Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors

2014 ◽  
Vol 30 ◽  
pp. 189-206 ◽  
Author(s):  
Shawkat Hammoudeh ◽  
Walid Mensi ◽  
Juan Carlos Reboredo ◽  
Duc Khuong Nguyen
Keyword(s):  
Risk Factors ◽  
Equity Market ◽  
Equity Index

scholarly journals Banks as Regulated Traders

2021 ◽  
Vol 2019 (005r1) ◽  
pp. 1-85
Author(s):  
Antonio Falato ◽  
◽  
Diana Iercosan ◽  
Filip Zikes ◽  
◽  
...  
Keyword(s):  
Risk Factors ◽  
High Frequency ◽  
Financial Stability ◽  
Stress Test ◽  
Equity Market ◽  
Fixed Income ◽  
Reporting Requirements ◽  
Trading Profits ◽  
Regulatory Data ◽  
Volcker Rule

Banks use trading as a vehicle to take risk. Using unique high-frequency regulatory data, we estimate the sensitivity of weekly bank trading profits to aggregate equity, fixed-income, credit, currency and commodity risk factors. Our estimates imply that U.S. banks had large trading exposures to equity market risk before the Volcker Rule, which they curtailed afterwards. They also have exposures to credit and currency risk. The results hold up in a quasi-natural experimental design that exploits the phased-in introduction of reporting requirements to address identification. Heterogeneity and placebo tests further corroborate the results. Counterfactual stress-test analyses quantify the financial stability implications.

scholarly journals Aspects of volatility targeting for South African equity investors

2014 ◽  
Vol 17 (5) ◽  
pp. 691-699 ◽  
Author(s):  
Bhekinkosi Khuzwayo ◽  
Eben Mare
Keyword(s):  
South African ◽  
Asset Allocation ◽  
Implied Volatility ◽  
Equity Market ◽  
Risky Asset ◽  
Risk And Return ◽  
Asset Classes ◽  
The Absolute ◽  
Equity Index ◽  
Targeting Strategy

We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing the allocation of the assets based on an indicator of the future volatility of the risky asset. We use the three month rolling implied volatility as an indicator of future volatility to influence our asset allocation. We compare investments based on different volatility targets to the performance of bonds, equities, property as well as the Absolute Return peer mean. We examine risk and return characteristics of the volatility targeting strategy as compared to different asset classes.

scholarly journals Testing Weak-Form Market Efficiency On The TSX

2014 ◽  
Vol 30 (3) ◽  
pp. 647 ◽  
Author(s):  
Ilona Shiller ◽  
Ishmael Radikoko
Keyword(s):  
Market Efficiency ◽  
Unit Root ◽  
Long Memory ◽  
Statistical Tests ◽  
Weak Form ◽  
Equity Market ◽  
Residual Series ◽  
The Common ◽  
Two Indices ◽  
Equity Index

<p>This study tests the validity of the weak-form EMH on the Canadian TSX equity market using seven TSX daily index returns. Quantitatively, a variety of statistical tests is used to test for the randomness of return series. Results of the common statistical (i.e., the autocorrelation, the BG, the runs) tests all suggest that returns are serially correlated, except returns on the TSX 60 capped index. After rejecting the RWM of TSX indices using univariate unit root (i.e., ADF, PP, KPSS), we proceed to test for the possibility of nonlinear dynamic patterns present in return series. BDS results reject an IID underlying residual series after fitting AR(2) to TSX daily index returns, indicating that a deterministic chaotic process describes the data well. This finding of a temporal dependency is supported also by results of the R/S analysis, which indicates that all TSX index returns possess long-memory properties of an anti-persistent trend-reversing behaviour with two indices showing stronger degree of anti-correlation and five indices showing weaker degree of anti-correlation. Overall, results uniformly reject the RWM governing TSX equity index returns, implying that the Canadian equity market is weak-form inefficient.</p>

scholarly journals Company and asset specific risk factors: Short overview on high yield bonds

2016 ◽  
Vol 14 (1) ◽  
pp. 443-448
Author(s):  
Aki Lappalainen
Keyword(s):  
Risk Factors ◽  
Market Value ◽  
Equity Market ◽  
Expected Value ◽  
High Yield ◽  
Quality Factors ◽  
Factors Affecting ◽  
Short Overview ◽  
Specific Risk ◽  
A Company

