scholarly journals The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market

2018 ◽  
Vol 7 (1) ◽  
pp. 24
Author(s):  
Ryuta Sakemoto
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Precious Metals ◽  
Asset Market ◽  
Market Condition ◽  
Expected Returns ◽  
Trade Off ◽  
Conditional Correlations

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns, which means that high returns on precious metals are not related to a lack of diversification benefits. Interestingly, high absolute values of conditional correlations lead to increases in expected returns, suggesting that the unstable cross-asset market condition is associated with the expected returns. This impact is stronger on silver than on gold.  

The role of precious metals in extreme market conditions: evidence from stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sinem Guler Kangalli Uyar ◽  
Umut Uyar ◽  
Emrah Balkan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Precious Metals ◽  
Market Condition ◽  
Time Varying ◽  
Safe Haven ◽  
Stock Market Returns ◽  
Content Type ◽  
Gold Silver

Purpose The purpose of this paper is to scrutinize three different points: How safe haven properties of precious metals (gold, silver, platinum and palladium) differentiate in two recent major crises such as the Global Financial Crisis (GFC) and the COVID-19 pandemic? How safe haven properties of precious metals change by the severity and the duration of shocks? and whether precious metals have hedge properties or not in normal conditions against different stock markets. Design/methodology/approach To analyze the time-varying behavior of precious metals with respect to stock market returns, the authors used the rolling window approach. After obtaining the time-varying beta series that way, the authors regressed the beta series on different severities of stock market shocks. Findings The findings show that the number of safe haven precious metals increases in the COVID-19 pandemic period compared to the GFC. Furthermore, the number of safe haven precious metals increases as the severity of shocks increases and the duration of them extended. Finally, in the absence of an extreme market condition, only gold has strong hedge asset properties. Originality/value To the best of the authors’ knowledge, this study is the first that examines the safe haven and hedge properties of all tradable precious metals against seven major stock markets. Besides this, it presents a comparative analysis for the safe haven properties of precious metals in terms of two major crises.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

scholarly journals Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange

2019 ◽  
Vol 21 (3) ◽  
pp. 285
Author(s):  
Shafir Zaman
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Decision ◽  
Weak Form ◽  
Efficiency Test ◽  
Non Parametric ◽  
Weak Form Efficiency

Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

Return and Volatility Transmissions between Metals and Stocks: A Study of the Emerging Asian Markets by Using the VAR-AGARCH Approach

2020 ◽  
pp. 2040020
Author(s):  
Imran Yousaf ◽  
Shoaib Ali ◽  
Wing-Keung Wong
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Precious Metals ◽  
Entire Period ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
Industrial Metals

This study examines the return and volatility transmission/spillover between (Precious and Industrial) metals and stocks in the emerging Asian markets in the entire studying period and the two crisis sub-periods: the global financial crisis (GFC) and the Chinese Stock market crash sub-periods, and the normal sub-period that does not have any crisis. In addition, we estimate the optimal weights and hedge ratios for both metals and stocks. Employing the VAR-AGARCH model to estimate spillover, the results reveal the unidirectional return spillover from both precious and industrial metals to most of the Asian equity markets in the entire period as well as in the GFC and normal sub-periods but not the sub-period of the Chinese stock market crash. Besides, we reveal that there are unidirectional or bidirectional volatility transmissions between most of the precious metals and the Asian stock markets during the entire period and all the sub-periods. In contrast, the volatility spillover is not significant between most of the industrial metals and Asian stock markets during the entire period and all the sub-periods. On the other hand, our analysis on both optimal weight and hedge ratios suggests that adding nearly any metal to a portfolio of emerging Asian stocks improves its risk-adjusted return and helps to effectively hedge against stock risk exposure over both crisis and non-crisis sub-periods. Overall, these findings provide useful insights for portfolio diversification, asset pricing, and risk management.

scholarly journals Transmisión entre mercados bursátiles y crisis financiera: El caso de España

2020 ◽  
Vol 32 (2) ◽  
pp. 789
Author(s):  
Paz Rico Belda
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Correlation Coefficient ◽  
Stock Markets ◽  
The Other ◽  
Subprime Crisis ◽  
Contagion Effect ◽  
Conditional Correlation ◽  
Integration Degree ◽  
Spanish Stock Market

The paper analyses if the interrelation between Spanish stock market and stock markets of USA, UK, German and France has been affected, and how, by subprime crisis. For that, a bivariate VAR-GARCH model has been estimated, over the period January 2000 to June 2012. A measure of integration degree, as the conditional correlation coefficient, is obtained from the estimated model. Analysing this measure leads to conclude that subprime crisis had a contagion effect. Moreover, the empirical evidence allows concluding that in poscrisis period the interrelation between Spanish market and French market has increased, while the interrelation with British market has reduced. On the other hand, the interrelation of Spanish stock market with German and USA stock markets have gone back to the level before subprime crisis.

TESTING TRADE-OFF THEORY BETWEEN NETWORKING CAPITAL AND FIRM VALUE: EMPIRICAL EVIDENCE FROM VIETNAM

2020 ◽  
pp. 2050013
Author(s):  
DUONG DANG KHOA ◽  
PHAM THI TRAM ANH ◽  
LE THI MY DUYEN
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Firm Value ◽  
Optimal Level ◽  
Working Capital ◽  
Trade Off ◽  
Empirical Results ◽  
Right Hand ◽  
The Right

This study investigates empirically how net-working-capital (NWC) affects firm value, using a sample of the Vietnamese stock market. Our empirical results indicate an optimal NWC level that maximizes firm value. Our research also shows empirical evidence that deviations from actual and estimated NWC levels (above and below optimal level) can reduce firm value. We show that more than 40% of NWC observations in our sample on the right-hand side of the breakpoint reduce firm value. Managers tend to build up excessive working capital to prevent hiking funding costs after the 2008 crisis. Therefore, our findings help managers determine an optimal level of NWC, which enhances firm value. Our findings are consistent with the trade-off theory.

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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