EUROPEAN STOCK MARKET FLUCTUATIONS: SHORT AND LONG TERM LINKS

2005 ◽  
pp. 137-149
Author(s):  
A. G. Malliaris ◽  
Jorge L. Urrutia
Keyword(s):  
Stock Market ◽  
Short And Long Term

scholarly journals International portfolio diversification: United States and south Asian equity markets

2014 ◽  
Vol 61 (2) ◽  
pp. 241-252 ◽  
Author(s):  
Rizwan Mushtaq ◽  
Zulfiqar Shah
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Equity Markets ◽  
Equity Market ◽  
Causality Test ◽  
Market Index ◽  
International Portfolio Diversification ◽  
The Us ◽  
Short And Long Term

This paper explores the dynamic liaison between US and three developing South Asian equity markets in short and long term. To gauge the long-term relationship, we applied Johansen co-integration procedure as all the representative indices are found to be non-stationary at level. The findings illustrate that the US equity market index exhibits a reasonably different movement over time in contrast to the three developing equity markets under consideration. However, the Granger-causality test divulge that the direction of causality scamper from US equity market to the three South Asian markets. It further indicates that within the three developing equity markets the direction of causality emanates from Bombay stock market to Karachi and Colombo. Overall, the results of the study suggest that the American investors can get higher returns through international diversification into developing equity markets, while the US stock market would also be a gainful upshot for South Asian investors.

SHORT- AND LONG-TERM EFFECTS OF THE 9/11 EVENT: THE INTERNATIONAL EVIDENCE

2005 ◽  
Vol 08 (07) ◽  
pp. 947-958 ◽  
Author(s):  
VINCENT RICHMAN ◽  
MICHAEL R. SANTOS ◽  
JOHN T. BARKOULAS
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Systematic Risk ◽  
Point Of View ◽  
Long Term Effects ◽  
Market Reactions ◽  
Theoretic Point ◽  
Short And Long Term ◽  
Stock Market Reactions

This paper analyzes the short- and long-term effects of the September 11, 2001 terrorist attacks on a comprehensive sample of stock market indices from 33 industrial and emerging economies. From a finance-theoretic point of view, we employ the international capital asset pricing model (ICAPM) to analyze the incidence of the 9/11 event. Consistent with expectations, we document statistically negative short-term stock market reactions to the 9/11 event for 28 countries. More importantly, we find increases in the level of systematic risk for 10 stock markets which attest to the presence of negative permanent effects emanating for the 9/11 event. However, a great many capital markets (including the US, Canada, Japan, China, Russia, and the largest European economies) did not experience statistically significant increases in systematic risk in the post-9/11 period. The decisiveness of the evidence clearly points in the direction of resilience and flexibility of the world capital markets.

scholarly journals The Impact of the Global Financial Crisis, Does It Sustain?

2016 ◽  
Vol 8 (10) ◽  
pp. 82 ◽  
Author(s):  
Bashar Al-Zu'bi ◽  
Hussein Salameh ◽  
Qasim Mousa Abu Eid
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Market Index ◽  
The World ◽  
The Usa ◽  
Short And Long Term ◽  
The Global Financial Crisis ◽  
The Impact

<p>This paper studies the short and long term relationship between S&amp;P500 USA stock market index and the stock market indices of 30 countries around the world over the period June 2010-April 2015. We implement OLS regression and use error correction model to examine the short and long term relationship between the variables. Empirically, we find that there is a relationship on the short and long term between S&amp;P500 and the indices of 27 countries from East Asia, Europe, Latin America, Middle East as well as the countries of Australia and Canada. These results conclude that the global financial crisis of 2007-2008 significantly and lengthy increased the already high level of co-movement between the USA financial market and the observed stock market for 27 countries around the world. The findings from our research are important; however, we believe that further research based on our findings is necessary.</p>

Stock market integration in Mexico and Argentina: are short- and long-term considerations different?

2010 ◽  
Vol 17 (15) ◽  
pp. 1503-1507 ◽  
Author(s):  
Fredj Jawadi ◽  
Mohamed El Hédi Arouri ◽  
Duc Khuong Nguyen
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Stock Market Integration ◽  
Short And Long Term

FINANCIAL MARKETS EFFICIENCY(NOBEL MEMORIAL PRIZE IN ECONOMICS 2013)

2014 ◽  
pp. 4-21
Author(s):  
R. Sverchkov ◽  
K. Sonin
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Financial Markets ◽  
Nobel Prize ◽  
Behavioral Finance ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Short And Long Term ◽  
Russian Stock Market

The paper describes the main contributions of the 2013 Nobel Prize winners in economics E. Fama, R. Shiller and L.-P. Hansen in the analysis of the financial markets efficiency. Discussed are the very idea of the impossibility to systematically gain riskless profits in the short- and long-term perspectives, the fomalizations of this idea in the key asset pricing models, methods of testing these models, and the theory of behavioral finance as one of the explanations of the inefficiency and irrationality of financial markets. A short overview of the research dealing with the efficiency of Russian stock market is also given.

