Search

The macroeconomics and traditional stock market nexus is widely explored in the extant literature, but few studies have focused on the impact of macroeconomics on Islamic stock markets. In fact, to our knowledge, only one or two prior studies have looked into both conventional and Islamic stock markets at the same time to see the impact of macroeconomics for comparison purposes. However, these studies have found differing views. Besides, no study has looked into the issue from the standpoint of Bangladesh. To close the gap, the study primarily explores the effect of macroeconomic variables on Islamic and conventional stock indices. Also, it looks at which index (Islamic or conventional) is more susceptible to macroeconomic shocks. The DSEX Shariah Index and the DSE Broad Index of the Dhaka Stock Exchange (DSE) are chosen as Islamic and conventional stock indices, respectively. In contrast, inflation rate, money supply, interest rate, and exchange rate are selected as proxies of macroeconomic variables. Using autoregressive distributed lag (ARDL) and Granger causality approaches for the monthly data from January 2014 to June 2021, our findings indicate that aggregate money supply has a positive long-term influence on both Islamic and conventional indices, whereas interest rates have a negative impact. Conversely, in the short run, the interest rate has a favorable impact on both indices. However, inflation only has a short-term impact on the Islamic stock index. Overall, the findings suggest that both indices behave almost analogously with the macroeconomic variables. Therefore, Islamic investors can undoubtedly choose Islamic stocks for their portfolios without sacrificing significant financial losses. Our study also provides some vital policy implications. Since our study finds a strong link between macroeconomics and stock markets, we urge the monetary authority to align their policies with those of the stock markets in Bangladesh because there were previously some inconsistencies in the policies of the monetary authority and stock markets, which appeared to be partly responsible for the recent stock market crash in Bangladesh in 2010-2011. JEL Classifications: G11, G12, G14, G15 Keywords: Islamic index, conventional index, macroeconomic variables, effect, long-run, short-run Contact author's email address: Email: bokhtiar_bank@yahoo.com, INTRODUCTION Understanding the relationship between a country's macroeconomic condition and stock market movement is crucial since stock indices' change is likely to respond to macroeconomic fundamentals shifts (Khan & Zaman [...]

We propose two nonparametric tests for the null of no event-induced shifts in the location parameter of the distribution of cross-sectionally dependent stock returns and develop their distributional approximation theory. We compare size and power of our test statistics to 18 tests found in the relevant literature in a controlled simulation experiment where returns are bootstrapped from the constituents of the S&P100 and NASDAQ stock indexes. One of our tests turns out to be the most reliable in terms of size, while in terms of power, the other test we propose ranks in the top group of tests with an acceptable actual size. The test comparison presented in this paper is one of the most comprehensive and up-to-date available in the literature. Some tests in the comparison have been adapted to the cross-sectional dependence case by us. A real-world application of the tests to assess how U.S. banks' stock prices have reacted to early warnings of the 2008 financial crisis completes the article. The authors wish to thank the Bicocca Data Science Lab for computational support. The work of professors Nikolas Topaloglou and Due Khuong Nguyen as reviewer and Associate Editor is greatly acknowledged. Their comments and guidelines helped us to produce a significantly improved article. Keywords: Rank Test, Event Study, Abnormal Returns, Cross-sectional Dependence, Global Financial Crisis JEL Classifications: C12, C14, G14, C21, I. Introduction The use of rank-based nonparametric tests for event studies (1) has a long history in the financial literature (McConnell and Muscarella 1985, Corrado 1989, Lummer and McConnel 1989, [...]

