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Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs' trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world's largest platinum futures markets on exchanges in New York and Tokyo …

Persistent link: https://www.econbiz.de/10014332749

Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries

Rikhotso, Prayer M.; Simo-Kengne, Beatrice D. - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-22

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the 'true' tail dependence based on the 'distribution-adjusted' joint marginals. The empirical...

Persistent link: https://www.econbiz.de/10013201412

International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage …

Persistent link: https://www.econbiz.de/10011843243

Testing the efficiency of globally listed private equity markets

Tegtmeier, Lars - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-16

This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December...

Persistent link: https://www.econbiz.de/10013200997

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-27

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

Persistent link: https://www.econbiz.de/10013201388

Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)

Zhang, Hang; Giouvris, Evangelos - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-42

We look into determinants (volatility, crises, sentiment and the U.S. 'fear' index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was no...

Persistent link: https://www.econbiz.de/10013201437

Asymmetric mean reversion in low liquid markets: Evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-19

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...

Persistent link: https://www.econbiz.de/10012611160

Risk spillover during the COVID-19 global pandemic and portfolio management

Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-29

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...

Persistent link: https://www.econbiz.de/10012611779

International information spillovers and asymmetric volatility in South Asian stock markets

Gajurel, Dinesh; Chawla, Akhila - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-18

This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor...

Persistent link: https://www.econbiz.de/10014332670

Is artificial intelligence ready to assess an enterprise's financial security?

Melnychenko, Oleksandr - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-19

This study contributes to the literature on financial security by highlighting the relevance of the perceptions and resulting professional judgment of stakeholders. Assessing a company's financial security using only economic indicators-as suggested in the existing literature-would be inaccurate...

Persistent link: https://www.econbiz.de/10012611444

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