131,122 results on '"stock markets"'
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2. Air pollution and stock market returns: actual effect vs public attention in an Indian context
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Singh, Anirudh and Chakraborty, Madhumita
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- 2024
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3. Reactions of Global Stock Markets to the Russia–Ukraine War: An Empirical Evidence.
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Chowdhury, Emon Kalyan and Khan, Iffat Ishrat
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FINANCIAL market reaction ,STOCK price indexes ,INVESTORS ,RUSSIAN invasion of Ukraine, 2022- ,STOCK prices ,INVESTMENT risk - Abstract
This study measures the immediate impact of Russia–Ukraine war on the global stock markets for the first four months since Russia's first invasion attempt on February 24, 2022. Daily closing stock indices have been used from selected stock markets of six different continents. By applying event study method, it observes mixed impact on different stock markets. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH 1,1) indicates the presence of significant volatility and leverage effect in all the markets. Regression estimates show significantly positive impact of VIX and negative impact of oil on the abnormal returns of the global stock markets. Diversifying energy supply and source, accelerating deployment of renewables and promoting electronic vehicles and machines might bring positive result for the financial market. It is expected that this research will provide policymakers, regulatory authorities, investors and all concerned stakeholders a precise guideline to handle the immediate impact of war on the stock prices and to formulate appropriate strategies to keep investment free from risk and uncertainties. [ABSTRACT FROM AUTHOR]
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- 2024
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4. Energy profile and oil shocks: a dynamic analysis of their impact on stock markets.
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Ziadat, Salem Adel and Maghyereh, Aktham
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ASSET allocation ,PORTFOLIO management (Investments) ,PETROLEUM sales & prices ,SUPPLY & demand ,DECISION making - Abstract
The paper investigates the intricate relationship between oil and stock markets in the context of different oil price shocks and a country's energy profile. Focusing on five major oil-producing and consuming countries, the analysis reveals a significant, time-varying dimension in the oil-stock relationship. It highlights the importance of distinguishing between various types of oil shocks and a nation's reliance on oil revenues. The paper finds that countries heavily reliant on oil revenues exhibit robust responses to oil supply and demand shocks. In contrast, oil producers show more moderate reactions due to lower oil revenue dependence. This evidences the importance of recognizing the multifaceted impacts of oil shocks on different economies for making well-informed decisions in asset allocation, portfolio management, and policymaking. [ABSTRACT FROM AUTHOR]
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- 2024
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5. Forecasting financial market structure from network features using machine learning.
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Castilho, Douglas, Souza, Thársis T. P., Kang, Soong Moon, Gama, João, and de Carvalho, André C. P. L. F.
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BUSINESS forecasting ,MARKET design & structure (Economics) ,FINANCIAL markets ,SPANNING trees ,COVARIANCE matrices - Abstract
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent co-movement of asset price returns across company constituents of major global market indices. We provide empirical evidence using three different network filtering methods to estimate market structure, namely Dynamic Asset Graph, Dynamic Minimal Spanning Tree and Dynamic Threshold Networks. Experimental results show that the proposed model can forecast market structure with high predictive performance with up to 40 % improvement over a time-invariant correlation-based benchmark. Non-pair-wise correlation features showed to be important compared to traditionally used pair-wise correlation measures for all markets studied, particularly in the long-term forecasting of stock market structure. Evidence is provided for stock constituents of the DAX30, EUROSTOXX50, FTSE100, HANGSENG50, NASDAQ100 and NIFTY50 market indices. Findings can be useful to improve portfolio selection and risk management methods, which commonly rely on a backward-looking covariance matrix to estimate portfolio risk. [ABSTRACT FROM AUTHOR]
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- 2024
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6. Can internet concern about COVID-19 help predict stock markets: new evidence from high-concern and low-concern periods.
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Ren, Jiqin, Guo, Yuanxuan, and Li, Jingjing
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RATE of return on stocks ,COVID-19 ,STOCK price indexes ,VOLATILITY (Securities) ,INTERNET ,STOCKS (Finance) - Abstract
The unprecedented outbreak of Corona Virus Disease 2019 (COVID-19) has resulted in extreme volatility in stock markets. This study mainly examines the predictive ability of the Internet concern about COVID-19 on stock index returns, based on the framework of GARCH type models. Instead of using the whole sample period, we divide the Internet concern about COVID-19 into high-concern and low-concern periods by breakpoint test method and then examine its predictive ability for stock returns in different periods, respectively. Using stock indexes of 10 countries and abnormal Google search volume of 'coronavirus' as study samples, the results reveal that (1) the Internet concern about COVID-19 has a negative impact on the stock index returns in the whole and high-concern periods, while its influence in the low-concern period is mixed; (2) the Internet concern about COVID-19 improves the prediction accuracy of stock index returns in the high-concern period, while seems to lose its powerful predictive ability in the whole and low-concern periods. [ABSTRACT FROM AUTHOR]
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- 2024
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7. MEASURING CONNECTEDNESS AND NETWORK ANALYSIS IN STOCK MARKETS FOR DEVELOPED AND DEVELOPING COUNTRIES.
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ORAL, Fatmanur and ÖZKAN, İbrahim
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FINANCIAL markets , *EMERGING markets , *RATE of return on stocks , *STOCKS (Finance) , *FINANCIAL crises - Abstract
Countries are experiencing a surge in political, economic, and financial integration, consequently shaping international market linkages. Financial crises can rapidly spread between countries, emphasizing the need to monitor and assess stock market connections. This paper investigates the degree of financial market connectedness using daily stock returns from January 1997 to August 2017 for 13 countries, both developed and developing. The connectedness measure of Diebold and Yilmaz (2009-2012) is applied to examine the connectedness of stock market returns and the direction of spillovers for all stock markets. This study also analyzes the dynamic connectedness from the U.S. stock market to all other stock markets. The results indicate that the U.S. stock market is the most influential stock market to the others. The results of the dynamic analysis show that connectedness changes over time, specifically during turmoil periods. Most developed countries are transmitters of return spillover shocks while developing countries are recipients. [ABSTRACT FROM AUTHOR]
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- 2024
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8. Multiscale non-linear tale risk spillover effect from oil to stocks - The case of East European emerging markets.