As most exploited fisheries lack a coherent time series of biomass index, development of data-limited stock assessment methods such as stock reduction analysis (SRA), is critical for fishery stock assessment due to their modest data requirements for estimating stock status and overfishing catch limits. In this study, we propose that sporadic time series of biomass indices, if available, may be fully utilized to inform priors of recent relative biomass ([B.sub.T]/[B.sub.1]) for data-limited stocks. We evaluated the performance of SRA incorporating this index-based prior by comparing two other common SRA priors (a deterministic prior set at 40% of the unfished biomass and a catch-based prior) with estimates from the likelihood-based assessments of 91 fish stocks from the RAM Legacy database. We extended our analysis by evaluating performance based on life history attributes and two depletion levels with [B.sub.T]/[B.sub.MSY] equaling 1 as the breakpoint. Results suggest index-based priors enhance accuracy for fish stocks at both depletion levels. We demonstrate that performance of SRA can be affected by three factors: the reliability of priors for [B.sub.T]/[B.sub.1], recent depletion level, and life history. Etant donne l'absence de series chronologiques coherentes d'indices de biomasse pour la plupart de ressources halieutiques exploitees, la mise au point de methodes devaluation de stocks pauvres en donnees, comme l'analyse de reduction des stocks (ARS), est d'importance cruciale pour Revaluation des stocks de peche, en raison de leurs exigences modestes en matiere de donnees pour estimer l'etat de stocks et les limites de prises pour eviter la surpeche. Nous proposons que des series chronologiques sporadiques d'indices de biomasse, si elles sont disponibles, pourraient etre pleinement utilisees pour determiner les valeurs anterieures recentes de biomasse relative ([B.sub.T]/[B.sub.1]) pour des stocks pauvres en donnees. Nous evaluons la performance d'ARS integrant une telle valeur anterieure basee sur un indice en comparant deux autres valeurs anterieures d'ARS repandues (une valeur anterieure deterministe fixee a 40 % de la biomasse non pechee et une valeur anterieure basee sur les prises) a des estimations tirees des evaluations reposant sur la probabilite de 91 stocks de poissons de la base de donnees RAM Legacy. Nous elargissons notre analyse en evaluant la performance a la lumiere d'attributs du cycle biologique et de deux niveaux d'epuisement, en fixant le point d'interruption a une valeur de 1 de [B.sub.T]/[B.sub.MSY]. Les resultats donnent a penser que les valeurs anterieures basees sur des indices accroissent l'exactitude pour les stocks de poissons aux deux niveaux d'epuisement. Nous demontrons que trois facteurs peuvent influencer la performance d'ARS, a savoir : la fiabilite des valeurs anterieures pour [B.sub.T]/[B.sub.1], le niveau d'epuisement recent et le cycle biologique. [Traduit par la Redaction], Introduction While wild capture fisheries are globally instrumental for food security and serve as a major economic driver in the industrialized world, the vast majority of global fish stocks lack [...]

This study tests for market efficiency in the Indian financial market by analyzing long-range dependence in sectoral equity index returns. It applies three fractal analysis techniques-- the Classical Rescaled Range, Wavelets, and Roughness-Length relationship methods-- to the complete range of equity price information available for each of the sectoral indices on the Bombay Stock Exchange and the National Stock Exchange. As many as 15 of the 30 indices studied in total exhibit persistence in returns, a finding consistent with recent studies of broader Indian market indices. The results point to the existence of pricing inefficiencies that may well offer exploitable opportunities for excess returns in significant sections of the Indian capital market., INTRODUCTIONOver the last three decades, India has emerged as an important player in the global economy. Concomitantly, the country has attracted increasing capital inflows, and the question of informational efficiency [...]

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.ejor.2009.01.009 Byline: Jian Yang (a), Juan Cabrera (b), Tao Wang (c) Keywords: Ishares; Random walk; Nonlinear models; Forecasting evaluation; Reality check Abstract: This paper examines daily return predictability for eighteen international stock index ETFs. The out-of-sample tests are conducted, based on linear and various popular nonlinear models and both statistical and economic criteria for model comparison. The main results show evidence of predictability for six of eighteen ETFs. A simple linear autoregression model, and a nonlinear-in-variance GARCH model, but not several popular nonlinear-in-mean models help outperform the martingale model. The allowance of data-snooping bias using White's Reality Check also substantially weakens otherwise apparently strong predictability. Author Affiliation: (a) The Business School, University of Colorado Denver, Denver, CO 80217, USA (b) Department of Economics, The Graduate Center of CUNY, New York, NY 10016, USA (c) Department of Economics, Queens College and the Graduate Center of CUNY, Flushing, NY 11367, USA Article History: Received 12 September 2007; Accepted 9 January 2009

ABSTRACT This study attempts to determine whether and to what extent stock prices in the Chinese stock market are driven by firms' operating performance. We use a sample that consists [...]

