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Influence of the Russia-Ukraine war and COVID-19 pandemic on the efficiency and herding behavior of stock markets : evidence from G20 nations

Memon, Bilal Ahmed; Aslam, Faheem; Naveed, Hafiz Muhammad; … - In: Economies : open access journal 12 (2024) 5, pp. 1-32

herding behavior of the stock markets from the top economies of the world (known as G20 countries). We classify stock market …

Persistent link: https://www.econbiz.de/10014636008

Are Reversals Predictable in Emerging Stock Markets? The Role of Market States and Global Factors

Demirer, Riza - 2017

This paper examines the time-series predictability of reversals in an emerging stock market, Borsa Istanbul. We find that the state of the market has significant predictive power over payoffs to the contrarian strategy. The profitability of the contrarian strategy is primarily driven by...

Persistent link: https://www.econbiz.de/10012945885

Fundamental Value Hypothesis and Return Behavior : Evidence from Emerging Equity Markets

Jirasakuldech, Benjamas; Emekter, Riza; Went, Peter - 2009

This study examines the return behavior of 15 emerging equity markets for persistent deviations from the fundamental value hypothesis. The duration dependence test shows that rational expectations bubble do not cause deviations from fundamental value in any of the markets. Markov chain test...

Persistent link: https://www.econbiz.de/10014210456

(Ab)Normal Returns in an Emerging Stock Market : International Investor Perspective

Roszkowska, Paulina - 2019

This paper studies the comparative attractiveness of public equity investments in the Polish (emerging) and in the U.S. (advanced) stock markets in the years 2000-2013. Through an original implementation strategy based on one- and multi-factor asset pricing models, we find that the potential for...

Persistent link: https://www.econbiz.de/10012903034

Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?

Bartram, Söhnke M. - 2019

Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower …

Persistent link: https://www.econbiz.de/10012906259

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

Yield Curve Shifts and the Cross-Section of Global Equity Returns

Zaremba, Adam; Cakici, Nusret; Bianchi, Robert J.; … - 2021

Interest rate changes typically affect the value of equities. However, the slow movement of investment capital may delay the transmission of this information from interest rate markets to stocks. Using a century of data from sixty countries, we demonstrate that yield curve shifts predict future...

Persistent link: https://www.econbiz.de/10013244504

Innovation in Trading Activity : Should Stock Markets Be More Transparent?

Mazzoli, Camilla - 2014

The aim of the paper is to test whether different PTT levels are able to affect the volatility and liquidity of a Stock Exchange. Much research carried out over the last few years has attempted to describe these relationships, yet their empirical results have sometimes contradicted one another...

Persistent link: https://www.econbiz.de/10013069793

Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10003881575

Heterogeneous Impacts of Wars on Global Equity Markets : Evidence From the Invasion of Ukraine

Boubaker, Sabri; Goodell, John W.; Pandey, Dharen Kumar; … - 2022

Using an event study methodology to examine the impact of the 2022 Russian invasion of Ukraine, we find that this invasion generated negative cumulative abnormal returns for global stock market indices, but with heterogeneous effects. Cross-sectional analysis reveals that economic globalization...

Persistent link: https://www.econbiz.de/10013290510