This paper discusses the theory that risk factors divide to the company specific and asset specific risk factors. The first group affects to the expected value of an equity of a company whereas the second only to the positive cash outflows for a specific asset. I find that equity market, value, and quality factors are indeed possible company specific risk factors with influence on an expected equity of a company and dividend and volatility factors are possible stock specific risk factors affecting positively to dividends and other cash payments from a company to shareholders. These results are statistically significant and important for our understanding of risk factors and their characteristics.

scholarly journals Carteiras de Variância Mínima no Brasil

2013 ◽  
Vol 11 (1) ◽  
pp. 81
Author(s):  
Alexandre Rubesam ◽  
André Lomonaco Beltrame
Keyword(s):  
Maximum Growth ◽  
Equity Market ◽  
Minimum Variance ◽  
Multivariate Garch ◽  
Garch Models ◽  
Sample Covariance ◽  
Weighted Portfolio ◽  
Minimum Variance Portfolio ◽  
Multivariate Garch Models ◽  
Equity Index

We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the minimum variance portfolios to those of the following benchmarks: (i) the IBOVESPA equity index, (ii) an equally-weighted portfolio, (iii) the maximum Sharpe ratio portfolio and (iv) the maximum growth portfolio. Our results show that the minimum variance portfolio has higher returns with lower risk compared to the benchmarks. We also consider long-short 130/30 minimum variance portfolios and obtain similar results. The minimum variance portfolio invests in relatively few stocks with low βs measured with respect to the IBOVESPA index, being easily replicable by individual and institutional investors alike.

scholarly journals Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states?

2019 ◽  
Vol 64 (221) ◽  
pp. 107-129
Author(s):  
Lain-Tze Tee ◽  
Si-Roei Kew ◽  
Soo-Wah Low
Keyword(s):  
Risk Factors ◽  
Equity Market ◽  
Trading Strategies ◽  
Risk Compensation ◽  
Momentum Effect ◽  
Stock Trading ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
State Dependent ◽  
Market State

This study compares the momentum profitability of Islamic and conventional stocks in Malaysia and examines whether the presence of momentum profits is market-state dependent. Winner portfolios are shown to outperform loser portfolios, suggesting that a momentum effect exists in the equity market. Islamic stocks exhibit stronger momentum than conventional stocks. Interestingly, although pursuing profit is not the primary goal of Islamic stock investors, the findings indicate that momentum profits for all Islamic stock trading strategies are higher than those for conventional stocks. The profits from momentum strategies for both stocks are market-state dependent. In all trading strategies, while there are significant positive momentum profits following market upturns, there is no evidence of profits subsequent to market downturns. Overall, Islamic stocks yield higher momentum profits than conventional stocks across market states. These findings are robust to using various measures of the state of the market. While the presence of momentum profits is also robust to the inclusion of Fama-French?s (1993) risk factors, the risk factors are unable to explain momentum profits, suggesting that the risk-adjusted momentum profits are not due to risk compensation. Rather, the profitability is evidence of stock mispricing.

The Shift of Weekend Effects in Taiwan's Equity Index Return: Index Futures Listings or Other Alternative Explanations

2003 ◽  
Vol 06 (04) ◽  
pp. 549-572 ◽  
Author(s):  
Anthony H. Tu
Keyword(s):  
Equity Market ◽  
Error Distribution ◽  
Time Varying ◽  
Index Futures ◽  
Lag Effects ◽  
The Us ◽  
Day Of The Week ◽  
Equity Index ◽  
The Impact ◽  
Current Returns

This paper investigates the impact of index futures tradings on day-of-the-week effects for the equity index in Taiwan's equity market. Using the extensive model of Hiraki, Maberly and Taube (1998), the empirical findings support the hypothesis that the introduction of index futures has a significant impact on the return structure, both in terms of daily seasonalities and the lag effects of past returns on current returns. Of particular interest, Tuesday effects gradually disappeared after the introduction of index futures, and in the post-futures period, Monday returns are found to be anomalous. After controlling non-normality of the error distribution and time-varying conditional variance, the results indicate that the Monday and the Tuesday effects co-exist after the index futures listings. Although the US equity market is shown to have a strong influence on the Taiwan's market, the pattern of weekend effects shift remains unchanged after taking the US spillover into account. The closing of Saturday trading is found to be a partial cause of the observed shift.

