRACT FROM AUTHOR]

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]

By endogenizing foreign direct investment (FDI), trade openness, and economic growth, we analyze the influence of stock market development on the green economic recovery using the panel dataset for selected developing economies from the period of 2000 to 2020. The unique panel quantile regression (PQR) approach is used to examine the impact of stock market–green recovery nexus. Importantly, our empirical findings explain the effect of stock markets on the development of green economic recovery in the selected developing economies. According to the results, increasing trade openness and economic development have a considerable impact on technological innovation and reducing the emission of GHGs. Additionally, PQR data show that green recovery initiatives are encouraged in developing economies with high (0.70) quantile stock markets where equity markets are comparatively more developed are encouraged. By promoting trade openness in developing economies, financial development promotes green economic recovery. Our study also contributes significantly to the empirical literature and makes crucial recommendations for policy formation. [ABSTRACT FROM AUTHOR]

AbstractThe present study conducts a dynamic conditional cross-correlation and time–frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form of financial contagion between cryptocurrency and stock markets in both advanced and emerging economies, during the black swan event of the COVID-19 crisis. Second, the study examines the hedging and safe-haven properties of cryptocurrencies against equity markets, before and during periods of financial upheaval triggered by the COVID-19 pandemic. Two econometric models are used: (1) the dynamic conditional correlation (DCC) GARCH and (2) the wavelet analysis models. Using the DCC GARCH model, the study found the evidence of high conditional correlations between cryptocurrency and equity markets. The high conditional correlation was mostly detected in periods of financial turmoil corresponding to the first quarter and the second quarter of 2020. The increase in conditional correlation during periods of financial upheaval (compared to a tranquil period) indicates the presence of the pure form of financial contagion. The wavelet cross-correlation analysis showed the evidence of positive cross-correlation between the Bitcoin and the equity markets during period of financial turmoil. The cross-correlation was identified in both short and long (coarse) scales. In short scales, the equity markets lead the cryptocurrency market, while the cryptocurrency market leads equity markets in coarse scales. The findings of the present study revealed that the degree of interdependence between cryptocurrency and equity markets has substantially increased during the COVID-19 period, and this has negated the safe-haven and hedging benefits of cryptocurrencies over equity markets.

This paper investigates the divergence in investor behaviour between the United States and China following the abolition of the Chinese presidential term limit in 2018, which may, in part, have reflected the heterogeneous opinions expressed in public online media regarding this event. Compared with Chinese investors, the sentiment among US investors was considerably more pessimistic. Accordingly, we find that Chinese companies listed in the United States significantly underperformed relative to a sample of propensity score‐matched firms listed in China. Additionally, we find that the political connectedness of firms to the Chinese government strongly influenced the stock prices of US‐listed Chinese firms. [ABSTRACT FROM AUTHOR]

In the realm of financial markets, understanding the interplay between mutual fund investment growth and equity market performance is paramount for investors, fund managers, and policymakers alike. This empirical study embarks on a comprehensive exploration of this intricate relationship, employing advanced econometric techniques to dissect historical data and uncover underlying patterns and dynamics. Building upon hypotheses positing significant associations between mutual fund investment growth and equity market performance, the study delves into regression analysis and statistical modelling to discern causality and quantify the impact of mutual fund investments on equity market behavior. In addition, the study investigates the influence of mutual fund performance metrics, such as annualized return, on equity market returns, shedding light on the part of mutual funds in shaping market outcomes. Despite inherent limitations, including data constraints and potential endogeneity issues, the findings contribute valuable empirical evidence and actionable insights for stakeholders navigating financial markets. Through its rigorous empirical approach and robust analytical framework, this study advances financial research and informs decision-making processes, empowering stakeholders to navigate the complex landscape of investments and market participation effectively.The findings contribute to a deeper understanding of how mutual fund investments impact equity market performance, offering valuable implications for the various players in navigating financial markets.