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Zivkov, Dejan, Kuzman, Boris, and Papic-Blagojevic, Natasa
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This paper investigates the multiscale non-linear risk transmission effect from Brent oil to eleven European emerging stock markets. Dynamic extreme risk time series are created using the FIAPARCH-CVaR approach. The MODWT transformation is applied to make three wavelet details that represent different time horizons. In the final step, the MODWT time series are fitted into the Markov switching model to examine the spillover phenomenon. The results indicate that the Czech and Hungarian stock markets endure the spillover effect in crisis regime in the short term, probably because these markets are among the most efficient emerging European markets. On the other hand, a relatively high spillover effect is found in a peaceful rather than a crisis regime in the case of Poland. This is probably because the Polish index lists almost 300 stocks, which means that oil shocks disperse to a large number of different industry sectors. In small and less developed markets, such as Estonia, Slovenia, Bulgaria, and Croatia, a high spillover effect exists in a tranquil regime because these countries have high oil consumption per capita. Lithuania and Latvia do not report the spillover effect in the short run, while this is true for all time horizons in the case of Slovakia. [ABSTRACT FROM AUTHOR]
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- 2024
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9. Stock Markets and Stress Test Announcements: Evidence from European Banks.
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Floros, Christos, Karpouzis, Efstathios, and Daskalakis, Nikolaos
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FINANCIAL market reaction ,FINANCIAL stress tests ,ABNORMAL returns ,RESEARCH personnel ,BANKING industry - Abstract
This paper examines the market reaction to the European bank stress test announcement and results release events. Using event study methodology (calculating abnormal returns on a three-day period around the event dates), we find that the market reacts differently between the announcement event and the results release event. We also show that the market seems to positively overreact one day before each event, and that this positive reaction is either fully or partially reversed one day after the event. We thus conclude that researchers should consider both events when exploring the market reaction to stress-testing exercises. [ABSTRACT FROM AUTHOR]
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- 2024
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10. Stock market indices and sustainability: A comparison between them.
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de Dios-Alija, Teresa, del Río Caballero, Marta, Gil-Alana, Luis Alberiko, and Martin-Valmayor, Miguel
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In this paper, we examine the issue of sustainability in the stock markets by comparing various statistical properties of the classical stock market indices against the recent sustainable ones. Weekly and monthly data from Dow Jones, Eurostoxx and Hang Seng indices were collected, and fractional integration methods were used to analyze differences in terms of persistence and mean reversion for both sustainable and common indices. The results indicate high levels of persistence in all cases, observing almost no differences across the markets. Long memory is also detected in the absolute and squared returns in both markets. [ABSTRACT FROM AUTHOR]
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- 2024
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11. Pricing protest: the response of financial markets to social unrest.
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Barrett, Philip, Bondar, Mariia, Chen, Sophia, Chivakul, Mali, and Igan, Deniz
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SOCIAL unrest ,RATE of return on stocks ,FINANCIAL markets ,SOCIAL marketing ,ABNORMAL returns - Abstract
We identify start days of 156 episodes of social unrest from textual analysis of media reports and show a systematic negative impact of social unrest on stock market performance. Social unrest on average leads to a 1.4 percentage point drop in cumulative abnormal returns in 2 weeks, more for events that last longer and that happen in emerging markets. Stronger institutions, particularly better governance and more democratic systems, are associated with a smaller adverse impact of social unrest on stock market returns. We argue this reflects the ability of better institutions to provide a more reliable way to reconcile conflicting views and dampen uncertainty after unrest. [ABSTRACT FROM AUTHOR]
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- 2024
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12. Geopolitical risk, economic policy uncertainty, financial stress and stock returns nexus: evidence from African stock markets
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David Korsah and Lord Mensah
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Stock markets ,Financial stress ,Economic policy uncertainty ,Geopolitical risk ,Risk spillovers ,Public finance ,K4430-4675 ,Finance ,HG1-9999 - Abstract
Purpose – Despite the growing recognition of the complex interplay between macroeconomic shock indexes and stock market dynamics, there is a significant research gap concerning their interconnectedness and return spillovers in the context of the African stock market. This leaves much to be desired, given that the financial market in Africa is arguably one of the most preferred destinations for hedge and portfolio diversification (Alagidede, 2008; Anyikwa and Le Roux, 2020). Further, like other financial markets across the globe, the increased capital flow, coupled with declining information asymmetry in Africa, has deepened intra and inter-sectoral integration within and across national borders. This has, thus, increased the susceptibility of financial markets in Africa to spillover of shocks from other sectors and jurisdictions. Additionally, while previous studies have investigated these factors individually (Asafo-Adjei et al., 2020), with much emphasis on developed markets, an all-encompassing examination of spillovers and the connectedness between the aforementioned macroeconomic shock indexes and stock market returns remains largely unexplored. This study happens to be the first to consider the impact of each of the indexes on stock returns in Africa, with evidence spanning from May 2007 to April 2023, covering notable global crisis episodes such as the Global Financial Crisis (GFC), the COVID-19 pandemic and the Russia–Ukraine war. Design/methodology/approach – This study employs the novel quantile vector autoregression (QVAR) model, making it the first of its kind in literature. By applying the QVAR, the study captures the potential nonlinear and asymmetric relationship between stock returns and the factors of interest across different quantiles, i.e. bearish, normal and bullish market conditions. Thus, the approach allows for a more accurate and nuanced examination of the tail dependence and extreme events, providing insights into the behaviour of the variables under extreme events. Findings – The study revealed that connectedness and spillovers intensified under bearish and bullish market conditions. It was also observed that, among the macroeconomic shock indicators, FSI exerted the highest influence on stock returns in Africa in both bullish and normal market conditions. Across the various market regimes, the Egyptian Exchange (EGX) and the Nairobi Stock Exchange (NSE) were net receiver of shocks. Originality/value – This study happens to be the first to consider the impact of each of the indexes on stock returns in Africa, with evidence spanning from May 2007 to April 2023, covering notable global crisis episodes such as the GFC, the COVID-19 pandemic and the Russia–Ukraine war. On the methodology front, this study employs the novel QVAR model, making it one of the few studies in recent literature to apply the said method.
