scholarly journals Measuring Dynamics of Risk and Performance of Sector Indices on Zagreb Stock Exchange

2015 ◽  
Vol 1 (1-2) ◽  
pp. 27-41
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Portfolio Selection ◽  
Capital Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Conditional Heteroskedasticity ◽  
Market Sector ◽  
Autoregressive Conditional Heteroskedasticity ◽  
Illiquid Market ◽  
And Performance

Abstract Investors are interested in sector diversification on stock markets among other important portfolio topics. This paper looks at five sector indices on Croatian capital market as an example of a small, relatively illiquid market. Sector indices have been constructed at the beginning of 2013 and since then there is a lack of studies, which focus on sector diversification on Zagreb Stock Exchange (ZSE). Thus, the purpose of this paper is to evaluate the recent dynamics of risk and performance of five sector indices on ZSE by employing MGARCH (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) models empirically. Output from the analysis is used to form guidance for investors on Croatian capital market. The results indicate that in the observed period from February 4th 2013 to October 13th 2015 portfolios based on MGARCH methodology outperform other portfolios in terms return and risk. Thus, it is advisable to use this methodology when making portfolio selection.

scholarly journals Spillover effects in the financial year cycle for Indian markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Parul Bhatia
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Ordinary Least Squares ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Content Type ◽  
Year Effect ◽  
Autoregressive Conditional Heteroskedasticity

PurposeThe stock market anomalies have been studied across the globe with intermingled results for individual markets. The present study has investigated the financial year effect for Indian stock markets by testing month-of-the-year-effect anomalies.Design/methodology/approachThe oldest stock exchange's index returns (Bombay Stock Exchange [BSE]) have been tested using ordinary least squares (OLS) and autoregressive conditional heteroskedasticity in mean (ARCH-M) models with Student's t and Student's t-fixed distributions for the period between 1991 and 2019. The Glosten, Jagannathan and Runkle-generalised autoregressive conditional heteroskedasticity (GJR-GARCH) model has been further used to find out existence of the leverage effect in returns.FindingsThe findings indicated no evidence for anomalies in the Indian stock market which may be used by investors for making unusual returns. However, the volatility in returns has shown weak but significant results due to the financial year impact. The leverage effect has not been found in the financial year cycle change over. The Indian market may be said to be moving towards a state of efficiency, leaving no scope for investors to gauge bizarre profits.Research limitations/implicationsThe study has incorporated the Indian context for testing anomalies during the start and end of the financial year cycle. The model may be extended further to developed and developing nations’ markets for testing efficiency in their stock markets during the same cycle.Originality/valueThe paper may be the first of its kind to test for the financial year effect on standalone basis for Indian markets. The paper also adds to the existing literature on testing events’ effect.

Estimation of Persistence and Predictability of Volatility in The Indian Banking Sector

2014 ◽  
Vol 4 (2) ◽  
Author(s):  
Dr. Vandana Dangi
Keyword(s):  
Serial Correlation ◽  
Banking Sector ◽  
Stock Exchange ◽  
Conditional Heteroskedasticity ◽  
Arch Model ◽  
Stock Market Returns ◽  
Volatility Clustering ◽  
Arch Effect ◽  
Autoregressive Conditional Heteroskedasticity ◽  
Augmented Dickey Fuller

The impulsiveness in investment’s price is volatility and its meticulous estimation and forecasting is valuable to investors in the risk management of their portfolio. Earlier volatility of an asset was assumed to be constant. However, the pioneering studies of Mandelbrot, Engle and Bollerslev on the property of stock market returns did not support this assumption. The family of autoregressive conditional heteroskedasticity models were developed to capture time-varying characteristics of volatility. The present treatise attempts to study the presence of autoregressive conditional heteroskedasticity in four Indian banking sector indices viz. BSE Bankex, BSE PSU, CNX bank and CNX PSU. The daily banking sector indices for the period of January 2004 to December 2013 were taken from the online database maintained by the Bombay Stock Exchange and the National Stock Exchange. The data of four indices was studied for stationarity, serial correlation in the returns and serial correlation in the squares of returns with the help of Augmented Dickey–Fuller test, Box-Jenkins methodology and autoregressive conditional heteroscedasticity models respectively. The results of ACF, PACF and Ljung–Box Q test indicates that there is a tendency of the periods of high and low volatility to cluster in the Indian banking sector. All the four banking sector indices display the presence of ARCH effect indicating the presence of volatility clustering. Engle's ARCH test (i.e Lagrange multiplier test) and Breush-Godfrey-Pagan test and ARCH model confirmed the high persistence and predictability of volatility in the Indian banking sector.

Estimating Long-Term Volatility on National Stock Exchange of India

2019 ◽  
pp. 229-237
Keyword(s):  
Stock Exchange ◽  
Stock Index ◽  
Garch Models ◽  
Conditional Heteroskedasticity ◽  
Large Sample ◽  
Market Capitalization ◽  
Stock Indices ◽  
Autoregressive Conditional Heteroskedasticity

The main objective of this chapter is to provide an elaborate framework on the long-term volatility of the National Stock Exchange of India based on Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The CNX-100 index is one of the most diversified Indian stock indices which includes over 38 sectors of the economy. This stock index represents about 81.57% of the free-floating market capitalization of stocks listed on the National Stock Exchange (NSE) of India from March 2014. Moreover, this book chapter empirically tested volatility clusters of CNX100 index using a large sample database from October 2007 to July 2014.