scholarly journals RELATIONSHIP BETWEEN LITHUANIAN SOVEREIGN CREDIT RISK AND EQUITY MARKET

2015 ◽  
Vol 13 (2) ◽  
pp. 292-307
Author(s):  
Aistė ABAZORIŪTĖ ◽  
Arvydas KREGŽDĖ
Keyword(s):  
Credit Risk ◽  
Capital Market ◽  
Equity Market ◽  
Equity Prices ◽  
Vector Autoregression Model ◽  
Sovereign Credit ◽  
Sovereign Credit Risk ◽  
Price Relationship ◽  
Equity Index ◽  
The Impact

We analyse relationship between Lithuanian sovereign credit risk and equity market. The aim of the paper is to find the impact of the sovereign credit risk, which is expressed in the terms of Credit Default Swaps (CDS), on the movements of stocks prices of Lithuania. We use VAR (vector autoregression) model in order to find the relationship between Lithuanian CDS spread and OMX Vilnius index. We use impulse reaction method to investigate the impact of CDS spreads on the OMX Vilnius index. After analysis of equity index OMX Vilnius and Lithuanian CDS price relationship it was found out that there exists an opposite relationship between these two variables. When the CDS prices are rising, the equity prices decrease and vice versa. The main finding is that Lithuanian capital market returns reacts immediately to the changes of credit risk of Lithuania which is set by the global capital market and expressed by the CDS prices and Lithuanian capital market is under the great foreign pressure.

Elevated level of circulatory sTLT1 induces inflammation through SYK/MEK/ERK signalling in coronary artery disease

2019 ◽  
Vol 133 (22) ◽  
pp. 2283-2299
Author(s):  
Apabrita Ayan Das ◽  
Devasmita Chakravarty ◽  
Debmalya Bhunia ◽  
Surajit Ghosh ◽  
Prakash C. Mandal ◽  
...  
Keyword(s):  
Risk Factors ◽  
Coronary Artery Disease ◽  
Coronary Artery ◽  
Chronic Inflammation ◽  
Ex Vivo ◽  
Human Subjects ◽  
Critical Role ◽  
Atherosclerotic Cardiovascular Disease ◽  
Tnf Α ◽  
Artery Disease

Abstract The role of inflammation in all phases of atherosclerotic process is well established and soluble TREM-like transcript 1 (sTLT1) is reported to be associated with chronic inflammation. Yet, no information is available about the involvement of sTLT1 in atherosclerotic cardiovascular disease. Present study was undertaken to determine the pathophysiological significance of sTLT1 in atherosclerosis by employing an observational study on human subjects (n=117) followed by experiments in human macrophages and atherosclerotic apolipoprotein E (apoE)−/− mice. Plasma level of sTLT1 was found to be significantly (P<0.05) higher in clinical (2342 ± 184 pg/ml) and subclinical cases (1773 ± 118 pg/ml) than healthy controls (461 ± 57 pg/ml). Moreover, statistical analyses further indicated that sTLT1 was not only associated with common risk factors for Coronary Artery Disease (CAD) in both clinical and subclinical groups but also strongly correlated with disease severity. Ex vivo studies on macrophages showed that sTLT1 interacts with Fcɣ receptor I (FcɣRI) to activate spleen tyrosine kinase (SYK)-mediated downstream MAP kinase signalling cascade to activate nuclear factor-κ B (NF-kB). Activation of NF-kB induces secretion of tumour necrosis factor-α (TNF-α) from macrophage cells that plays pivotal role in governing the persistence of chronic inflammation. Atherosclerotic apoE−/− mice also showed high levels of sTLT1 and TNF-α in nearly occluded aortic stage indicating the contribution of sTLT1 in inflammation. Our results clearly demonstrate that sTLT1 is clinically related to the risk factors of CAD. We also showed that binding of sTLT1 with macrophage membrane receptor, FcɣR1 initiates inflammatory signals in macrophages suggesting its critical role in thrombus development and atherosclerosis.

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