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- 2024
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13. Structural Changes in the Impact of Covid-19 Pandemic on the Performance of Financial Markets. Stock Market by Using Least Squares WHTI Breaks
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Djouadi Issam, Abdellaoui Okba, Madani AbdelRahim, and Debbab Ibrahim
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covid-19 pandemic ,economic policies ,stock markets ,vaccines ,panic ,Capital. Capital investments ,HD39-40.7 ,Business ,HF5001-6182 ,Banking ,HG1501-3550 ,Revenue. Taxation. Internal revenue ,HJ2240-5908 - Abstract
The global outbreak of COVID-19 in 2020 became unprecedented and sent shockwaves through financial markets worldwide. This study investigates the impact of the pandemic on the performance of the U.S. financial market from March 1, 2020, to April 14, 2022. Utilizing Bai and Perron’s (1998) least squares with breaks during this period. The study’s test findings validate the existence of seven structural changes, signifying the occurrence of eight effects of independent factors on the S&P 500 index. The empirical findings demonstrate a substantial influence of COVID-19 pandemic on the performance of financial markets. Specifically, the impact of the number of COVID-19 cases and new fatalities on financial market performance, exhibits variations in terms of direction, nature, depth, and level. Based on an analysis of the structural changes, it can be inferred that the initial period exhibits the most pronounced negative impact on the number of new COVID-19 cases. Subsequently, the direction and nature of this impact undergo a transformation from the second to the eighth periods. Specifically, the impact of the number of new COVID-19 cases becomes positive in the second, third, sixth, seventh, and eighth periods, gradually diminishing until it reaches its lowest levels of impact in the eighth period. The research further identifies a detrimental impact on the occurrence of new fatalities. However, the periods spanning from the third to the fifth period exhibit very modest levels of influence, which then transition into a beneficial effect during the fifth period. Moreover, the research reveals that the impact of mortality rates on the performance of the United States stock market was greater than that of COVID-19 cases across all periods linked to structural changes. Additionally, the exchange rate of the dollar has a consistent and favorable impact, and the real interest rate has a pronounced negative impact, which gradually reduces over time and eventually transitions into a positive value by the eighth period.
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- 2024
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14. Policy Instability and the Risk-Return Trade-Off
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Manuelli, Rody and Martinez-Gutierrez, Jose
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United States. Federal Reserve Board -- Economic policy ,Investment analysis ,Stock markets ,Economic policy ,Natural resources -- Latin America -- Argentina ,Stock market ,Banking, finance and accounting industries ,Business - Abstract
JEL codes: E44, G1l, G12 1. INTRODUCTION Over the last few years, many countries have adopted economic policies that can be broadly defined as populist. Typically, these policies include different [...]
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- 2024
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15. MOVING MORE WITH LESS
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Nahass, David
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United States. Federal Reserve Board ,Norfolk Southern Corp. ,Railroads ,Stock markets ,Stock market ,Business ,Transportation industry - Abstract
The battle for the soul of Norfolk Southern concluded with more whimpering than expected. Together, Ancora's three board seat limited victory and its highly scripted vow to 'fight on' suggest [...]
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- 2024
16. The Effect of Exchange Rate, Inflation Rate, and Gross Domestic Product on Malaysia Stock Market Return
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Musa, Nur Wafa Fatini, Faizi, Nur Mahsuri Zairul, Rahman, Nur Izati Abdul, Norzamri, Siti Nur Liyana, and Jailani, Aida Salina
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Stock markets ,Stocks ,Inflation (Finance) -- Nigeria -- Malaysia ,Domestic relations ,Stock price indexes ,Stock market ,Business - Abstract
Purpose: This study aims to expand the knowledge of the relationship between exchange rate, inflation rate, and gross domestic product with stock market return. Design/methodology/approach: The exchange rate, inflation rate, and Gross Domestic Product serve as the independent variables, while market return represented by the FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) serves as a dependent variable. This study covers the past ten years, from January 2012 to December 2022, and employs a correlation and regression analysis. Findings: The outcome reveals that the exchange rate and inflation rate have a negative and significant relationship with market return. Meanwhile, the Gross Domestic Product has a positive and significant relationship with market return. Furthermore, the result shows that in comparison to the exchange rate, inflation rate, and Gross Domestic Product, Gross Domestic Product is the factor that has the greatest influence on stock market return. Research limitations/implications: To improve the reliability and accuracy of future findings, future researchers may want to consider other macroeconomic factors such as the price of crude oil and the changes in the Government that may affect stock market return. Practical implications: The findings of this study could serve as a reference for upcoming researchers, start-ups, investors, and the Government to acquire information about Malaysia's macroeconomic factors and its stock market return. Originality/value: This study contributes to the knowledge regarding the relationship between exchange rate, inflation rate, and gross domestic product on Malaysia's stock market return. Keywords: Exchange rate, Inflation rate, Gross Domestic Product, Stock market return, FBMKLCI, Introduction Stock market returns show an investment's value over time. Understanding how stock market returns effect portfolio growth is crucial for investors (Lake, 2022). Inflation has risen and the local [...]
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- 2024
17. Coronavirus Disease (COVID-19) and Malaysia Stock Market Performance
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Zulkifly, Nurul Aqeela, Zainudin, Nurul Faatihah, Rusly, Rabiatul Adawiyah, Shafri, Maisarah Muhammad, and Jailani, Aida Salina
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United States. Securities and Exchange Commission -- International economic relations ,Diseases -- China -- Malaysia ,Stock markets ,Stocks ,Backup software ,Plantations ,Real estate investment trusts -- International economic relations ,Stock price indexes ,Coronaviruses ,Backup software ,Stock market ,Business - Abstract
Purpose: This study aims to investigate the Malaysian stock market performance during and post-coronavirus disease (COVID-19). Design/methodology/approach: The time frame of study is divided into two. During COVID-19, from 3rd December 2019 to 16th June 2021, and post-COVID-19, from 17th June 2021 to 30th December 2022. The daily data of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) and 12 Sectorial Index in Bursa Malaysia that are Construction, Consumer Products and Services (CP&S), Energy, Financial Services, Health Care, Industrial Products and Services (IP&S), Plantation, Real Estate Investment Trust (REIT), Technology, Telecommunication and Media, Transportation and Logistics, and Utilities analyzed by employing descriptive analysis and paired sample t-tests. Findings: The study discovered that in the short term, the pandemic negatively impacted the stock market and gradually improved from 2021 to 2022. The recovery from COVID-19 severely impacted most sectors, including Construction, CP&S, Energy, REIT, Health Care, Telecommunication and Media, and Utilities during and post-COVID-19. The sectors that recover quickly are Financial Services, IP&S, Plantation, Technology, and Transportation. Research limitations/implications: Future researchers shall include the Property sector to improve the findings. This can offer a more comprehensive understanding of sectoral influences and enable a nuanced analysis of results. Practical implications: This study provides valuable insights into the Malaysian stock market's performance during and after the COVID-19 pandemic, which can be useful for investors, policymakers, and researchers. Originality/value: This study complements the eventual knowledge about the performance of the stock market during and after the COVID-19 pandemic, exclusively for Malaysia. Keywords: Stock market performance, during COVID-19, post-COVID-19, FBMKLCI, Sectorial Index, Introduction The rapid spread of a new virus known as coronavirus (COVID-19), which the World Health Organization (WHO) classified to be a pandemic, stunned the world in late 2019. (AlTakarli, [...]
