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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: e-Finanse: Financial Internet Quarterly 12 (2016) 2, pp. 23-35
market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world …
Persistent link: https://www.econbiz.de/10012011864
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International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches
Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66
This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...
Persistent link: https://www.econbiz.de/10011843243
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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 15 (2022) 2, pp. 1-27
Through globalization and financial market liberalization, the opening up of markets has increased cross …
Persistent link: https://www.econbiz.de/10013201388
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Return predictability and valuation ratios: Sector-level evidence on the Johannesburg Stock Exchange
Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-27
The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...
Persistent link: https://www.econbiz.de/10014001391
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Does gold act as a hedge and a safe haven for China's stock market?
Chen, Ke; Wang, Meng - In: International Journal of Financial Studies 5 (2017) 3, pp. 1-18
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China's stock markets for analysis. Our...
Persistent link: https://www.econbiz.de/10011996051
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The effect of macroeconomic variables on the robustness of the traditional Fama-French model: A study for Mexico using different portfolios
Saucedo, Eduardo; González, Jorge - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 252-267
Purpose - Fama-French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict the performance of the stock market. The objective of the extended version is to create a more robust...
Persistent link: https://www.econbiz.de/10013192205
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Sell winners and buy losers? The impact of familiarity on individual investors' decision-making. Experimental results
Zhdanov, Vladislav; Simonov, Artem - In: International Journal of Financial Studies 9 (2021) 3, pp. 1-8
Purpose: This article analyzes the influence of familiarity bias on respondents' decision-making process, using results from online experiments. Design/methodology/approach: A total of 255 research participants from post-Soviet countries completed 510 online tests that were presented in the form...
Persistent link: https://www.econbiz.de/10013200372
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Bayesian analysis of time-varying interactions between stock returns and foreign equity flows
Baba, Boubekeur; Sevil, Güven - In: Financial Innovation 7 (2021) 1, pp. 1-25
This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with...
Persistent link: https://www.econbiz.de/10012602932
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Financial market reaction to cyberattacks
Kammoun, Niaz; Bounfour, Ahmed; Özaygen, Altay; Dieye, … - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-20
Drawing upon an extensive dataset comprising 3,680 cyberattacks on firms listed in 5 stock markets, our main objective is to ascertain the financial market reaction based on a hybrid valuation inspired by the event study methodology and a counterfactual analysis. Analyses concern three dates...
Persistent link: https://www.econbiz.de/10014001486
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The short-term impact of COVID-19 on global stock market indices
Singh, Gurmeet; Shaik, Muneer - In: Contemporary Economics 15 (2021) 1, pp. 1-18
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/10014544467