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We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We classify stocks on the basis of both high/low ESG and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis...
Persistent link: https://www.econbiz.de/10014445940
Sensitivity to environmental, social and governance issues continuously increased over the last decade and ESG is becoming a buzzword. As a logical consequence, ESG-investing is gaining momentum, especially with the Y and Z generations. Our research work has two goals. First, we want to test...
Persistent link: https://www.econbiz.de/10014239640
We set out in this study to examine: (i) whether ‘socially responsible investment' (SRI) portfolios can outperform less-SRI portfolios in the emerging Asian stock markets; and (ii) whether investors within these emerging markets achieve awareness of SRI through publicly available news. Based...
Persistent link: https://www.econbiz.de/10012864591
Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take...
Persistent link: https://www.econbiz.de/10013049185
Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market downturn, the target and realized volatility might differ significantly, leading to worse than expected portfolio performance. This paper examines the efficiency of a...
Persistent link: https://www.econbiz.de/10013234906
This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...
Persistent link: https://www.econbiz.de/10015334500
The influence of past stock price movements on volatilities and correlations is essential for understanding diversification and contagion in financial markets. We develop a model that makes the influence of past returns on volatilities and correlations explicit. Employing information about...
Persistent link: https://www.econbiz.de/10013101094
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic...
Persistent link: https://www.econbiz.de/10013025703
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations...
Persistent link: https://www.econbiz.de/10014284290
In this paper, we introduce a new Bayesian approach to explain some market anomalies. We first develop some properties on the expected earnings shock and its volatility and establish some properties of investors' behavior on the stock price and its volatility during a financial crisis and...
Persistent link: https://www.econbiz.de/10013027039