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- 2024
18. DOES THE CAPITAL MARKET VALUE CARBON EMISSION REDUCTIONS? EVIDENCE FROM CHINA
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Sun, Junqin, Wang, Fangjun, and Wang, Xuanzi
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Emerging markets ,Corporate social responsibility ,Stock markets ,Developing countries ,Air pollution ,Accounting -- Standards ,Stock market ,Business ,Economics ,Business, international ,Regional focus/area studies - Abstract
An increasing number of Chinese companies are strengthening their commitment to corporate social responsibility (CSR) by reporting their carbon emission reductions. Research suggests that such voluntary environmental disclosures can reduce information asymmetry, decrease the cost of capital, and thus enhance firm value. However, a significant research gap exists because this evidence mainly derives from developed countries, with limited consideration given to emerging countries, where the capital market often lacks robust informational content. To fill this research gap, we endeavor to explore the firm-value effects of the disclosures and the magnitude of carbon reduction in China, the largest emerging market. By manually collecting data on carbon emission reductions from the CSR reports of Chinese listed companies from 2008 to 2013, we employ the balance sheet valuation model and ordinary least squares regression to investigate the firm-value effects of the disclosures and the magnitude of carbon emission reductions. The empirical results show that firm value is positively associated with not only voluntary carbon emission reduction disclosures, but also the magnitude of carbon emission reductions. In our sample, for every additional ton of carbon emission reduction, firm value increases by approximately 340 yuan (equivalent to 44 euros or 52 US dollars). We also find that the firm-value effects of carbon emission reductions are more pronounced in high-pollution industries than those in low-pollution industries. Further channel tests reveal that on average, agency problems, as measured by selling, general, and administrative expenses, are lower in firms that disclose carbon emission reduction information than those that do not. In addition, firms with carbon emission reduction disclosures can obtain more green subsidies than those without such disclosures. To mitigate climate risk, firms should proactively engage in carbon emission reductions, which can potentially receive a positive recognition from the capital market. Our study also provides valuable insights for regulators in terms of establishing and enhancing carbon accounting standards to encourage corporate involvement in carbon reductions. JEL Classifications: Q54, Q56, G12 Keywords: carbon emission reductions, firm value, voluntary disclosures, high-pollution industries, INTRODUCTION Global climate change poses threats to ecosystems and could potentially induce unprecedented adverse effects on the global economy and society. Thus, numerous international efforts have concentrated on reducing greenhouse [...]
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- 2024
19. PRICING OF CLIMATE RISKS IN THE CAPITAL MARKET OF SOUTH AFRICA
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Ayamga, Eric Atanga, Amporfu, Eugenia, and Sakyi, Daniel
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Options (Finance) ,Institutional investments ,Stock markets ,Fixed income securities ,Air quality management ,Financial institutions -- Investments ,Emissions (Pollution) ,Stock market ,Business ,Economics ,Business, international ,Regional focus/area studies - Abstract
Climate risk represents an increasingly vital issue to countries, companies, and institutional investors, making it a reality but not a distant threat to humanity. Considering the effects of climate risks on firms' financial indices and financing options, the study investigates whether climate risk is priced by the capital markets of South Africa. The study used reported carbon emissions as a measure of climate risk of 81 listed companies in the Johannesburg Stock Exchange from 2011 to 2020 to examine whether climate risk is considered and priced by the South Africa capital market. Data was sourced from DataStream database- a global financial and macroeconomic time-series database providing data on equities, stock market indices, currencies, company fundamentals, fixed income securities, and key economic indicators. We used the two-step system Generalized Method of Moments estimation technique that copes with endogeneity concerns to corroborate the effects of climate risk on cost of capital and capital structure. We find that climate risk is priced in both cost of debt capital and cost of equity capital. Specifically, we find that an increase in a firm's exposure to climate risk increases the cost associated with issuing debt and equity capital. We also find that climate risk exposure decreases the debt-equity ratio. Additionally, the study showed that firm size, leverage ratio, capitalization, profitability, and turnover affect both cost of capital and capital structure of listed firms. The study concludes that climate risk is priced in cost of financing in the capital market of South Africa. The study recommends that firms should invest in installing eco-friendly machinery that aligns with changing market expectations in order to reduce their carbon emissions. The study therefore highlights the need for companies to proactively assess and manage climate risks, incorporate climate considerations into their strategic decision-making, and enhance their resilience to climate-related challenges. JEL Classifications: C23; G10, Q50 Keywords: Climate risk, cost of capital, capital structure, capital markets, INTRODUCTION Climate risk represents an increasingly vital issue to countries, companies, and institutional investors (Ginglinger, 2020), making it a reality but not a distant threat to humanity (Hjort, 2016). Since [...]
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- 2024
20. MODERN TOTEMS OF OUR IMAGINATION: THE ECONOMY, INFLATION, AND MONEY
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Mayer, Christopher W.
