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Implied and local volatility surfaces for South African index and foreign exchange options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82

that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility surface. Dupire derived a mapping from implied volatilities to local volatilities. The JSE uses this mapping in …

Persistent link: https://www.econbiz.de/10011552872

An investigation of the beta anomaly in emerging markets : a South African case

Segojane, Mabekebeke; Ndlovu, Godfrey - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-18

largest emerging markets in Africa, the Johannesburg Stock Exchange (JSE). It employs both time-series and cross …

Persistent link: https://www.econbiz.de/10013273464

Comparison of multifactor asset pricing models in the South African stock market [2000-2016]

Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-22

the Johannesburg Stock Exchange’s (JSE’s) resources, industrial, and finance sectors. We investigated the efficacy of … several asset pricing models and their capacity to account for market anomalies in the JSE’s resources, industrial, and …

Persistent link: https://www.econbiz.de/10014301573

Multi-factorized semi-covariance of stock markets and gold price

Shi, Yun; Yang, Lin; Huang, Mei; Huang, Jun Steed - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-11

Complex models have received significant interest in recent years and are being increasingly used to explain the stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance methods in traditional integer dimension construction for...

Persistent link: https://www.econbiz.de/10012520959

The Bucharest Stock Exchange : a starting point in structuring a valuable CSR index

Panait, Mirela Clementina; Voica, Marian Cătălin; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-14

The aim of this article was to identify the role and specific mechanisms of the stock exchange in promoting corporate social responsibility (CSR) and CSR communications among companies listed on the Romanian capital market given country membership of the European Union. Taking into account the...

Persistent link: https://www.econbiz.de/10012888293

The role of investor relations and good corporate governance on firm performance in the case of the companies listed on the Bucharest Stock Exchange

Mihail, Bogdan Aurelian; Dumitrescu, Dalina; Serban, Daniela - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-12

The objective of this paper is to investigate the role of Investor Relations (IR) in the performance of companies listed on the Bucharest Stock Exchange. The study is motivated by the findings in the literature that investor relations may boost information disclosure, analyst following,...

Persistent link: https://www.econbiz.de/10012798373

GARCH (1,1) models and analysis of stock market turmoil during COVID-19 outbreak in an emerging and developed economy

Setiawan, Budi; Abdallah, Marwa Ben; Fekete-Farkas, Maria; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-19

COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The pandemic has caused volatilities in the financial market at varying magnitudes, in the emerging versus developed economy. To examine this phenomenon, this study investigates the impact of COVID-19 pandemic...

Persistent link: https://www.econbiz.de/10012798651

The influence of the independent non-executive board members on the financial performance of the companies listed in the Bucharest stock exchange

Mihail, Bogdan Aurelian; Micu, Carmen Daniela - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-14

This paper studies the impact of independent board members on the financial performance of companies listed on the Bucharest Stock Exchange during the period 2016-2020. Different characteristics of the board of directors have been examined extensively in the literature and board independence was...

Persistent link: https://www.econbiz.de/10012628811

Methodological foundations of the risk of the stock markets of developed and developing countries in the conditions of the crisis

Burkalʹceva, D. D.; Niyazbekova, Shakizada; Borsch, … - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-16

The development of a methodology for the growth of the stock market through a deep transformation of the economic development system and introduction of digital technologies. The article is devoted to the study of the development of stock markets’ actual problems that affect the redistribution...

Persistent link: https://www.econbiz.de/10012813249

Assessment of the development of the stock market in the Russian Federation in a crisis

Burkalʹceva, D. D.; Niyazbekova, Shakizada; … - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12

The article analyzes the literature and provides an assessment of the development of the stock market in the Russian Federation between 2016-2020. Today, the process of improving electronic technologies for carrying out operations in the stock market is also a continuing segment of the financial...

Persistent link: https://www.econbiz.de/10012813251