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361-393] method that was developed for SV models without leverage can be extended to models with leverage. The approach relies on the novel idea of approximating the joint distribution of the outcome and volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior distribution is summarized by MCMC methods and the small approximation error in working with the mixture approximation is corrected by a reweighting procedure. The overall procedure is fast and highly efficient. We illustrate the ideas on daily returns of the Tokyo Stock Price Index. Finally, extensions of the method are described for superposition models (where the log-volatility is made up of a linear combination of heterogenous and independent autoregressions) and heavy-tailed error distributions (student and log-normal). Keywords: Leverage effect; Markov chain Monte Carlo; Mixture sampler; Stochastic volatility; Stock returns

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jedc.2006.01.003 Byline: Ralph Friedmann, Walter G. Sanddorf-Kohle Abstract: When a price limit regime exists for all of the stocks involved in an index, the index return is an aggregate of limited variables and thereby it is restricted to the same limits. We argue that neither a censored nor a truncated distribution model is appropriate for the aggregate return. The proposed mixed beta distribution allows for varying conditional mean and volatility, and with increasing volatility it changes from leptokurtic to platykurtic densities. The model is illustrated and statistically evaluated with an empirical application to the Shanghai stock market index returns under a 10% price change limit regime. Author Affiliation: Department of Economics, University of Saarland, D-66123 Saarbrucken, Germany Article History: Received 17 March 2004; Accepted 11 January 2006

To purchase or authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1468-5957.2006.00637.x Byline: David Ashton (1), Mark Tippett (1) Keywords: stock index returns; Pearson Type IV distribution; Wiener process Abstract: Abstract: Our purpose here is to develop the Pearson Type IV distribution as a candidate for modelling the evolution of short period stock index returns. Here, early work by Praetz (1972 and 1978) and Blattberg and Gonedes (1974) has shown that the scaled 't' distribution, which is a particular (symmetric) interpretation of the Pearson Type IV, provides a reasonable description of the way stock index returns evolve over time. Our analysis shows this is certainly not the case for the daily stock index returns on which our empirical analysis is based. There is significant skewness in the data and this cannot be captured by symmetric distributions like the scaled 't' and normal distributions. However, the Pearson Type IV, which is a skewed generalisation of the scaled 't', is capable of modelling the skewness inherent in our data and in such a way that it satisfies asymptotically efficient goodness of fit criteria. Furthermore, the Pearson Type IV can be derived from a stochastic differential equation with standard Markov properties. This enables one to integrate the distributional and time series properties of the returns process and thereby, facilitates both the interpretation and understanding of the role played by the distribution's parameters in the generation of the underlying stock index returns. Author Affiliation: (1)The authors are respectively, Professor of Accounting in the Department of Economics at the University of Bristol; and Professor of Accounting in the School of Business at Loughborough University. Article History: (Paper received December 2003, revised version accepted March 2006. Online publication August 2006) Article note: (*) Address for correspondence: Mark Tippett, School of Business, Loughborough University, Leicestershire, LE11 3TU, UK., e-mail: m.tippett@lboro.ac.uk

A study on extent of integration in daily stock market indexes across the world is presented.

Time series methods, which are used to examine the structure of stock market indexes, are presented.

A model for examining the impact of disagreement amongst financial analysts' earnings forecasts on equity bid-ask spreads is presented. The stock markets tend to increase the bid-ask spreads because of such different forecasts by analysts. The model effectively explains the spreads of FTSE 100 companies.

This study examines the value relevance of earnings and Book values derived under the Kuwaiti accounting system that assures a complete compliance with the International Accounting Standards. Using a valuation [...]

ABSTRACT This paper examines the effects of the annual rebalancing of the MSCI USA Index on the companies that were added to the index. Although we cannot find considerable announcement [...]