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United States. Federal Reserve Board ,Stock markets ,Labor market ,Inflation (Finance) ,Unemployment insurance ,Stock market - Abstract
'The ability to deconstruct and analyze and criticize what's being said about the economy and the deficit and inflation... would certainly be something that would mean a lot today.' --Lance […]
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- 2024
21. Volatility spillovers among G7, E7 stock markets and cryptocurrencies
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Aydoğan, Berna, Vardar, Gülin, and Taçoğlu, Caner
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- 2024
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22. Multi-model Forecasting for Finance
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Pellattiero, Daniel Jader, Candelieri, Antonio, Corazza, Marco, editor, Gannon, Frédéric, editor, Legros, Florence, editor, Pizzi, Claudio, editor, and Touzé, Vincent, editor
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- 2024
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23. Money and Financial Systems
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May, Christian, Mertens, Daniel, Nölke, Andreas, Schedelik, Michael, May, Christian, Mertens, Daniel, Nölke, Andreas, and Schedelik, Michael
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- 2024
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24. Systematic Literature Review: Behavioural Biases as the Determinants of Herding
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Yang, Wang, Loang, Ooi Kok, Kacprzyk, Janusz, Series Editor, and El Khoury, Rim, editor
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- 2024
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25. Deep Learning Paradigm for Time Series Stock Prediction
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Patil, Jayashree S., Bodapati, Dhanya, Elaprolu, Vandana, Peram, Navya, Angrisani, Leopoldo, Series Editor, Arteaga, Marco, Series Editor, Chakraborty, Samarjit, Series Editor, Chen, Jiming, Series Editor, Chen, Shanben, Series Editor, Chen, Tan Kay, Series Editor, Dillmann, Rüdiger, Series Editor, Duan, Haibin, Series Editor, Ferrari, Gianluigi, Series Editor, Ferre, Manuel, Series Editor, Jabbari, Faryar, Series Editor, Jia, Limin, Series Editor, Kacprzyk, Janusz, Series Editor, Khamis, Alaa, Series Editor, Kroeger, Torsten, Series Editor, Li, Yong, Series Editor, Liang, Qilian, Series Editor, Martín, Ferran, Series Editor, Ming, Tan Cher, Series Editor, Minker, Wolfgang, Series Editor, Misra, Pradeep, Series Editor, Mukhopadhyay, Subhas, Series Editor, Ning, Cun-Zheng, Series Editor, Nishida, Toyoaki, Series Editor, Oneto, Luca, Series Editor, Panigrahi, Bijaya Ketan, Series Editor, Pascucci, Federica, Series Editor, Qin, Yong, Series Editor, Seng, Gan Woon, Series Editor, Speidel, Joachim, Series Editor, Veiga, Germano, Series Editor, Wu, Haitao, Series Editor, Zamboni, Walter, Series Editor, Zhang, Junjie James, Series Editor, Tan, Kay Chen, Series Editor, Kumar, Amit, editor, and Mozar, Stefan, editor
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- 2024
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26. The Power of Words: Predicting Stock Market Returns with Fine-Grained Sentiment Analysis and XGBoost
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Balaneji, Farshid, Maringer, Dietmar, Spasić, Irena, Kacprzyk, Janusz, Series Editor, Gomide, Fernando, Advisory Editor, Kaynak, Okyay, Advisory Editor, Liu, Derong, Advisory Editor, Pedrycz, Witold, Advisory Editor, Polycarpou, Marios M., Advisory Editor, Rudas, Imre J., Advisory Editor, Wang, Jun, Advisory Editor, and Arai, Kohei, editor
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- 2024
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27. An Analytical Study of Stock Market Flows Based on the Premise of Policy Uncertainty
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Huang, Zhenna, Yang, Zhihui, Appolloni, Andrea, Series Editor, Caracciolo, Francesco, Series Editor, Ding, Zhuoqi, Series Editor, Gogas, Periklis, Series Editor, Huang, Gordon, Series Editor, Nartea, Gilbert, Series Editor, Ngo, Thanh, Series Editor, Striełkowski, Wadim, Series Editor, Tehseen, Shehnaz, editor, Ahmad, Mohd Naseem Niaz, editor, and Afroz, Rafia, editor
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- 2024
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28. The comovements of tail risks in time and frequency domains: evidence from US and emerging Asian stock markets
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Boubekeur Baba
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Stock markets ,Value at risk ,Tail risk ,Multiple local correlations ,Wavelet analysis ,USA ,Business ,HF5001-6182 ,Finance ,HG1-9999 - Abstract
Abstract The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains. Through this empirical investigation, we address the question of how the transmission of tail risk across the concerned stock markets is changing over specific timescales, varying from short term to long term. Empirical results from the multivariate time–frequency correlations show that the comovements of tail risks are distinctively higher during periods of economic and political turmoil in the short term. The multivariate long-term comovements are highly stable and extremely strong which can be taken as evidence of long-term integration. In contrast, the bivariate time–frequency correlations are remarkably weaker in the short term not only during periods of crises but over most of the sample period. The results of the bivariate analysis also highlight the instability of the long-term pairwise correlations of the tail risks, showing that it is susceptible to sudden changes, which indicates that the tail risks of the US and emerging Asian stock markets are actually not completely integrated in the long term. This finding also implies that the tail risks of US and emerging Asian stock markets are nonlinearly connected in the long term.
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- 2024
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29. Testing the weak-form efficiency of Arab stock markets after the COVID-19 pandemic
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Hanna Waleed Alrabadi and Naim Salameh Al-Qadi
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Arab ,COVID-19 ,efficiency ,runs test ,stock markets ,variance ratio ,Finance ,HG1-9999 - Abstract
Weak-form efficiency means that stock prices should reflect all historical information and follow a random walk. This study examines the effect of the COVID-19 pandemic on the stock market weak-form efficiency of Arab countries, namely, Jordan, Lebanon, Kuwait, Morocco, Oman, Palestine, Bahrain, Egypt, Iraq, Qatar, Saudi Arabia, the United Arab Emirates, Syria, Tunisia, and Sudan. Daily data from July 1st, 2021 to November 12th, 2022 (370 trading days) are used to cover the period after starting the pandemic. The variance ratio and the runs test are used to test return predictability. The results show that the variance ratio values of Boursa Kuwait, the Egyptian Exchange, Tadawul, and the Amman Stock Exchange are statistically significant, indicating that their returns are unpredictable. In specific, the indices of these stock markets follow a random walk, and their price changes are independent. This is evidence that these stock markets are efficient at a weak level. In contrast, the insignificant values of the variance ratio indicate that returns are predictable in other Arab stock exchanges after the pandemic era. The findings of the Egyptian Exchange, Tadawul, and the Amman Stock Exchange are confirmed using the run test of weak-form efficiency. It reveals that the indices of these stock exchanges follow a random walk, while the indices of other Arab stock markets do not.
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- 2024
- Full Text
- View/download PDF
30. Looking for stability in a volatile stock market? Try green energy
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Investment analysis ,Green technology ,Stock markets ,Stocks ,Alternative energy sources ,Stock market ,Earth sciences - Abstract
Investments in green energy can help optimize investment portfolios and ‘hedge’ against volatile markets, according to a new study. Investors try to avoid financial losses by diversifying their portfolios with [...]