We contribute to the growing literature examining spill-over effects between international equity markets in the "new normal" disposition and extend upon previous studies to include more recent periods covering the Russia–Ukraine war. Using the Diebold and Yilmaz network method, we estimate the returns and volatility connectedness between developed, emerging and African markets over the period 11 March 2020 to 30 June 2022. Our findings can be summarised in three points. Firstly, the static connectedness analysis informs us that emerging and African (developed) markets are the main net receivers (transmitters) of systemic shocks over the sample period. Secondly, the time-varying connectedness analysis further informs us that network connectedness is higher during the Russia–Ukraine war compared to the announcement of Covid-19 variants. Thirdly, the time-varying market specific analysis distinguishes which individual equities are most or least vulnerable to systemic shocks during the Covid-19 pandemic and Russia–Ukraine war. These findings are relevant for investors in their search for better hedging opportunities in equity markets. Moreover, market regulators should take heed of our findings as the observed build-up of systemic risk following the Russia–Ukraine conflict is an indicative of contagion effects experienced. [ABSTRACT FROM AUTHOR]

Conducting, to our knowledge, the largest study ever of 5-min equity market returns using state-of-the-art machine learning models trained on the cross-section of lagged market index constituent returns, we show that regularized linear models and nonlinear tree-based models yield significant market return predictability. Ensemble models perform the best across time and their predictability translates into economically significant Sharpe ratios of 0.98 after transaction costs. These results provide strong evidence that intraday market returns are predictable during short time horizons, beyond what can be explained by transaction costs. Furthermore, we show that constituent returns hold significant predictive information that is not contained in market returns or in price trend and liquidity characteristics. Consistent with the hypothesis that predictability is driven by slow-moving trader capital, predictability decreased post-decimalization, and market returns are more predictable during the middle of the day, on days with high volatility or illiquidity, and in financial crisis periods. [ABSTRACT FROM AUTHOR]

For short-term investments in equity markets, investors use price points, candlestick patterns, moving averages, support and resistance levels, trendlines, price patterns, relative strength index, and moving average convergence-divergence as reference(s) for making decisions. This study investigates whether investors use daily price extremes (highest and lowest prices for the day) for making short-term investments or trading decisions in the context of the Indian equity market. Using 6,902 observations of daily data of the NIFTY 50 index since its launch, it is observed that daily price extremes (high or low) have no impact on opening returns of the next trading day. Based on the dummy regression analysis, next-day opening returns were found to be statistically significant, which implies the presence of momentum behavior. However, insignificant coefficients for high or low-price extremes of the day mean that investors do not use them as an anchor or reference point for decisions. Results are consistent over time and robust to the rising or falling markets. Further, opening returns were seen to be more volatile than closing returns in the first half of the sample, and they are less volatile in the second half, implying that markets have become more efficient in the last few years.

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 to the 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. [ABSTRACT FROM AUTHOR]

The present study conducts a dynamic conditional cross-correlation and time–frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form of financial contagion between cryptocurrency and stock markets in both advanced and emerging economies, during the black swan event of the COVID-19 crisis. Second, the study examines the hedging and safe-haven properties of cryptocurrencies against equity markets, before and during periods of financial upheaval triggered by the COVID-19 pandemic. Two econometric models are used: (1) the dynamic conditional correlation (DCC) GARCH and (2) the wavelet analysis models. Using the DCC GARCH model, the study found the evidence of high conditional correlations between cryptocurrency and equity markets. The high conditional correlation was mostly detected in periods of financial turmoil corresponding to the first quarter and the second quarter of 2020. The increase in conditional correlation during periods of financial upheaval (compared to a tranquil period) indicates the presence of the pure form of financial contagion. The wavelet cross-correlation analysis showed the evidence of positive cross-correlation between the Bitcoin and the equity markets during period of financial turmoil. The cross-correlation was identified in both short and long (coarse) scales. In short scales, the equity markets lead the cryptocurrency market, while the cryptocurrency market leads equity markets in coarse scales. The findings of the present study revealed that the degree of interdependence between cryptocurrency and equity markets has substantially increased during the COVID-19 period, and this has negated the safe-haven and hedging benefits of cryptocurrencies over equity markets. [ABSTRACT FROM AUTHOR]

