scholarly journals Ambient particulate air pollution and daily stock market returns and volatility in 47 cities worldwide

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Simo-Pekka Kiihamäki ◽  
Marko Korhonen ◽  
Jouni J. K. Jaakkola
Keyword(s):  
Air Pollution ◽  
Stock Market ◽  
Regression Coefficient ◽  
Effect Estimate ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Short Term Exposure ◽  
Meta Regression ◽  
The City

AbstractWe studied globally representative data to quantify how daily fine particulate matter (PM2.5) concentrations influence both daily stock market returns and volatility. Time-series analysis was applied on 47 city-level environmental and economic datasets and meta-analysis of the city-specific estimates was used to generate a global summary effect estimate. We found that, on average, a 10 μg/m3 increase in PM2.5 reduces same day returns by 1.2% (regression coefficient: − 0.012, 95% confidence interval: − 0.021, − 0.003) Based on a meta-regression, these associations are stronger in areas where the average PM2.5 concentrations are lower, the mean returns are higher, and where the local stock market capitalization is low. Our results suggest that a 10 μg/m3 increase in PM2.5 exposure increases stock market volatility by 0.2% (regression coefficient 0.002, 95% CI 0.000, 0.004), but the city-specific estimates were heterogeneous. Meta-regression analysis did not explain much of the between-city heterogeneity. Our results provide global evidence that short-term exposure to air pollution both reduces daily stock market returns and increases volatility.

scholarly journals Effects of Daylight Saving Time Changes on Stock Market Volatility: A Reply

2011 ◽  
Vol 109 (3) ◽  
pp. 863-878 ◽  
Author(s):  
Hakan Berument ◽  
Nukhet Dogan
Keyword(s):  
Stock Market ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daylight Saving Time ◽  
Daylight Saving ◽  
Stock Market Return ◽  
Decision Making Processes ◽  
Time Changes ◽  
The Relationship

There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empirical evidence suggests that the positive relationship between return and volatility becomes negative on the Mondays following DST changes.

Effects of Daylight-Saving Time Changes on Stock Market Returns and Stock Market Volatility: Rebuttal

2013 ◽  
Vol 112 (1) ◽  
pp. 89-99 ◽  
Author(s):  
Mark J. Kamstra ◽  
Lisa A. Kramer ◽  
Maurice D. Levi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daylight Saving Time ◽  
Daylight Saving ◽  
Time Changes ◽  
Saving Effect

In a 2011 reply to our 2010 comment in this journal, Berument and Dogen maintained their challenge to the existence of the negative daylight-saving effect in stock returns reported by Kamstra, Kramer, and Levi in 2000. Unfortunately, in their reply, Berument and Dogen ignored all of the points raised in the comment, failing even to cite the Kamstra, et al. comment. Berument and Dogen continued to use inappropriate estimation techniques, over-parameterized models, and low-power tests and perhaps most surprisingly even failed to replicate results they themselves reported in their previous paper, written by Berument, Dogen, and Onar in 2010. The findings reported by Berument and Dogen, as well as by Berument, Dogen, and Onar, are neither well-supported nor well-reasoned. We maintain our original objections to their analysis, highlight new serious empirical and theoretical problems, and emphasize that there remains statistically significant evidence of an economically large negative daylight-saving effect in U.S. stock returns. The issues raised in this rebuttal extend beyond the daylight-saving effect itself, touching on methodological points that arise more generally when deciding how to model financial returns data.

scholarly journals The Relevance of Cboe Volatility Index to Stock Markets in Emerging Economies

2015 ◽  
Vol 6 (1) ◽  
pp. 93-106
Author(s):  
Tamara Mariničevaitė ◽  
Jovita Ražauskaitė
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Markets ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Global Risk ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Volatility Index

We examine the capability of CBOE S&P500 Volatility index (VIX) to determine returns of emerging stock market indices as compared to local stock markets volatility indicators. Our study considers CBOE S&P500 VIX, local BRIC stock market volatility indices and BRIC stock market MSCI indices daily returns in the period from January 1, 2009 to September 30, 2014. Research is conducted in two steps. First, we perform Spearman correlation analysis between daily changes in CBOE S&P500 VIX, local BRIC stock market VIX and MSCI BRIC stock market indices returns. Second, we perform multiple regression analysis with ARCH effects to estimate the relevance of CBOE S&P500 VIX and local VIX in determining BRIC stock market returns. Research reports weak correlation between CBOE S&P500 VIX and local VIX (except for Brazil). Furthermore, results challenge the assumption of CBOE S&P500 VIX being an indicator of global risk aversion. We conclude that commonly documented trends of rising globalization and stock markets co-integration are not yet present in emerging economies, therefore the usage of CBOE S&P500 VIX alone in determining BRIC stock market returns should be considered cautiously, and local volatility indices should be accounted for in analysis. Furthermore, the data confirms the presence of safe haven properties in Chinese stock market index.

scholarly journals Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1667
Author(s):  
Laura Ballester ◽  
Ana González-Urteaga
Keyword(s):  
Stock Market ◽  
Financial Crises ◽  
Credit Default Swap ◽  
Equity Returns ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Credit Default ◽  
The Us ◽  
The Relationship

This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We use a rolling VAR framework that enables us to analyse the connection process over time covering both crisis and non-crisis periods. In addition, we analyse the relationship between stock market volatility and CDS returns. We find that the connection between the credit and equity markets does exist and that it is time variable and seems to be related to financial crises. We also observe that stock market returns anticipate sovereign CDS returns, and sovereign CDSs anticipate the conditional volatility of equity returns, closing a connectedness circle between markets. Contribution percentages in terms of returns are more intense in the US than in Europe and the opposite result is found with respect to volatilities. Within Europe, a greater impact in Eurozone countries compared to non-Eurozone countries is observed. Finally, an additional analysis is also carried out for the financial sector, obtaining results largely consistent with those found using sovereign data.