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- 2024
31. The comovements of tail risks in time and frequency domains: evidence from US and emerging Asian stock markets.
- Author
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Baba, Boubekeur
- Subjects
FINANCIAL markets ,INVESTMENT risk ,MARKET timing ,BIVARIATE analysis - Abstract
The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains. Through this empirical investigation, we address the question of how the transmission of tail risk across the concerned stock markets is changing over specific timescales, varying from short term to long term. Empirical results from the multivariate time–frequency correlations show that the comovements of tail risks are distinctively higher during periods of economic and political turmoil in the short term. The multivariate long-term comovements are highly stable and extremely strong which can be taken as evidence of long-term integration. In contrast, the bivariate time–frequency correlations are remarkably weaker in the short term not only during periods of crises but over most of the sample period. The results of the bivariate analysis also highlight the instability of the long-term pairwise correlations of the tail risks, showing that it is susceptible to sudden changes, which indicates that the tail risks of the US and emerging Asian stock markets are actually not completely integrated in the long term. This finding also implies that the tail risks of US and emerging Asian stock markets are nonlinearly connected in the long term. [ABSTRACT FROM AUTHOR]
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- 2024
- Full Text
- View/download PDF
32. Examining the Dependence Structure Between Carry Trade and Equity Market Returns in BRICS Economies.
- Author
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Makhanya, Kabelo Collen, Bonga-Bonga, Lumengo, and Manguzvane, Mathias Mandla
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GRANGER causality test ,INVESTORS ,ASSET allocation ,PORTFOLIO diversification ,AFRICA-China relations - Abstract
This paper contributes to the literature on carry trade by investigating the dynamic correlation and the dependence structure between the US-dollar carry trade and equity markets in the (Brazil, Russia, India, China and South Africa (BRICS)) economies during sample observations that include regular and crisis periods. Furthermore, the nonlinear Granger causality test based on the feed-forward neural networks (FFNN) model assesses how global volatility predicts the dynamic correlation between the US-dollar carry trade and equity markets in BRICS. The paper finds the dynamic correlations between carry trade and equity markets in BRICS are more pronounced during most global crises. Moreover, the results of the symmetrised Joe Clayton (SJC) copula model showed that the lower tail dependence between the two series is higher during the various crises. Furthermore, the results of the empirical analysis show that global volatility predicts the dynamic correlations between carry trade and equity markets in BRICS only during crises. Asset managers and investors can benefit from this paper's findings regarding portfolio diversification, risk management, asset allocation, and hedging when dealing with equity assets and carry trades. [ABSTRACT FROM AUTHOR]
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- 2024
- Full Text
- View/download PDF
33. The long-term memory of stock markets: unveiling patterns and predictability.
- Author
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Enow, Samuel Tabot
- Subjects
STOCK exchanges ,POLICY sciences ,FINANCIAL market reaction ,PORTFOLIOS in education ,ANALYSIS of variance - Abstract
The efficient market hypothesis assumes that financial markets fully incorporate all available information, rendering past information irrelevant for predicting future prices. However, numerous studies challenge this notion and suggest the presence of long-term memory in market dynamics. Understanding long-term memory in financial markets has important implications for investors and policymakers. The aim of this study was to empirically investigate long term memory in financial markets. This study employed a Hurst model for a sample of 5 financial markets from June 1, 2018, to June 1, 2023. The findings revealed that four out of the five sampled financial market exhibits long term memory which challenges the efficient market hypothesis concept. Therefore, portfolio managers and active market participants can utilize long-term memory to optimize asset allocation decisions by considering the persistent effects of past returns and adjust portfolio weights to take advantage of potential return predictability and manage risk. [ABSTRACT FROM AUTHOR]
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- 2024
- Full Text
- View/download PDF
34. Multiresolution causality of Bitcoin on GCC stock markets: Utilizing EMD-Granger analytical methodology.
- Author
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Saâdaoui, Foued, Rabbouch, Bochra, and Garg, Harish
- Subjects
- *
HILBERT-Huang transform , *BITCOIN , *STOCKS (Finance) , *MARKETING forecasting - Abstract
This article employs an Empirical Mode Decomposition (EMD)-based multiresolution causality approach to explore the scale-by-scale interconnectedness between Bitcoin and the stock markets of Gulf Cooperation Council (GCC) countries. EMD is utilized to decompose signals into intrinsic mode functions (IMFs), which delineate variations across different frequency scales, thus facilitating the identification of distinct oscillations and trends within the signals. The study reveals a significant positive connectedness between Bitcoin and most GCC stock markets, albeit with some variations observed across countries and time periods. Employing multiresolutional causal analysis through EMD provides a valuable framework for examining the nonlinear relationships among financial assets, offering insights into Bitcoin's potential as a diversification tool in certain periods within GCC stock markets. • A novel EMD-based multiresolutional causality paradigm is introduced. • This tool is employed to study the multiscale connectedness bitcoin-GCC stock markets. • We identify significant links between most GCC stock markets and Bitcoin • We highlight Bitcoin's role as an expanding variable in GCC stock market forecasting. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
35. Price Spillovers from Decentralized Finance to CEE Stock Markets.
- Author
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Ngo Thai Hung
- Published
- 2024
- Full Text
- View/download PDF
36. Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe.
- Author
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Caporale, Guglielmo Maria, Çatık, Abdurrahman Nazif, Helmi, Mohamad Husam, Akdeniz, Coşkun, and İlhan, Ali
- Subjects
COVID-19 pandemic ,ECONOMIC activity ,REAL economy ,RATE of return on stocks ,CREDIT default swaps ,ELECTRIC power consumption ,VECTOR autoregression model - Abstract
This paper examines the effects of the COVID-19 pandemic on CDS, stock returns, and economic activity in the US and the five European countries that have been most affected: the UK, Germany, France, Italy, and Spain. The sample period covers the period from 11 March 2020 to 19 February 2021. In the empirical analysis, first, we estimate benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility, which are ideally suited to capturing the changing dynamics in both financial markets and the real economy. The linear VAR responses of CDS to the number of COVID-19 cases are positive and statistically significant, whilst those of electricity consumption are insignificant and those of stock returns vary across countries in terms of their sign and significance. The results from the TVP-VAR analysis indicate that the effects of shocks on the system variables was more pronounced during the initial stages of the pandemic and then decreased in the following months. Specifically, there was a positive impact of the number of COVID-19 cases on CDS and a negative one on stock returns and economic activity, the latter two being interlinked. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
