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Not All Heroes Wear CAPEs : Creation of a Global Stock Investment CEILING (Country Equity Index Leading Indicator for Near-term Gains)
Williams, Bryan - 2019
Investors have a home country bias when it comes to investing, despite the diversification benefits that a global scope can provide. This over-reliance on domestic markets can be reduced through reliable indicators that inform investors of how global markets are performing. While ubiquitous...
Persistent link: https://www.econbiz.de/10012864734
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Short- and long-run tail dependence switching in MENA stock markets : the roles of oil, bitcoin, gold and VIX
Mensi, Walid; Hammoudeh, Shawkat; Tiwari, Aviral Kumar; … - 2019
Persistent link: https://www.econbiz.de/10012144916
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 1994
greater stock market integration amid the increasing liberalization and globalization of capital markets …
Persistent link: https://www.econbiz.de/10014395829
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A Note on Cointegration of International Stock Market Indices
Dimpfl, Thomas - 2016
Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence of financial markets. We show that if individual stock prices are generated by random walks with possibly contemporaneously correlated innovations, the resulting indices cannot...
Persistent link: https://www.econbiz.de/10013008752
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Cap-Weighted All Stock Indices, Emerging Markets
Ramraika, CFA, Baijnath - 2015
The all-stock equity indices provide important information to market participants for asset allocation and investment performance evaluations. In this paper, we construct market capitalization weighted indexes for each of the 23 countries included in the MSCI Emerging Markets index as of...
Persistent link: https://www.econbiz.de/10013028705
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Persistence in ESG and Conventional Stock Market Indices
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10013225332
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The Short-Term Impact of COVID-19 on Global Stock Market Indices
Singh, Gurmeet; Shaik, Muneer - 2021
The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and … financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global … sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World …
Persistent link: https://www.econbiz.de/10013227586
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Tail dependence between gold and sectorial stocks in China : perspectives for portfolio diversification
Beckmann, Joscha; Berger, Theo; Czudaj, Robert; Hoang, … - 2017
from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between …
Persistent link: https://www.econbiz.de/10011776995
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Risk-Adjusted Performances of World Equity Indices
Atilgan, Yigit - 2016
This paper investigates whether equity indices of 24 emerging and 28 developed markets compensate their investors equally after taking risk into account, and examines the predictive power of reward-to-risk ratios for expected market returns. We place special emphasis on downside risk by...
Persistent link: https://www.econbiz.de/10013007882