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Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate …We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model …, and interest rate. The sensitivities of stock returns to the risk factors differ across quantiles and shipping segments …

Persistent link: https://www.econbiz.de/10012520916

Asymmetrical linkages between foreign exchange and stock markets : empirical evidence through linear and non-linear ARDL

Luqman, Rabia; Kouser, Rehana - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...

Persistent link: https://www.econbiz.de/10011895619

The dynamic relationship between investor attention and stock market volatility : international evidence

Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …

Persistent link: https://www.econbiz.de/10012821063

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867

Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors

Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

Persistent link: https://www.econbiz.de/10012520275

The incidence of spillover effects during the unconventional monetary policies era

Lacava, Demetrio; Scaffidi Domianello, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18

unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We … of volatility from the S&P500 index, on the one hand, and the announcement and implementation effects of unconventional … volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought …

Persistent link: https://www.econbiz.de/10012587787

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

Persistent link: https://www.econbiz.de/10012628441

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

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

Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet …), conditional heteroscedastic volatility models, and multiple news shocks are suitable for forecasting the volatility of the … Malaysian tourist industry. Among them, three primarily volatility models (GARCH, EGARCH, and GJRGARCH) are used in conjunction …

Persistent link: https://www.econbiz.de/10013369139