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Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of risk and financial management : JRFM 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 … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

Persistent link: https://www.econbiz.de/10014284282

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 : JRFM 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011553184

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 : JRFM 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...

Persistent link: https://www.econbiz.de/10013164975

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 : JRFM 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/10012872753

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

Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of risk and financial management : JRFM 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/10012587420

Testing the efficiency of globally listed private equity markets

Tegtmeier, Lars - In: Journal of risk and financial management : JRFM 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/10012622817

Asymmetric mean reversion in low liquid markets : evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, 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/10012022315

International information spillovers and asymmetric volatility in South Asian stock markets

Gajurel, Dinesh; Chawla, Akhila - In: Journal of risk and financial management : JRFM 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/10013471157

Dependency relations among international stock market indices

Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265

We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another...

Persistent link: https://www.econbiz.de/10011545240

Firm value and cross listings : the impact of stock market prestige

Cetorelli, Nicola; Peristiani, Stavros C. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 150-180

This study investigates the valuation impact of a firm’s decision to cross list on a more (or less) prestigious stock exchange relative to its own domestic market. We use a network analysis methodology to derive broad market-based measures of prestige for 45 country or regional stock exchange...

Persistent link: https://www.econbiz.de/10011552966

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