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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
growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …
Persistent link: https://www.econbiz.de/10012872753
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Covid-19 and Islamic stock index : evidence of market behavior and volatility persistence
Saleem, Adil; Bárczi, Judit; Sági, Judit - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-22
economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and … nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized … hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by …
Persistent link: https://www.econbiz.de/10012627110
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Modelling the impact of different COVID-19 pandemic waves on real estate stock returns and their volatility using a GJR-GARCHX approach : an international perspective
Tomal, Mateusz - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-9
volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …
Persistent link: https://www.econbiz.de/10012626774
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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
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Mergers and acquisitions (M&AS) by R&D intensive firms
Dutta, Shantanu; Kumar, Vinod - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 1-37
In this study, we evaluate the impact of R&D intensity on acquiring firms’ abnormal returns by examining 925 Canadian completed deals between 1993 and 2002 that have information on R&D expenditures. While examining the returns to acquiring firm shareholders in the R&D intensive firms we...
Persistent link: https://www.econbiz.de/10011556072
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Cross-border acquisitions and shareholders’ wealth : the case of the Indian pharmaceutical sector
Wajid, Abdul; Sabiha, Anjim; Akhtar, Shakeb; Tabash, … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-17
Cross-border acquisitions by Indian companies have increased tremendously, especially during the last two decades, and the pharmaceutical industry is one of the top acquiring industries. This study verifies the relationship between cross-border acquisitions and shareholders’ wealth in the...
Persistent link: https://www.econbiz.de/10013471449
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The effect of industry restructuring on peer firms
Holcomb, Alex; Mason, Paul - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-25
We study the bond price reaction of a merged firms peers, in order to better understand how the market responds to a restructuring. We argue that a merger announcement may signal the possibility of a merger wave to the industry, and in doing so, increase the conditional probability that peer...
Persistent link: https://www.econbiz.de/10012534527
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....
Persistent link: https://www.econbiz.de/10012872607
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The skewness risk in the energy market
Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-24
In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...
Persistent link: https://www.econbiz.de/10012801590
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VIX futures as a market timing indicator
Fassas, Athanasios P.; Hourvouliades, Nikolas - In: Journal of risk and financial management : JRFM 12 (2019) 3/113, pp. 1-9
information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility … that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …
Persistent link: https://www.econbiz.de/10012025298