The impact of sentiment on emerging stock markets

2021 ◽  
Author(s):  
Abhinav Anand ◽  
Sankarshan Basu ◽  
Jalaj Pathak ◽  
Ashok Thampy
Keyword(s):  
Stock Markets ◽  
Emerging Stock Markets ◽  
The Impact

scholarly journals Effect of Volatility Changes on Emerging Stock Markets: The Case of Jordan

2015 ◽  
Vol 7 (4) ◽  
pp. 132
Author(s):  
Marwan Mohammad Abu Orabi ◽  
Talal Abed-Alkareem Alqurran
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Exchange Rate Policy ◽  
Emerging Stock Markets ◽  
Amman Stock Exchange ◽  
Rate Policy ◽  
Icss Algorithm ◽  
The Impact ◽  
High Uncertainty

<p>The Middle East financial markets have experienced several unexpected volatility shifts during the last two decades had recorded a serious impact on these markets and caused a financial turmoil that has elevated the uncertainties in the region. In view of this, more empirical findings should be learned and documented for future benefits. As one of the affected countries, Jordan was chosen as a case to provide empirical insight on the matter. This paper analyzed the behavior of Jordan’s stock market (Amman Stock Exchange, ASE) during the intervals of high uncertainty. It highlighted the impact of volatility on this market in terms of its efficiency and returns, during 2004-2012 periods, by utilizing the iterated cumulative sums of squares (ICSS) algorithm, GARCH and GARCH-M models. Sudden changes in volatility seem to arise from the evolution of emerging stock markets, exchange rate policy changes and financial crises. Evidence also reveals that when sudden shifts are taken into account in the GARCH models, the persistence of volatility is reduced significantly in every series. Research results provided significant empirical evidence for positive risk-return relationship in the stock exchange. Moreover, this study also found that the stock market, across all sectors, was more sensitive to global news events as compared to the local events. The asymmetrical responses to good and bad news were also an important characteristic of the ASE market behavior.</p>

scholarly journals The Impact of Downside Risk on Expected Return: Evidence from Emerging Economies

2019 ◽  
Vol 8 (1) ◽  
pp. 91-106
Author(s):  
Hassan Raza ◽  
Arshad Hasan ◽  
Abdul Rashid
Keyword(s):  
Emerging Markets ◽  
Emerging Economies ◽  
Stock Markets ◽  
Explanatory Power ◽  
Downside Risk ◽  
Expected Return ◽  
Risk And Return ◽  
Emerging Stock Markets ◽  
High Volatility ◽  
The Impact

This paper investigates the comparative relationship between the downside risk adjusted CAPM and traditional CAPM. The premise of the traditional CAPM is that the expected return is based on the incidence of systematic risk (beta), which has been assumed to be homogenous for both the developed, and the emerging stock markets. However, empirical results are not aligned with this assumption, as the basic risk and return relationship happens to be negative, and insignificant in the case of emerging markets. This may be due to the emerging stock markets’ distinct characteristics (i.e. high volatility, low liquidity, and less availability of historical data). To deal with the said issue, extent literature supports the use of the semi-variance methodology (SV-M) for emerging markets, instead of the mean-variance (M-V) method. Therefore, this study referred to the Fama and Macbeth (1973) methodology that was applied over monthly data ranging from June, 2000 to June, 2018. Results indicate that there is a positive relationship between the risks (downside and traditional beta) and the expected return. Moreover, results also reveal that downside risk has more significance and explanatory power as compared to the traditional beta. Hence, as per the above findings, the study suggests using the semi-variance methodology for the calculation of the expected returns in emerging economies. However, the significance of the residuals, and beta square terms in both methodologies clearly indicate that there is a need to adjust and incorporate more risk factors, as well as an element of non-linearity while arriving at a probable risk and return relationship.