The investment decisions are subjected to risk and return of the financial asset. Options strategies help employ a suitable strategy to balance the risk-return trade-off. The study analyzes the risk-return trade-off of the long straddle, long strangle, long call butterfly (LCB), short straddle, short strangle, and short call butterfly (SCB) strategies. Moreover, it measures the impact of strategy risk and options premiums on strategy return using panel data analysis. Additionally, the study evaluates the performance of options strategies using the excess returns to risk approach under neutral and volatile market conditions. This paper considered companies of top-six sector indices of the National Stock Exchange from 2009 to 2020 and collected data of 18,720 option contracts and 3,744 observations for each strategy (22,464 observations). The study revealed that risks of long straddle and long strangle strategies have a positive impact, and options premiums negatively influence their payoff. ATM call premiums positively affect LCB payoff, while OTM and ITM call premiums positively influence SCB payoff. However, the risks of butterfly strategy did not influence its payoff. The risk of short straddle and short strangle strategies negatively influenced the payoff and were considered riskier strategies. Moreover, short straddle and short strangle strategies enhanced excess returns under both market conditions. The results would help the investors in choosing the appropriate strategy by analyzing the impact of risk on the payoff and the ability to enhance excess returns to the risk of various options strategies to incorporate in their investment.

Although corporate insiders face substantial restrictions on stock sales, securing tax deductions through charitable donations of stock is viewed as an attractive alternative. Recent press coverage and growing empirical evidence confirm that insider donations occur frequently and often precede stock price drops. Securities regulators have also taken note, with a recent push for new rules to require rapid disclosure as with insider trades. This paper develops a model of informed stock trading when disposal of stock by insiders takes the form of tax-favored charitable donations rather than direct trading. We demonstrate that charitable gifts by insiders can reflect nonpublic information about firm value and that they do so in a manner that promotes greater market efficiency. Relative to informed trading, insider donations yield greater market liquidity, more efficient equity prices, and superior investor protection. The results suggest that although insider donations deserve scrutiny, they are not equivalent to insider trades. The results also provide a general framework to examine implications of insider donations for tax policy governing philanthropic behavior. This paper was accepted by Ranjani Krishnan, accounting. Supplemental Material: The e-companion is available at https://doi.org/10.1287/mnsc.2022.4514. [ABSTRACT FROM AUTHOR]

The recent COVID-19 outbreak and significant increase in resulting global uncertainty poses many challenges to financial sectors. Many regulators took measures to safeguard the resilience of financial institutions by requesting postponements of dividend distributions until uncertainties about further development diminished. Specifically, on 2 April 2020, the European Insurance and Occupational Pensions Authority issued a statement requesting that re/insurers suspend all discretionary dividend distributions and share buybacks aimed at remunerating shareholders. Although the goal was to strengthen the overall financial stability of the sector, it may have negatively influenced insurers' equity prices in the short term. Hence, this paper empirically investigates this potential effect using an event study methodology. Although negative drops were observed in some cases, the obtained empirical results suggest that they were not statistically significant for the European insurers' equity market when considering the event windows covering several days after the statement was published. [ABSTRACT FROM AUTHOR]

The author determines the peculiarities of privatisation processes in transformational economies compared with mature ones and considers the difference of the goal – to accelerate the development of the already existing stock market, and in fact, to create the market anew. Socio-economic transformations, privatisation of property and creation of market infrastructure are prerequisites but not a guarantee for the emergence of the domestic stock market as a specific institutional phenomenon, especially in the absence of adequate incentives for public equity. It is established that some local stock markets are degraded against the background of increasing size, globalisation, liquidity, and integration of world capital markets, including the Ukrainian one. It is stated that, unlike the neighbouring post-socialist states (firstly, Poland), the stock market has not been built in Ukraine as a basis for compelling attraction and allocation of capital. Paper substantiated that this is primarily a consequence of inefficient and protracted privatisation, mainly over-the-counter sale of shares, inconsistency of state and regulatory policy, optional iterations in the development of market infrastructure, the creation irrationality of privatised enterprises (even the smallest) exclusively in the form of open joint-stock companies, which die to their objective inability to raise public capital faced inadequate financial burden and coercion of listing on exchanges. The author identified the main problems of the Ukrainian stock market laid down during privatisation: excessively consolidated share capital structure, insecurity of minorities, meagre free-float and liquidity, conditional exchange pricing, the predominance of over-the-counter circulation of shares, etc. Emphasis is placed on the consequences of the attempt to implement the squeeze-out procedure in Ukraine. In the absence of market prices and the acquisition of control by dominant shareholders long before the legislative changes, the share buyback did not protect minorities. However, it led to significant investors’ losses, termination of circulation of shares of most issuers, even greater conditionality of indices, capitalisation and other indicators of market development. It is noted that the effectiveness of the announced state plans for the development of the stock market due to the privatisation of state property remains in doubt in the absence of prerequisites for balancing economic interests between market participants, the objectivity of pricing, incentives for public capital raising and effective institutional environment. It is concluded that in Ukraine, the focus on privatisation procedures in the stock market development has no prospects in the absence of adequate incentives for the public raising of capital.

