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International Stock Market Co-Movements and Politics-Related Risks

Pagliardi, Giovanni - 2019

We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic...

Persistent link: https://www.econbiz.de/10012890799

Crowded Trades, Short Covering, and Momentum Crashes

Yan, Philip - 2014

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...

Persistent link: https://www.econbiz.de/10013057742

Examining mean-volatility spillovers across national stock markets

Natarajan, Vinodh Kesavaraj; Singh, Azariah Robert Raja; … - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 55-62

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

Persistent link: https://www.econbiz.de/10011872506

Low Volatility Asset Valuation in Brazilian Stock Market : Lower Risk with Higher Returns

Boudjoukian França, Luciano; Avelar, Mario; Teles, Pedro - 2023

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

Persistent link: https://www.econbiz.de/10014349977

Stock market participation puzzle in emerging economies : the case of lithuania

Mauricas, Žygimantas; Darškuvienė, Valdonė; … - In: Organizations and markets in emerging economies 8 (2017) 2, pp. 225-243

We examine underlying factors that explain an exceptionally low stock market participation rate among Lithuanian households by carrying out a comprehensive survey of mass affluent individuals. The probit regression analysis of the survey results indicates that lack of financial literacy, low...

Persistent link: https://www.econbiz.de/10012193944

Idiosyncratic Risk, Governance and Equity Performance

Clark, Steven P. - 2010

Center (IRRC) database and use idiosyncratic volatility as a proxy for information from the market of corporate control as in …

Persistent link: https://www.econbiz.de/10013138922

Frequency connectedness and spillovers among oil and Islamic sector stock markets : portfolio hedging implications

Mensi, Walid; Al Kharusi, Sami; Xuan Vinh Vo; Kang, … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1098-1117

Using the asymmetric Baba-Engle-Kraft-Kroner (BEKK)-GARCH model and the frequency spillover methodology by Baruník and Křehlík (2018), this paper examines spillovers and portfolio management between crude oil and US Islamic sector stocks. The results show significant time-varying spillovers...

Persistent link: https://www.econbiz.de/10014305868

On the Long-Run Holding Returns of Japanese Stocks : Individual Stocks vs. Portfolios

Kubota, Keiichi - 2010

We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...

Persistent link: https://www.econbiz.de/10013138973

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

Ardliansyah, Rifqi - 2014

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Persistent link: https://www.econbiz.de/10013065264

The Momentum Effect in Country-Level Stock Market Anomalies

Zaremba, Adam - 2019

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....

Persistent link: https://www.econbiz.de/10012904212

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