Narrow search
Showing 1 - 10 of 88
Cover Image
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
Cover Image
Make the best from comparing conventional and Islamic asset classes: A design of an all-seasons combined portfolio
Foglie, Andrea Delle; Pola, Gianni - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17
This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a...
Persistent link: https://www.econbiz.de/10013201168
Cover Image
On survivor stocks in the S&P 500 stock index
Grobys, Klaus - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-24
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...
Persistent link: https://www.econbiz.de/10013201398
Cover Image
Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries
Sahabuddin, Mohammad; Tabash, Mosab I.; Alam, Md. Kausar; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-19
This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and...
Persistent link: https://www.econbiz.de/10014332858
Cover Image
Better not forget: On the memory of S&P 500 survivor stock companies
Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-16
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...
Persistent link: https://www.econbiz.de/10014332873
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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