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Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes
Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16
Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …
Persistent link: https://www.econbiz.de/10013277308
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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …
Persistent link: https://www.econbiz.de/10013183936
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Higher-Order Terms in Bivariate Returns to International Stock Market Indices
Butler, Kirt C. - 2016
This article documents the stochastic properties of bivariate returns to international stock market indices. In particular, the article searches for the best fit among a class of higher-order VARMA(u,v)-EGARCH(p,q) models with normal errors and a constant conditional correlation using MSCI...
Persistent link: https://www.econbiz.de/10013004437
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Capital market returns and inflation nexus in Croatia : wavelet coherence analysis
Bošnjak, Mile; Novak, Ivan; Bašić, Maja - In: Business systems research : a system view accross … 12 (2021) 2, pp. 253-267
Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the possibilities for hedging against inflation in Croatia...
Persistent link: https://www.econbiz.de/10013325399
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Comparing dynamic and static performance indexes in the stock market : evidence from Japan
Hodoshima, Jiro; Yamawake, Toshiyuki - In: Asia Pacific financial markets 29 (2022) 2, pp. 171-193
Persistent link: https://www.econbiz.de/10013260054
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Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates : Inter-Day Versus Intra-Day Data
Degiannakis, Stavros Antonios - 2018
In order to provide reliable Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts, this paper attempts to …, commodities, foreign exchange rates) in order to provide risk managers and financial institutions with information relating the … revised 2013 version of Basel III, the GARCH-skT specification provides accurate forecasts of the risk measures for stock …
Persistent link: https://www.econbiz.de/10012910113
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The Attenuation of Idiosyncratic Risk Under Alternative Portfolio Weighting Strategies : Recent Evidence from the UK Equity Market
Rui Ming Daryl, Chia - 2012
In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for … absolute benefits of risk reduction by testing the homogeneity of variances of portfolios of different sizes using Levene …
Persistent link: https://www.econbiz.de/10013100687
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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...
Persistent link: https://www.econbiz.de/10012513279
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Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?
Bali, Turan G. - 2020
fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …
Persistent link: https://www.econbiz.de/10012856755