37. Shari’ah-Compliant Stock Screening: A Financial Perspective.
- Author
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Raghibi, Abdessamad and OUBDI, Lahsen
- Subjects
STOCKS (Finance) ,STOCK price indexes ,ETHICAL investments ,INVESTORS ,ISLAMIC finance - Abstract
Stock markets have always provided countries with a practical and flexible way to finance their economies. Hence, Islamic finance has embraced the stock market since the early 90s adopting the same framework as an ethical investment. Accordingly, Islamic investors in emerging countries shall have a range of choices when constructing a financial portfolio. However, existing screening methodologies lack flexibility as they are mainly based on rigid ratios and irrelevant thresholds. Consequently, these methodologies lead to an inefficient stock index as they completely ignore the features of each stock market along with the specificities of each industry. Thus, our study will try to propose a new screening methodology based on the optimal financial structure of each industry. The main objective of our study is to propose a methodology that will overcome different loopholes addressed in the literature. The present paper is an explanatory study which needs an empirical confirmation of the proposed methodology in order to measure its performance and efficiency against existing shari’ah-compliant indices. Hence, the main preliminary finding of our research is to enrich the academic debate on shari’ah-compliant screening methodologies through appealing to conventional corporate finance framework to enhance current methodologies. [ABSTRACT FROM AUTHOR]
- Published
- 2024
38. How the effective reproductive number impacts global stock markets.
- Author
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Kristjanpoller, Werner, Michell, Kevin, and Minutolo, Marcel C.
- Subjects
GARCH model ,EXPORT marketing ,SARS-CoV-2 ,NORTH American Free Trade Agreement - Abstract
The pandemic caused by the novel coronavirus COVID‐19 has impact the economies of countries across the world. In a short period of time, researchers have begun to analyse the effect of the pandemic on global stock markets. Although the most known measurements of COVID‐19 are the number of new cases and deaths, there are more robust indicators. In particular, the effective reproductive number is one of the most important indicators to analyse the pandemic which indicates the degree to which the spread is under control. In this paper, we assess the impact that the Effective Reproductive Number (Rt) has on 26 countries around the world (32 stock market indexes) comparing the performance of various forms of Generalized AutoRegressive Conditional Heteroskedasticity models. The results demonstrate that of the 32 stock markets analysed, 37.5% had a negative effect with respect to Rt and only in 12.5% of the cases was the effect of the variation of Rt positive. This implies that in more than a third of the stock markets analysed as the pandemic progressed uncontrolled the result was a decrease in the value of the market index. The 11 of the 26 countries analysed had a negative and significant effect (Brazil, Germany, Indonesia, Israel, Italy, Japan, Russia, South Korea, Sweden, Taiwan, and United States). Findings suggest that the Effective Reproductive Number volatility had a significant impact on 10 of the 26 countries analysed (38.5%) (Australia, Brazil, Canada, China, India, Italy, Mexico, Russia, Singapore and United Kingdom). [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
39. Do Macroeconomic Factors are interlinked with Stock Markets in Asian Emerging Economies. A Panel Data Approach.
- Author
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Babar, Haseeb, Hamid, Kashif, Rasheed, Mehwish, Rasool, Faiz, and Saeed, Muhammad Yasir
- Subjects
MACROECONOMICS ,ECONOMIC activity ,INVESTORS ,STOCK exchanges ,INTEREST rates ,GROSS domestic product - Abstract
The study of macroeconomic forces and the stock market is a dynamic field in finance because investors' interest changes due to their preference for high returns over lower returns and risk-averse investors are always desirous of mitigating risk across emerging economies are playing a pivotal role in the global investment communities. Therefore, this study focuses on various economic indicators that robust business growth. The primary purpose of this study is to evaluate macroeconomic forces' linkages with stock markets by applying a panel data analysis. Data was taken for the period 1999 to 2019 for Asian stock markets. Panel data econometric techniques have been used to analyze the data of the Asian equity market. Studies have taken stock market data from five emerging economies, i.e., Pakistan, China, India, Philippines, and Japan. Panel data results confirm that gross domestic product, interest rates, exchange rate, and money supply positively impact market return. However, correlation results reveal that market return strongly relates to foreign direct investment, interest rate, and money supply. The co-integration result also reveals the presence of a long-run relationship. Further results show that GDP has a leading behavior with market return, and market return has a leading behavior with GDP, CPI, ER, and IPI. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
40. Analysing COVID-19′s impact: Gold, oil, and stock markets in African oil-exporting economies
- Author
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Elsie Abena Dontoh, Anthony Adu-Asare Idun, Anokye M. Adam, and Peterson Owusu Junior
- Subjects
Oil-exporting ,COVID-19 ,Quantile regressions ,Stock markets ,Hedge ,Safe haven ,Science - Abstract
This article employs quantile regressions to investigate the link between oil prices, gold prices, and stock market returns in five African oil-exporting nations: Nigeria, Ghana, Egypt, Algeria, and Tunisia. The analysis utilises daily data spanning from January 1, 2017, through September 30, 2021. Before the onset of COVID-19, oil played a pivotal role as a hedge in Tunisia, Egypt, Algeria, and Ghana, providing stability in both normal and bullish market conditions. Furthermore, it functioned as a diversifier in Egypt and Ghana during bearish market phases. However, as the pandemic unfolded, oil took on the characteristics of a safe haven in Egypt, Ghana, Nigeria, Algeria, and Tunisia, particularly notable during bearish and normal market conditions. Gold, prior to the pandemic, served as a hedge in Egypt, Ghana, Nigeria, and Tunisia, while also acting as a diversifier across both bearish and bullish market conditions in these economies. Conversely, during the pandemic, gold predominantly functioned as a diversifier in most oil-exporting African economies, with significant hedge properties observed specifically in Algeria and Ghana. The practical implications of these findings are significant for various stakeholders, including oil exploration and production firms, businesses in the transport and hospitality sectors, policymakers, and investors with stocks sensitive to oil and gold prices.