The Impact of Sentiment on Emerging Stock Markets

2020 ◽  
Author(s):  
Abhinav Anand ◽  
Sankarshan Basu ◽  
Jalaj Pathak ◽  
Ashok Thampy
Keyword(s):  
Stock Markets ◽  
Emerging Stock Markets ◽  
The Impact

scholarly journals Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Laws ◽  
2021 ◽  
Vol 10 (3) ◽  
pp. 55
Author(s):  
Marius Cristian Miloș
Keyword(s):  
Financial Markets ◽  
Capital Markets ◽  
Stock Markets ◽  
Negative Impact ◽  
Short Term ◽  
Emerging Stock Markets ◽  
Volatility Analysis ◽  
Stock Indexes ◽  
European Stock Markets ◽  
The Impact

The paper investigates whether the implementation of MiFID II, a packet of financial legislation applying broadly to European Union financial markets, has led to a change in the volatility of some European developed and emerging stock markets. We show that for the developed capital markets considered in the analysis, MiFID II did not lead to a decrease in the volatility of capital markets. On the contrary, for all analysis intervals considered (3 months, 6 months, 12 months, 18 months and 24 months), the impact on volatility is positive, with volatility increasing in the case of the FTSE 100, CAC40 and DAX stock indexes. There is a similar significant relationship for the Czech stock market, but only over the three-month interval. For the Polish and Romanian stock markets, which enforced MiFID II later, a negative impact of MiFID II on volatility could also be observed. In the Romanian market, MiFID II had a negative impact on volatility on the short-term horizon, while for the Polish market, the impact of MiFID II on volatility is noticeable on a longer term of 24 months.

scholarly journals Stocks Abnormal Returns and Rate of Dividend Announcements

2021 ◽  
Vol 16 (11) ◽  
pp. 33
Author(s):  
Nagendra Marisetty ◽  
M. Suresh Babu
Keyword(s):  
Stock Markets ◽  
Abnormal Returns ◽  
Market Model ◽  
Cash Dividend ◽  
Market Capitalization ◽  
Emerging Stock Markets ◽  
Dividend Announcements ◽  
Developed Stock Markets ◽  
Indian Stock Market ◽  
The Impact

The present research study examined the impact of different dividend rate announcements on stocks prices in the Indian stock market. Stocks selected from S&amp;P BSE 500 index and study period from 2008 &ndash; 2017. The sample used for this study is 1755 pure cash dividend announcements (492 large-caps, 425 mid-caps, and 838 small-caps). Dividend rates are classified into six classifications to test the stocks&#39; abnormal returns to different dividend classifications. Event methodology market model used to calculate Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR). The results were observed twenty-one times based on market capitalization and dividend rate wise for a final dividend announcement. The results of the study are not the same for different dividend rate classifications and different market capitalizations. The study found positive abnormal returns on event day in most of the classifications, and it is similar to Litzenberger and Ramaswamy (1982), Asquith and Mullins Jr (1983), Grinblatt, Masulis and Titman (1984), Chen, Nieh, Da Chen, and Tang (2009) and many previous research results studied in major developed stock markets and emerging stock markets. Full sample and small-cap final dividend rate 100 percent to 199 percent average abnormal returns are positively significant, and other final dividend rate classification abnormal returns are positive in most of the observations, but returns are not significant. Large-cap average abnormal returns are more sensitive to different dividend rates, and small-cap reacts positively in all classifications. So, different market capitalization final dividend actions impact on stocks in India varies in different dividend rate classifications.

scholarly journals Do average higher moments predict aggregate returns in emerging stock markets?

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sumaira Chamadia ◽  
Mobeen Ur Rehman ◽  
Muhammad Kashif
Keyword(s):  
Quantile Regression ◽  
Stock Markets ◽  
Higher Order ◽  
Higher Moments ◽  
Excess Returns ◽  
Market Returns ◽  
Content Type ◽  
Emerging Stock Markets ◽  
The Impact ◽  
Skewness And Kurtosis

PurposeIt has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets.Design/methodology/approachTwo measures of average higher moments have been used (equal-weighted and value-weighted) along with the market moments to predict subsequent aggregate excess returns using the linear as well as the quantile regression model.FindingsThe authors report that both equal-weighted skewness and kurtosis significantly predict subsequent market returns in two countries, while value-weighted average skewness and kurtosis are significant in predicting returns in four out of nine sample markets. The results for quantile regression show that the relationship between the risk variable and aggregate returns varies along the spectrum of conditional quantiles.Originality/valueThis is the first study that investigates the impact of third and fourth higher-order average realized moments on the predictability of subsequent aggregate excess returns in the MSCI Asian emerging stock markets. This study is also the first to analyze the sensitivity of future market returns over various quantiles.

scholarly journals The impact of COVID-19 on emerging stock markets

2020 ◽  
Vol 36 ◽  
pp. 101691 ◽  
Author(s):  
Mert Topcu ◽  
Omer Serkan Gulal
Keyword(s):  
Stock Markets ◽  
Emerging Stock Markets ◽  
The Impact
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