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Have bull and bear markets changed over time? Empirical evidence from the US-stock market

Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171

This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...

Persistent link: https://www.econbiz.de/10010286823

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

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

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

Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies 7 (2019) 1, pp. 1-17

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...

Persistent link: https://www.econbiz.de/10013199514

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-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

Persistent link: https://www.econbiz.de/10013201388

Risk spillover during the COVID-19 global pandemic and portfolio management

Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-29

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...

Persistent link: https://www.econbiz.de/10012611779

Adaptive market hypothesis: An empirical analysis of time – varying market efficiency of cryptocurrencies

Khursheed, Ambreen; Naeem, Muhammad; Ahmed, Sheraz; … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-15

This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies; Bitcoin, Monaro, Litecoin, and Steller...

Persistent link: https://www.econbiz.de/10012657562

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

Observing evidence of insider trading in the Athens Stock Exchange

Thalassinos, Eleftherios; Maditinos, Dimitrios; … - In: Journal of Economic Structures 1 (2012), pp. 1-26

This study proposes a process for observing evidence of insider trading in the Athens Stock Exchange (ASE). This is performed by building an environment which, based upon previous research, common sense and information technology, may be used for observing such evidence. It is designed to be...

Persistent link: https://www.econbiz.de/10010317886

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