Modeling volatility on the Karachi Stock Exchange, Pakistan

2016 ◽  
Vol 10 (3) ◽  
pp. 253-275 ◽  
Author(s):  
Shahan Akhtar ◽  
Naimat U. Khan
Keyword(s):  
Financial Crises ◽  
Stock Exchange ◽  
Small Sample ◽  
Leverage Effect ◽  
Data Series ◽  
Conditional Heteroskedasticity ◽  
Content Type ◽  
Autoregressive Conditional Heteroskedasticity ◽  
Modeling Volatility ◽  
The Impact

Purpose The current paper aims to fill a gap in the literature by analyzing the nature of volatility on the Karachi Stock Exchange (KSE) 100 index of the KSE, and develop an understanding as to which model is most suitable for measuring volatility among those used. The study contributes significantly to the literature as, compared with the limited previous studies of Pakistan undertaken in the past, it covers three types of data (i.e. daily, weekly and monthly) for the whole period from the introduction of the KSE 100 index on November 2, 1991 to December 31, 2013. In addition, to analyze the impact of global financial crises upon volatility, the data have been divided into pre-crisis (1991-2007) and post-crisis (2008-2013) periods. Design/methodology/approach This study has used an advanced set of volatility models such as autoregressive conditional heteroskedasticity [ARCH (1)], generalized autoregressive conditional heteroskedasticity [GARCH (1, 1)], GARCH in mean [GARCH-M (1, 1)], exponential GARCH [E-GARCH (1, 1)], threshold GARCH [T-GARCH (1, 1)], power GARCH [P-GARCH (1, 1)] and also a simple exponentially weighted moving average (EWMA) model. Findings The results reveal that daily, weekly and monthly return series show non-normal distribution, stationarity and volatility clustering. However, the heteroskedasticity is absent only in the monthly returns making only the EWMA model usable to measure the volatility level in the monthly series. The P-GARCH (1, 1) model proved to be a better model for modeling volatility in the case of daily returns, while the GARCH (1, 1) model proved to be the most appropriate for weekly data based on the Schwarz information criterion (SIC) and log likelihood (LL) functionality. The study shows high persistence of volatility, a mean reverting process and an absence of a risk premium in the KSE market with an insignificant leverage effect only in the case of weekly returns. However, a significant leverage effect is reported regarding the daily series of the KSE 100 index. In addition, to analyze the impact of global financial crises upon volatility, the findings show that the subperiods demonstrated a slightly low volatility and the global economic crisis did not cause a rise in volatility levels. Originality/value Previously, the literature about volatility modeling in Pakistan’s markets has been limited to a few models of relatively small sample size. The current thesis has attempted to overcome these limitations and used diverse models for three types of data series (daily, weekly and monthly). In addition, the Pakistani economy has been beset by turmoil throughout its history, experiencing a range of shocks from the mild to the extreme. This paper has measured the impact of those shocks upon the volatility levels of the KSE.

scholarly journals APPLICATION OF THE MODERN PORTFOLIO THEORY IN DIVERSIFICATION OF THE DEBT SECURITIES PORTFOLIO IN EMERGING MARKETS

2017 ◽  
Vol 1 (13) ◽  
pp. 67 ◽  
Author(s):  
Miloš Grujić
Keyword(s):  
Economic Theory ◽  
Emerging Markets ◽  
Portfolio Selection ◽  
Capital Markets ◽  
Capital Market ◽  
Scientific Literature ◽  
Stock Exchange ◽  
Portfolio Analysis ◽  
Domestic Capital ◽  
Banja Luka

The term "portfolio analysis", introduced in the economic theory by Harry Markowitz, is not a new term in scientific literature. However, analysis and criticism in the papers of local and foreign authors are mainly based on the examples of developed capital markets. There are very few cases of application of the portfolio analysis in the domestic capital market. The focus of this paper is on implementation of diversification of the bonds on the Banja Luka Stock Exchange. Using Markowitz's portfolio selection, we will prove that diversification, including all limitations, is possible and applicable onto the domestic bonds in the capital market.