The contested significance of financial expertise in predicting short- and long-term risk and return on the stock market

2020 ◽  
Author(s):  
Magnus Jansson
Keyword(s):  
Experimental Design ◽  
Stock Market ◽  
Short Term ◽  
Forecast Horizon ◽  
Risk And Return ◽  
Stock Indices ◽  
Financial Expertise ◽  
Quasi Experimental ◽  
Short And Long Term

This study investigates whether the influence of financial expertise on stock investors’ ability to predict risk and return is contingent on the length of the forecast horizon. In a quasi-experimental design, stock market professionals (N1=63, N2=36), private shareholders (N1=155, N2=172) and students (N1=124, N2=90) twice provided their short- (3-month) and long-term (2-year) risk and return predictions on stock indices. The results show that in general, experts did not outperform students or private shareholders in their return predictions. However, the level of financial expertise positively influenced the accuracy of risk predictions. An interaction effect between financial expertise and the length of the forecast horizon suggests that more knowledgeable and experienced investors performed better in the long term compared to the short term than inexperienced investors did

Post-Crisis Interdependence Between Islamic Unit Trust Funds and Islamic Stock Market in Malaysia

2020 ◽  
pp. 292-305
Author(s):  
Muhamad Abduh ◽  
Ruzanna Ramli
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Relevant Information ◽  
Islamic Finance ◽  
Causality Test ◽  
Fund Managers ◽  
Short And Long Term ◽  
Unit Trust ◽  
The Global Financial Crisis

This chapter evaluates short- and long-term relationships between 34 Islamic unit trusts and the Islamic stock market after the global financial crisis. The study collects data from Bloomberg's database from 2009 until 2012 and employs J-J cointegration to identify the long-term relationship while Granger causality test is used to investigate how the changes in Islamic stock market can influence the changes in Islamic unit trusts in the short term. The finding indicates that 61.76 percent out of the 34 Islamic unit trusts tested do not have long-term equilibrium with the Islamic stock market. Furthermore, only a few Islamic trusts responded to the changes in the Islamic stock market. This study is important for at least two reasons: its role in filling the gap in the literature of unit trust—stock markets nexus in Islamic finance; and its findings provide relevant information that can benefit investors and fund managers.

scholarly journals Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries

2020 ◽  
Vol 25 (50) ◽  
pp. 395-412
Author(s):  
Mourad Mroua ◽  
Lotfi Trabelsi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Generalized Method Of Moments ◽  
Stock Market Returns ◽  
Content Type ◽  
Brics Countries ◽  
Short And Long Term

Purpose This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and long-term effect of the US dollar on major stock market indices of Brazil, Russia, India, China and South-Africa (BRICS) nations. Design/methodology/approach This paper applies a new methodology combining the panel generalized method of moments model and the panel auto-regressive distributed lag (ARDL) method to investigate the existence of a causal short-/long-run relationships and dynamic dependence among all stock market returns and exchanges rates changes of BRICS countries. Findings Results show that exchange rate changes have a significant effect on the past and the current volatility of the BRICS stock indices. Besides, ARDL estimations reveal that exchange rate movements have a significant effect on short- and long-term stocks market indices of all BRICS countries Originality/value The findings have implications for policymakers and market participants who try to manage the exchange rate will have a different dose of intervention if they know that the effects of currency depreciation are different than appreciation. These results have important implications that investors should take into account in frequency-varying exchange rates and stock returns and regulators should consider developing sound policy measures to prevent financial risk.

scholarly journals Premiums for Non-Sustainable and Sustainable Components of Market Volatility: Evidence from the Korean Stock Market

2019 ◽  
Vol 11 (18) ◽  
pp. 5123
Author(s):  
Thuy Thi Thu Truong ◽  
Jungmu Kim
Keyword(s):  
Stock Market ◽  
High Sensitivity ◽  
Portfolio Analysis ◽  
Market Volatility ◽  
Korean Stock Market ◽  
Pricing Factors ◽  
Short And Long Term ◽  
Annual Premium

The study investigates the premiums expected for non-sustainable and sustainable components of market volatility in Korea during the August 1991 to December 2018 period. We decompose market volatility into non-sustainable and sustainable components and construct the factors that mimic the two respective components of market volatility. The portfolio analysis and Fama-MacBeth regressions reveal that both short- and long-term components are negative pricing factors in the Korean stock market. Specifically, stocks with higher sensitivities to the long-term volatility factor have lower average annual returns by approximately 14%, than stocks with lower sensitivities. This implies that stocks with high sensitivity to sustainable volatility provide a hedging opportunity against future uncertainty, and thus, investors are willing to pay an annual premium of 14% for such stocks. Our results are robust to variations in samples and methods.

scholarly journals Gold-Stock Market Relationship: Emerging Markets versus Developed Markets

2017 ◽  
Vol 7 (1) ◽  
pp. 17-24 ◽  
Author(s):  
Jalal Seifoddini ◽  
Fraydoon Rahnamay Roodposhti ◽  
Elahe Kamali
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Structural Changes ◽  
Emerging Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Short And Long Term ◽  
The Relationship ◽  
Market Relationship

We perform a comparative study on the gold-stock market relationship in U.S. stock market as a developed market and in Iran stock market as an emerging market. By considering appropriate variables for emerging markets and by providing a more proper methodology, we improve earlier studies. According to our findings, the relationship between stock market returns and gold price returns does not follow any specific regimes and that this relationship changes in short and long term returns. It is necessary to mention that in the present research, we did not consider this relationship in major structural changes in the economies and instead considered usual economic circumstances that investors are regularly faced with in their investment decisions.

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