COVID-19 has rapidly evolved into a global pandemic and has strongly impacted financial markets of the world, including the Gulf Cooperation Council (GCC) region. Since the outbreak is unprecedented, there is a need to analyze the effects of the disease on volatility spillovers between equity and bond markets. We empirically investigated the impact of the COVID-19 pandemic on the financial equity and debt markets in the GCC region. We used the TVP-VAR dynamic connectedness approach to measure risk transmission in the GCC market. This study investigated the time-varying behavior of GCC equity and conventional and Islamic debt markets using data from 1 January 2019 to 30 August 2021. The results were also validated by performing a DCC-GARCH analysis to check the shock and spillovers among the GCC markets. We found the persistent shock transmitter roles of equity markets to bond and Sukuk markets in the GCC region, and the total dynamic connectedness increased during the first wave of the COVID-19 pandemic. Overall, the significant level of interconnectedness exists within the GCC markets.

Orientation: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS). Research purpose: This study examined the financial connectedness through volatility spillovers and co-movements among equity and foreign exchange markets in the BRICS countries to better understand market interdependencies. Motivation for the study: The literature mainly focused on volatility transmission from developed countries. Research approach: This research, used the Diebold and Yilmaz spillover index approach (DY index). The DY index is based on variance decompositions (VD) and impulse response functions that use a vector autoregressive (VAR) modelling framework. The study period was from 02 January 1997 to 31 December 2018. Main findings: Shocks from the equity markets dominate the foreign exchange markets, while foreign exchange markets dominate their equity markets at an individual level. There are interdependencies between BRICS equity markets and foreign exchange markets, except for China, whose markets are relatively isolated from other BRICS markets. Brazil is the largest contributor of volatility spillovers to other BRICS markets. The South African rand is the most integrated within BRICS. Practical implications: Foreign exchange markets provided better diversification opportunities. Significant increases in volatility spillovers associated with turmoil periods in domestic and global markets provide evidence for contagion effects in BRICS markets. Contribution: The current account (flow-oriented model) is crucial in exchange rate determination at the individual country level. In contrast, the capital account (stock-oriented model) is a significant factor in exchange rate determinations at an aggregate level.

This paper addresses two key issues relating to the interactions among the North American hedge funds industry, the equity and treasury bond markets during the COVID-19 pandemic. First, we examine the market-timing ability of North America hedge fund managers using eight strategies as well as the composite hedge fund index. Secondly, we analyze both the short- and long-term effects of both the North American equity and bond markets on the performance of the regional hedge funds industry while accounting for the effects of COVID-19 pandemic. Our results show no significant evidence of market return-timing ability of hedge fund managers across all the funds strategies during the pandemic. However, we document a strong evidence of the effects of the pandemic on the performance of fund managers, except for the Managed Futures and the Relative Value funds strategies. Secondly, we demonstrate that the COVID-19 pandemic may have significantly altered the long-term effects of the North American equity market on the performance of the hedge fund industry while the effects of the bond market is only significant in the short-term. We outlined some crucial implications of these findings for the decision-making process of hedge fund managers, investors as well as market makers during a health crisis-induced financial market turbulence. [ABSTRACT FROM AUTHOR]