- Published
- 2024
- Full Text
- View/download PDF
41. Traditional Banking Is DOOMED
- Author
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Kotlikoff, Laurence
- Subjects
Silicon Valley Bank ,Bear Stearns Companies Inc. ,Credit Suisse Group AG ,Lehman Brothers Holdings Inc. ,Banks (Finance) ,Investment banks ,Banking industry ,Financial services industry ,Stock markets ,Securities industry ,Securities industry ,Stock market ,Financial services industry ,Banking industry ,Business - Abstract
What do the 48 recessions since the founding of our country have in common? Financial panic, financial crisis - you pick the moniker. Indeed, one in five recessions have panic [...]
- Published
- 2024
42. Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
- Author
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Lamine, Ahlem, Jeribi, Ahmed, and Fakhfakh, Tarek
- Published
- 2024
- Full Text
- View/download PDF
43. Novel design of a sentiment based stock market index forecasting system
- Author
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Roy, Partha
- Published
- 2024
- Full Text
- View/download PDF
44. Impact of Global Risk Factors on the Islamic Stock Market: New Evidence from Wavelet Analysis
- Author
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Kazak, Hasan, Saiti, Buerhan, Kılıç, Cüneyt, Akcan, Ahmet Tayfur, and Karataş, Ali Rauf
- Published
- 2024
- Full Text
- View/download PDF
45. Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
- Author
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Ahlem Lamine, Ahmed Jeribi, and Tarek Fakhfakh
- Subjects
Stock markets ,Gold ,Cryptocurrencies ,Stablecoins ,Hedging ,Diversification ,Business ,HF5001-6182 - Abstract
Purpose – This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers. Design/methodology/approach – The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation. Findings – Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors. Originality/value – The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.
- Published
- 2024
- Full Text
- View/download PDF
46. Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19: evidence using DCC-GARCH and cascade-correlation network
- Author
-
Bassam A. Ibrahim, Ahmed A. Elamer, Thamir H. Alasker, Marwa A. Mohamed, and Hussein A. Abdou
- Subjects
Cryptocurrencies ,Gold ,Stock markets ,COVID-19 ,Cascade-correlation network ,Public finance ,K4430-4675 ,Finance ,HG1-9999 - Abstract
Abstract The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandemic. This study examines the extent of the volatility contagion from the Bitcoin market to traditional markets, focusing on gold and six major stock markets (Japan, USA, UK, China, Germany, and France) using daily data from January 2, 2011, to June 2, 2022, with 2958 daily observations. We employ DCC-GARCH, wavelet coherence, and cascade-correlation network models to analyze the relationship between Bitcoin and those markets. Our results indicate long-term volatility contagion between Bitcoin and gold and short-term contagion during periods of market turmoil and uncertainty. We also find evidence of long-term contagion between Bitcoin and the six stock markets, with short-term contagion observed in Chinese and Japanese markets during COVID-19. These results suggest a risk of uncontrollable threats from Bitcoin volatility and highlight the need for measures to prevent infection transmission to local stock markets. Hedge funds, mutual funds, and individual and institutional investors can benefit from using our findings in their risk management strategies. Our research confirms the utility of the cascade-correlation network model as an innovative method to investigate intermarket contagion across diverse conditions. It holds significant implications for stock market investors and policymakers, providing evidence for potentially using cryptocurrencies for hedging, for diversification, or as a safe haven.
- Published
- 2024
- Full Text
- View/download PDF
47. The impact of monetary policy interventions on banking sector stocks: an empirical investigation of the COVID-19 crisis
- Author
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Niall O’Donnell, Darren Shannon, and Barry Sheehan
- Subjects
COVID-19 ,Financial markets ,Monetary policy ,Central banks ,Stock markets ,Event study ,Public finance ,K4430-4675 ,Finance ,HG1-9999 - Abstract
Abstract The enduring impact of the COVID-19 crisis on the financial sector is undeniable, persisting far beyond the eventual waning of the pandemic. This research examines central bank interventions during the pandemic, using a quantitative event study approach over a five-day window to analyse the impact of 188 monetary policy announcements on banking stocks in China, the U.S., and Europe. Our results demonstrate how monetary policy announcements targeting different economic mechanisms have produced a diverse market reaction throughout the COVID-19 pandemic. Namely, cuts in interest rates and the maintenance of a low interest rate environment by the Federal Reserve resulted in negative abnormal returns in the U.S.A., while short-term announcements surrounding intra-day credit and liquidity provisions boosted banking sector stock prices. In Europe, a muted reaction by the banking sector was observed, with negative abnormal returns observed in response to the ECB’s 2% inflation objectives. Finally, banking stocks in China responded strongly and positively to foreign currency and exchange-related announcements by the People’s Bank of China. The results and insights from this analysis can thus inform preparations made by policymakers, governments, and financial market stakeholders in the event of future waves of COVID-19, or further extreme societal disruptions.
- Published
- 2024
- Full Text
- View/download PDF
48. Investors should be hesitant to dive into stocks after the rate cut, with election uncertainty looming, Fundstrat's Tom Lee says
- Subjects
United States. Federal Reserve Board ,Stock markets ,Elections ,Stocks ,Stock market ,Consumer news and advice ,General interest - Abstract
Tom Lee has long called for a stock market rally after the Federal Reserve cuts interest rates. But after Wednesday's big 50 basis point cut, Lee says he sees uncertainty [...]
- Published
- 2024
49. Stock market today: Indexes close at record highs and tech soars after Fed rate cut
- Subjects
United States. Federal Reserve Board ,ASML (Tempe, Arizona) ,Stock markets ,Labor market ,Stocks ,Semiconductor production equipment industry ,Unemployment -- United States ,Commodity futures ,Stock price indexes ,Stock market ,Semiconductor production equipment industry ,Consumer news and advice ,General interest - Abstract
Indexes rallied to record highs as investors cheered Wednesday's rate cut from the Fed. Tech stocks led the rally, with shares of Nvidia and Meta up 4%. Jobless claims reinforced [...]
- Published
- 2024
50. Stock market today: Dow surges 462 points as stocks rally after jumbo Fed rate cut
- Subjects
United States. Federal Reserve Board ,Stock markets ,Stocks -- Prices and rates ,Unemployment ,Commodity futures ,Stock market ,Consumer news and advice ,General interest - Abstract
Indexes rallied Thursday as investors continue to digest Wednesday's jumbo rate cut from the Fed. The Fed cut rates by 50 basis points in its first rate cut in over [...]
- Published
- 2024
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