Byline: Hsinan Hsu (1), Janchung Wang (2) Keywords: price expectation; market imperfection; degree of market imperfection; implied method Abstract: Capital markets are not perfect or frictionless, and arbitrage mechanism cannot be complete, particularly for index arbitrage. This study constructs a theoretical foundation to explain why the price expectation of the underlying asset should be entered into the pricing formula of stock index futures. The price expectation and incompleteness of arbitrage then are taken into account to develop a pricing model of stock index futures in imperfect markets. This study also presents three approaches for estimating the model parameter. Finally, the concept of the degree of market imperfection is defined and the valuation model is provided. Author Affiliation: (1) Department of Finance, Southern Taiwan University of Technology, Tainan, Taiwan, Republic of China (2) Department of Financial Operations, National Kaohsiung First University of Science and Technology, Kaohsiung, Taiwan, Republic of China Article History: Registration Date: 09/10/2004

Byline: Yiuman Tse (1), James C. Hackard (1) Keywords: QQQ; liquidity; price discovery; trade-through rule; market transparency Abstract: On September 23, 2002, facing a regulatory mandate issued by the Securities and Exchange Commission, Island teminated the position of the Nasdaq 100 Index Tracking Stock (QQQ) on its book. While the market volume remained almost the same, Island's market share in the QQQ fell significantly. However, Island still dominates other trading centers in the price discovery process and volatility spillovers. The spreads on most trading centers became narrower after Island removed its quotes from the public view. The overall results suggest that the decrease in market transparency does not compromise market liquidity. Informed traders who provide price discovery in the QQQ are willing to sacrifice potential price improvements for the fast speed and reliable execution that Island offers, and are able to trade in the absence of displayed quotes. Author Affiliation: (1) Department of Finance, College of Business, University of Texas at San Antonio, San Antonio, TX, 78207, USA Article History: Registration Date: 09/10/2004

The Nasdaq 100 Volatility Index (VXN) was constructed by the Chicago Board Options Exchange to reflect the implied volatility of near-term at-the-money, options on the Nasdaq 100 index (NDX). An [...]

Abstract: The shares of companies added to (deleted from) closed-end indices such as the S&P 500 experience significant positive (negative) abnormal returns. We examine companies added to or deleted from [...]

ABSTRACT This study describes the development of the optimum investment portfolio for a United Kingdom-based investor who seeks to utilize the major stock market index from each of the Group [...]

ABSTRACT This study examines the development of the optimum investment portfolio utilizing the major stock market index from each of the Group of Seven (G-7) industrialized countries. Results of the [...]

Byline: Angel Leon (1), Juan Mora (2) Keywords: JEL classification: C52, C53, G12; Key words: Conditional heteroskedasticity prediction stock-return index Abstract: This paper compares alternative time-varying volatility models for daily stock-returns using data from Spanish equity index IBEX-35. Specifically, we estimate a parametric family of models of generalized autoregressive heteroskedasticity (which nests the most popular symmetric and asymmetric GARCH models), a semiparametric GARCH model, the generalized quadratic ARCH model, the stochastic volatility model, the Poisson Jump Diffusion model and, finally, a nonparametric model. Those models which use conditional standard deviation (specifically, TGARCH and AGARCH models) produce better fits than all other GARCH models. We also compare the within sample predictive power of all models using a standard efficiency test. Our results show that the asymmetric behaviour of responses is a statistically significant characteristic of these data. Moreover, we observe that specifications with a distribution which allows for fatter tails than a normal distribution do not necessarily outperform specifications with a normal distribution. Author Affiliation: (1) Departamento de Economia Financiera, Universidad de Alicante, Apartado de Correos 99, E-03080 Alicante, Spain (e-mail: aleon@ua.es) , ES (2) Departamento de Fundamentos del Analisis Economico, Universidad de Alicante, Apartado de Correos 99, E-03080 Alicante, Spain (e-mail: juan@merlin.fae.ua.es) , ES

A study investigated the lead-lag in returns on a stock index and stock index futures contract in the Australian market during a five-year period from Jul 1992 and Jun 1997. Findings suggest that returns on stock price index futures led returns on the Australian All Ordinaries index by 20-25 minutes between 1992 and 1997. Year-by-year analysis indicated that the degree to which the futures market led the equities market declined while the contemporaneous relationship strengthened, suggesting that the two markets have become more integrated.