This empirical exercise explores different aspects of the time‐varying linkage between the commodity and equity markets in India, focusing on base metal futures. The Dynamic Conditional Correlation model (2002) and Diebold–Yilmaz spillover index (2012) are employed to ascertain the presence, pattern, direction, and magnitude of the connectedness between the returns of base metal futures and related equity indices over the period of 2006–2019. The study builds on a less‐studied "input" channel of linkage between the two, reckoning with the economic fundamentals of demand–supply interaction. Our results show that 36% of the return forecast error variance originates from spillovers, to which the contribution of equity indices is minimal. It indicates segmentation between the two markets which offer the scope for potential diversification. Further, base metal futures are the net transmitters and equity indices are the net recipients of spillovers. Positive correlations outweigh the negative correlations, in both frequency and magnitude. [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]

Though previous research has focused on the impact of financial development on renewable energy or energy efficiency in developed countries, no study has examined the effect of credit and equity market development on energy efficiency and renewable energy consumption in developing countries. The possibility of any spillover effects of low-carbon energy strategies on each other has also been overlooked. Hence, this study investigates the role of credit and equity market development in influencing energy efficiency and renewable energy consumption for developing economies. The dataset contains a panel of 27 developing economies covering annual data over 2000–2017 for variables of interest, including energy efficiency improvements, renewable energy consumption, development of credit market, and development of equity market. The empirical analysis employs a panel cointegration test to uncover the cointegrating relationship among the variables after controlling the effects of economic growth, technological progress, and urbanization. The panel fully modified ordinary least square technique is used to estimate the long-run effects. The empirical findings show that variables in this study are cointegrated, and the long-run coefficient estimates show that development in the credit market promotes energy efficiency only. However, the development in the equity market promotes both energy efficiency and renewable energy consumption. Energy efficiency and renewable energy consumption create a positive effect on each other. These findings reveal an immediate need for better coordination between financial development and low-carbon energy strategies for developing economies. The transition into a low-carbon energy system cannot ignore the trade-off between energy efficiency and renewable energy. [ABSTRACT FROM AUTHOR]

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 find the influence of various macroeconomic factors on the volatility index, as macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk, classification problems from machine learning are constructed to predict the daily and weekly trends of the VIX Index. Data from May 2007 to December 2021 is considered for analysis. The selected models are trained with twenty-four daily features and twenty-four plus nine weekly features. The outcomes suggest that the decisions made by the Light GBM and XG Boost on ranking features can be significantly accepted over logistic regression. It is found from the results that economic policy uncertainty indices, gold price, the USD Index, and crude oil are signified as strong predictors. The Financial Stress Index, initial claims, M2, TED spread, Fed rate, and credit spread are also strong predictors, while various yields on fixed income securities make a little less impact on the VIX Index. The TED spread, Financial Stress Index, and Equity Market Volatility (Infectious Disease Tracker) are positively associated with the VIX. [ABSTRACT FROM AUTHOR]

The purpose of this study is to examine the volatility and return spillover effect in the stock indices of 19 developed and developing market economies during the period between January 2000 and June 2019, and it is also aimed to examine the findings specifically for Turkish stock exchange market (Borsa Istanbul). In the study, spillover index method of Diebold and Yılmaz (2009) is used and as a result, it is found that the USA and the UK have the highest spillover effect among other countries. On the other hand, the net effect spillover from Turkey to other and from other countries to Turkey are not at their high levels compared to others. In Turkey, return on equity markets and price volatility stems mainly from its internal shocks. Finally, it has been concluded that total spillover has increased in the crucial global events such as Mortgage crisis, Lehman Brothers bankruptcy, and Brexit referendum where financial stress is at its highest level.