Forecasting developed and BRICS stock markets with cryptocurrencies and gold: generalized orthogonal generalized autoregressive conditional heteroskedasticity and generalized autoregressive score analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ahmed Jeribi ◽  
Achraf Ghorbel
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Value At Risk ◽  
Developed Countries ◽  
The Other ◽  
Conditional Heteroskedasticity ◽  
Content Type ◽  
Autoregressive Conditional Heteroskedasticity ◽  
Developed Stock Markets ◽  
Generalized Orthogonal

PurposeThe purpose of this paper is threefold. First, it models and forecasts the risk of the five leading cryptocurrencies, stock market indices (developed and BRICS) and gold returns. Second, it conducts different backtesting procedures forecasts. Third, it focuses on the hedging potential of cryptocurrencies and gold.Design/methodology/approachThe authors used the generalized autoregressive score (GAS) models to model and forecast the risk of cryptocurrencies, stock market indices and gold returns. They conduct different backtesting procedures of the 1% and 5%-value-at-risk (VaR) forecasts. They also use the generalized orthogonal generalized autoregressive conditional heteroskedasticity (GO-GARCH) model to explore the hedging potential of cryptocurrencies by estimating the dynamic conditional correlation between cryptocurrencies and gold, on the one hand, and stock markets on the other hand.FindingsWhen conducting different backtesting procedures of VaR, our finding suggests that Bitcoin has the highest VaR among cryptocurrencies and Gold and the BRICS indices returns have lower VaR compared to the developed countries. Finally, we provide evidence that the risks among developed stock markets can be hedged by Bitcoin and Gold. Bitcoin can be considered as the new Gold for these economies. Unlike Bitcoin, Gold can be considered as a hedge for Chinese and Indian investors. However, Gold and Bitcoin can be considered as diversifier assets for the other BRICS economies while Dash and Monero are diversifier assets for developed stock markets.Originality/valueThe first paper's empirical contribution lies in analyzing optimal forecast models for cryptocurrencies (other than Bitcoin) returns and risk. The second contribution consists of studying the hedging potential of five leading cryptocurrencies. To the best of our knowledge, no previous studies have investigated the role of cryptocurrencies for BRICS investors.

Neuro-Linguistic-Programming-Based Modeling of Stock Markets

2018 ◽  
pp. 205-229
Author(s):  
Mamed Babaev ◽  
Oxana Savenko
Keyword(s):  
Decision Making ◽  
Empirical Data ◽  
Stock Markets ◽  
Stock Exchange ◽  
Conventional Wisdom ◽  
Behavior Patterns ◽  
Actual Behavior ◽  
Workplace Motivation ◽  
Decision Making Processes ◽  
And Performance

Speaking of the preliminary findings of this chapter and considering empirical data observed in the course of stock exchange trading, it is possible to forge a connection between the actual behavior of the investors and the NLP meta-program classes. In particular, there is a palpable correspondence between the 13 distinct meta-program categories affecting workplace motivation and performance, commonly known as the language and behaviour profile or LAB Profile, of Shelle Rose Charvet, and the behavior patterns of investors. This may represent a development of the idea of “the conventional wisdom” formulated in his time by John Kenneth Galbraith. However, in its new incarnation of collective conscious and collective subconscious, it may affect decision making processes around the globe.

scholarly journals Impact Of Financial Crisis On Hedging Effectiveness Of Futures Contracts: Evidence From The National Stock Exchange Of India

2015 ◽  
Vol 10 (2) ◽  
pp. 69-88 ◽  
Author(s):  
Kapil Gupta ◽  
Mandeep Kaur
Keyword(s):  
Financial Crisis ◽  
Stock Exchange ◽  
Moving Average ◽  
Futures Contracts ◽  
Conditional Heteroskedasticity ◽  
Vector Autoregressive ◽  
Hedging Effectiveness ◽  
Autoregressive Conditional Heteroskedasticity ◽  
The 2008 Financial Crisis ◽  
The Impact

Abstract The present study examines the impact of the 2008 financial crisis on the hedging effectiveness of three index futures contracts traded on the National Stock Exchange of India for near, next and far month contracts over the sample period of January 2000 – June 2014. The hedge ratios were calculated using eight methods; Naive hedging, Ederington’s Model, Autoregressive Integrated Moving Average, Vector Autoregressive, Vector Error Correction Methodology, Generalized Autoregressive Conditional Heteroskedasticity, Exponential Generalized Autoregressive Conditional Heteroscedasticity and Threshold Generalized Autoregressive Conditional Heteroskedasticity. The study finds an improvement in hedging effectiveness during the post-crisis period, which implies that during the high-volatility period hedging effectiveness also improves. It was also found that near month futures contracts are a more effective tool for hedging as compared to next and far month contracts, which imply that liquidity is a more important determinant of hedging effectiveness than hedge horizons. The study also finds that a time-invariant hedge ratio is more efficient than time-variant hedging. Therefore, knowledge of sophisticated econometrical tools does not help to improve hedge effectiveness.

scholarly journals Growth and Performance of Securities Market in Nepal

2006 ◽  
Vol 1 (1) ◽  
pp. 85-92 ◽  
Author(s):  
Jas Bahadur Gurung
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Secondary Market ◽  
Securities Market ◽  
Growth Trend ◽  
Market Capitalization ◽  
Business Studies ◽  
And Performance

Securities Board, Nepal, an apex regulator and facilitator of capital market, and Nepal Stock Exchange Ltd., only a single stock market, are the main constituents of securities market in Nepal. This paper attempts to study the growth trend and analyze the performance of Nepalese securities market. Likewise, the variables such as number of listed and traded companies and their securities, number of transactions, trading turnovers, paid up value, market capitalization and NEPSE index are analyzed for the secondary market. Journal of Nepalese Business Studies Vol.1(1) 2004 pp.85-92

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