scholarly journals The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility

2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Gang He ◽  
Shuzhen Zhu ◽  
Haifeng Gu
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Investor Sentiment ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Bear Market ◽  
Stock Market Return ◽  
Space Effect

Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market. We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile regression. Our empirical results show that the effects of investor sentiment on stock market return are asymmetric. There is “Freedman effect” in Chinese stock market, but only optimistic sentiment has a significant nonlinear impact on stock market returns when the stock market is a balanced market or a bear market. Meanwhile, “create the space effect” does exist in Chinese stock market too. It only exists when the market is in equilibrium, and only pessimistic sentiment has the nonlinear effect on stock market volatility.

scholarly journals Markov Regime-Switching Autoregressive Model of Stock Market Returns in Nigeria

2021 ◽  
pp. 65-83
Author(s):  
Oluwasegun A. Adejumo ◽  
Seno Albert ◽  
Omorogbe J. Asemota
Keyword(s):  
Stock Market ◽  
Regime Switching ◽  
Mean Absolute Error ◽  
Absolute Error ◽  
Ar Model ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Markov Regime Switching ◽  
Stock Market Returns ◽  
Returns Forecasting

This study is designed to model and forecast Nigeria’s stock market using the All-Share Index (ASI) as a proxy. By employing the Markov regime-switching autoregressive (MS-AR) model with data from April 2005 to September 2019, the study analyzes the stock market volatility in three distinct regimes (accumulation or distribution – regime 1; big-move – regime 2; and excess or panic phases – regime 3) of the bull and bear periods. Six MS-AR candidate models are estimated and based on the minimum AIC value, MS(3)-AR(2) is returned as the optimal model among the six candidate models. The MS(3)-AR(2) analysis provides evidence of regime-switching behaviour in the stock market. The study also shows that only extreme events can switch the ASI returns from regime 1 to regime 2 and to regime 3, or vice versa. It further specifies an average duration period of 9, 3 and 4 weeks for the accumulation/distribution, big-move and excess/panic regimes respectively which is an evidence of favorable market for investors to trade. Based on Root Mean Square Error and Mean Absolute Error, the fitted MS-AR model is adjudged the most appropriate ASI returns forecasting model. The study recommends investments in stock across the regimes that are switching between accumulation/distribution and big-move phases for promising returns.

scholarly journals The Business Cycle And Impacts Of Economic News On Financial Markets

2012 ◽  
Vol 10 (6) ◽  
pp. 385 ◽  
Author(s):  
Esin Cakan
Keyword(s):  
Stock Market ◽  
Stock Market Volatility ◽  
Font Size ◽  
Market Returns ◽  
Government Bonds ◽  
Stock Market Returns ◽  
Economic News ◽  
Economic Recessions ◽  
Bond Return ◽  
The Business Cycle

<span style="font-family: Times New Roman; font-size: small;"> </span><p class="MsoNormal" style="margin: 0in 0.5in 0pt; text-align: justify;"><span style="color: black; font-size: 10pt; mso-themecolor: text1; mso-fareast-font-family: Calibri;"><span style="font-family: Times New Roman;">By jointly modeling returns and volatilities, we find that unemployment news has no significant impact on US stock market returns, but instead on stock market volatility. There is also a significantly positive relation between the long-term bond return and unemployment news during economic expansions, indicating that U.S. government bonds might be a hedge against unemployment news. Inflation news affects both stock and bond market returns negatively during expansions. Both unemployment and inflation news surprises also have more impact on volatility during economic recessions than during expansions. </span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

scholarly journals COUNTRY RATING AND STOCK MARKET VOLATILITY: AN EMPIRICAL ESTIMATION FOR KARACHI STOCK EXCHANGE

2014 ◽  
Vol 02 (01) ◽  
pp. 07-14
Author(s):  
Muhammad Bilal Saeed ◽  
◽  
Arshad Hassan ◽  
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Empirical Estimation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daily Data ◽  
Asymmetric Garch ◽  
The Relationship

This study is aimed to explore the relationship between country rating and volatility of Karachi Stock Exchange for the period 1999 to 2012. This study employs daily data of country ratings and stock market returns to investigate influence of rating on volatility of market. Univariate Asymmetric GARCH model is used to explore the relationship and results reveal that country rating has a significant role in explaining volatility in Karachi Stock Exchange.

Macroeconomic Uncertainty and Stock Market Uncertainty: Some Further Evidence From Pakistan

2021 ◽  
pp. 2150014
Author(s):  
Tariq Aziz ◽  
Jahanzeb Marwat ◽  
Sheraz Mustafa
Keyword(s):  
Stock Market ◽  
Money Supply ◽  
Industrial Production ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
The Impact

The paper provides an updated evidence of the linkage between stock market and macroeconomic factors in Pakistan. The sample period is from January 2011 to November 2017. Macroeconomic variables used are money supply, exchange rate, treasury bill rate, inflation and industrial production. Generalized autoregressive conditional heteroscedasticity (GARCH) models have been used to examine the impact of macroeconomic factors on stock market return and stock market volatility. Findings suggest that macroeconomic factors have an impact on stock market volatility. The fluctuations in inflation and money supply negatively influence the volatility of stock market returns. In contrast, industrial production positively affects the fluctuations of stock market returns. The findings are important for shareholders, investors, regulatory authorities and policymakers.

scholarly journals Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility

2017 ◽  
Vol 12 (2) ◽  
pp. 70-99 ◽  
Author(s):  
Hira Irshad
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Political System ◽  
Political Instability ◽  
Negative Relationship ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Relationship Of ◽  
The Relationship

Abstract This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.

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