Behavioural finance literature explains that investment decisions are subject to 'investor sentiment' and, consequently, may affect the pricing of various asset classes. Our study examines the 12 major equity markets amid the COVID-19 pandemic disease outbreak in relation to returns and volatility behaviour. Empirical results show that the number of new cases and deaths recorded daily because of COVID-19 has disrupted investors' sentiments globally, and also, the market has experienced an unparalleled negative return. Market connectedness and volatility spillover deliberate on the increased risk of emergent pandemic crises, which has become more pronounced during the first quarter of 2020. Further, after the global financial crisis, the volatility index has appeared at its highest level for the very first time. The unprecedented rise in the volatility index level indicates more significant pressure on put options as a hedge against the pandemic uncertainty. [ABSTRACT FROM AUTHOR]

Despite of the extensive research being done in developed markets, the empirical studies on Pakistan's equity market are limited. The purpose of this study was to identify the determinants of earning yield and their impact on the Pakistani stock market return (KSE-100 index). Taking earning yield as a dependent variable, six out of ten variables were identified as significant, explaining only 10% of the variation in stock return. With the inculcation of industry effect, the explanatory power however, increased to 20%. The model suggests that earning yield cannot be used to predict stock market returns in volatile markets like Pakistan. [ABSTRACT FROM AUTHOR]

The main goal of this study is to examine how international and regional shocks are transmitted to African equity markets using a network methodology introduced and developed by Diebold and Yilmaz (Econ J 119:158–171, 2009; Int J Forecast 23:57–66, 2012; J Econom 182:119–134, 2014) with daily data ranging from January 03, 2007 till September 19, 2019. The main finding is that international and regional market shocks have heterogeneous and time-varying effects on African equity markets, the magnitude of which is explained by the degree of financial exposure and share to the world trade. Bidirectional spillovers reveal that African markets are net receivers for both return and volatility spillovers. Moreover, volatility shocks on these markets spread more vigorously than return shocks to Africa. Episodes of high spillovers emerged during the 2008 global financial and the 2012 European debt crisis. Peaks also appear when structural economic reforms or measures increasing market efficiency intervene on African markets. New to previous works on financial market spillover, we assess spillover channels in Africa employing linear panel regressions. Empirical estimates show that trade and financial exposure do not significantly explain return and volatility spillovers in African equity market. Global factors such as oil and metal prices are the main channels through which foreign shocks spread to African stock markets. [ABSTRACT FROM AUTHOR]

We study the role of rare disaster risks in discontinuities (jumps) in the US equity market. To this end, we use data from Dow Jones Industrial Average and International Crisis Behavior database (as a proxy for rare disaster risks) over the period January 1918 – December 2013. We apply a quantile dependence approach in order to detect directional predictability from rare disaster risks to various types of jumps, realized skewness and realized kurtosis risks at different quantiles and lags. We find an asymmetric relationship between jumps and rare disaster risks, as we report a heterogenous dependency across different quantiles and lag orders. Although rare disaster risks can significantly help in the predictability of jumps, large jumps due to large price movements happened in the market do not associate with rare disasters. [ABSTRACT FROM AUTHOR]

This study puts forward the increased share of foreign investors as a potential stabilizer for local financial markets, especially equity markets, because domestic investors' weak absorption capacity may create liquidity constraints acting as an obstacle for foreign investor. We pin down the effects of foreign investor dominance based on a detailed stock‐ownership data. Our findings suggest that in emerging financial markets with high foreign investor ownership and low absorption capacity of domestic investors, capital outflows might be staggered, and this phenomenon might reduce the probability of large and sudden depreciation of local currencies. [ABSTRACT FROM AUTHOR]

This paper sheds light on the relationship between the Nasdaq Composite Index and a newly proposed Energy Futures Conditions Index (EFCI). While various financial conditions indices provide information about the financial stability of a country, the existence of an energy condition index, using futures markets, is scarce. Using weekly data over the period 1992–2017, this paper introduces an energy futures index using principal component analysis and test its predictability over the Nasdaq Composite Index. The EFCI captures 95% of the variability inherent in crude oil, heating oil and natural gas futures’ total reportable positions. Stability in forecast errors over different lags suggests a one week lag is sufficient to forecast weekly Nasdaq Composite Index. 95% prediction levels support that the estimated model captures actual equity market index values, except for the 2000 technology bubble. Distributions of level data were non-normal, not serially correlated and homoscedastic under the whole sample period, with diagnostics on pre and post technology bubble crisis showing mixed results. While differencing ensured homoscedastic errors in the forecasting model, Granger causality supported non-causality from both energy futures and equity markets, suggesting no evidence of cross market information flows.