Stock Indices in Emerging and Consolidated Economies from a Fractal Perspective

2016 ◽  
pp. 113-122 ◽  
Author(s):  
María Antonia Navascués ◽  
Maria Victoria Sebastián ◽  
Miguel Latorre
Keyword(s):  
Stock Indices

ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

2019 ◽  
Vol 6 (02) ◽  
Author(s):  
Rony Mahendra ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Wall Street Journal ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Wall Street ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Indices ◽  
The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

The Impact Of Exchange Rate Fluctuations On The Performance Of The Emerging Islamic Stock Indices For The Period (2010-2019)

2019 ◽  
pp. 613
Author(s):  
Besseba Abdelkadir ◽  
Mohamed Samir Benayad ◽  
Mostapha Redif
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Fluctuations ◽  
Stock Indices ◽  
The Impact

Comparison of U.S. Stock Indices

2015 ◽  
Author(s):  
Magnus Erik Hvass Pedersen
Keyword(s):  
Stock Indices

Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices

2016 ◽  
Author(s):  
David B. Colwell ◽  
Nadima El-Hassan ◽  
Oh Kang Kwon
Keyword(s):  
Stochastic Processes ◽  
Stock Indices ◽  
Tracking Stock

Decision Risk Reductions for Stock Indices

2002 ◽  
Author(s):  
Wolfgang Stummer
Keyword(s):  
Stock Indices

Dividend Risk Premia

2019 ◽  
Vol 55 (4) ◽  
pp. 1199-1242
Author(s):  
Georg Cejnek ◽  
Otto Randl
Keyword(s):  
United States ◽  
Risk Factor ◽  
United Kingdom ◽  
Time Variation ◽  
Factor Model ◽  
International Markets ◽  
Risk Premia ◽  
Excess Returns ◽  
Stock Indices ◽  
Bond Risk

This article studies time variation in the expected excess returns of traded claims on dividends, bonds, and stock indices for international markets. We introduce a novel dividend risk factor that complements the bond risk factor of Cochrane and Piazzesi (2005). By aggregating over 4 regions (United States, United Kingdom, Eurozone, and Japan), we create global dividend and bond factors. Our global 2-factor model captures the excess returns of most Morgan Stanley Capital International (MSCI) country indices, as well as a variety of other test assets. Our findings highlight the value of the information contained in dividend and bond forward curves and suggest substantial comovement in international risk premia.

GDo irresponsible corporate activities prevent membership in sustainable stock indices? The case of the Dow Jones Sustainability Index World

2021 ◽  
pp. 126711
Author(s):  
Iván Arribas ◽  
María Dolores Espinós-Vañó ◽  
Fernando García ◽  
Nicola Riley
Keyword(s):  
Sustainability Index ◽  
Stock Indices ◽  
Dow Jones Sustainability Index

Jakarta Sharia Stock Index and International Sharia Leading Stock Indices: Comparison of Sharia Screening Process

2021 ◽  
Vol 13 (1) ◽  
pp. 1
Author(s):  
Zuraidah Mohd Sanusi ◽  
Athaya Reisya Nabila ◽  
Dwiraptono Agus Harjito
Keyword(s):  
Stock Index ◽  
Screening Process ◽  
Stock Indices
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