Analysis of the relationship between asymmetry coefficient value and standard semi deviation value of rates of return for selected stock market indices and joint-stock companies

AbstractWe investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

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The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

Journal of Risk and Financial Management ◽

10.3390/jrfm14030122 ◽

2021 ◽

Vol 14 (3) ◽

pp. 122

Author(s):

Maud Korley ◽

Evangelos Giouvris

Keyword(s):

Stock Market ◽

Stock Markets ◽

Regime Switching ◽

Markov Switching ◽

Sub Saharan Africa ◽

Var Model ◽

High Volatility ◽

Sub Saharan ◽

The Relationship ◽

Fx Market

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

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Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Agriculture ◽

10.3390/agriculture11020093 ◽

2021 ◽

Vol 11 (2) ◽

pp. 93

Author(s):

Pavel Kotyza ◽

Katarzyna Czech ◽

Michał Wielechowski ◽

Luboš Smutka ◽

Petr Procházka

Keyword(s):

Financial Crisis ◽

Stock Market ◽

Financial Market ◽

Structural Breaks ◽

Structural Changes ◽

Global Financial Crisis ◽

Market Uncertainty ◽

Volatility Index ◽

The Global Financial Crisis ◽

The Relationship

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.

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The Influence of Financial Development on R&D Activity: Cross-Country Evidence

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091510001998 ◽

2010 ◽

Vol 13 (03) ◽

pp. 381-401 ◽

Cited By ~ 7

Author(s):

Young-Soon Hwang ◽

Hong-Ghi Min ◽

Seung-Hun Han

Keyword(s):

Stock Market ◽

Banking Sector ◽

Finance Industry ◽

Turnover Ratio ◽

Environment Variables ◽

Financial Quality ◽

Efficient Resource ◽

Cross Country ◽

The Relationship ◽

Financial Environment

The financial environment affects the level of R&D activity of a country. Using the proxy measures of macroeconomic financial environment variables, we show that cross-country differences in R&D activity, including expenditures, researchers, and patents etc., are correlated with the stock market turnover ratio. In particular, we found that the relationship was in direct relation to R&D expenditures or the number of researchers but indirect in relation to R&D outputs such as patents. These results imply that finance structure of an economy could enhance R&D activity through providing efficient resource allocation function. Other proxy measures of the financial environment such as banking sector size or stock market capitalization are not found to be significant. The size of the finance industry does not seem to change the national portfolio toward more high-risk innovative sectors. Financial quality, not size, determines the level of R&D intensity.

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FACTORS AFFECTING DISPOSITION EFFECT IN EQUITY INVESTMENT: A SOCIAL NETWORK ANALYSIS APPROACH

International Journal of Accounting & Finance Review ◽

10.46281/ijafr.v5i3.845 ◽

2020 ◽

Vol 5 (3) ◽

pp. 64-86

Author(s):

K. Kajol ◽

Prasita Biswas ◽

Ranjit Singh ◽

Sana Moid ◽

Amit Kumar Das

Keyword(s):

Social Network ◽

Social Network Analysis ◽

Network Analysis ◽

Stock Market ◽

Influencing Factors ◽

Social Trust ◽

Complete Analysis ◽

Disposition Effect ◽

Factors Affecting ◽

The Relationship

The study aims at identifying the factors influencing the disposition effect acting on equity investors and further identifying the relationship between the influencing factors. The study aims at conducting a complete analysis of the influencing factors along with measuring their impact on disposition effect using Social Network Analysis (SNA).The factors affecting disposition effect on investors were identified through the literature review. Experts’ opinions were sought for determining the relationship among the factors and finally, the importance of those factors was analyzed using Social Network Analysis (SNA). It was found that social trust, investor emotion are the two most important factors affecting the other factors of disposition effect and consequently disposition effect finally. Besides, mental accounting; regret aversion, trading intensity, trading volume, and portfolio performance strongly influence the effect of disposition on investors because of their higher in-degree and out-degree. Therefore, the policymakers need to impart training to the investors to understand the mechanism of the stock market so that they can evaluate their standing in the stock market which, in the long run, will be reflected in their investment behavior.

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Sensitivity of the Art Market to Price Volatility

Finanse i Prawo Finansowe ◽

10.18778/2391-6478.2.26.02 ◽

2020 ◽

Vol 2 (26) ◽

pp. 11-36

Author(s):

Krzysztof Borowski

Keyword(s):

Stock Market ◽

Art Market ◽

Price Volatility ◽

Income Risk ◽

Rates Of Return ◽

Calendar Effects ◽

Post War ◽

Investment Portfolios ◽

Market Indexes ◽

Almost All

The purpose of the article: The art market becomes very popular among investors, when there is strong turbulence on the stock market. In times of calm, the art market is used by investors to diversify risk and build more efficient investment portfolios according to the Markovitz’s theory. The aim of this paper is to: (i) present the peculiarity of investment on the art market, represented by art market indexes in comparison to traditional investments in other financial market segments (money market, equity indexes and commodity market), (ii) to verify the hypothesis of normality of the distribution of rates of return of the analyzed art market indices as well as (iii) to analyze calendar effects occurrence on the art market.Methodology: Comparison of rates of return on the stock, bond, commodity and money markets with rates on the art market in four different time intervals. For each of the analyzed periods, an income-risk map was presented, taking into account the spectrum of financial instruments, including six art indexes: Old Masters, 19th Century, Modern art, Post War art, Contemporary art and Global art. The hypothesis of normality of the distribution of rates of return of the art market indices for four analyzed periods was verified with the use of Jarque-Bera test.Results of the research: Comparison of rates of return on the stock market and art market leads to the conclusion that their relationship depends on the period chosen. For two of the analyzed periods, the rates of return on the stock market were higher than on the art market, but for others periods, the opposite. The distribution of quarterly rates of return resulted to be a normal distribution for almost all of analyzed indices and time periods. Calendar effects were observed in the case of four analyzed indexes.

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Ownership And Firm Performance: The Experience Of Saudi Arabias Emerging Economy

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v8i8.3157 ◽

2011 ◽

Vol 8 (8) ◽

Cited By ~ 1

Author(s):

Abuzar M. A. Eljelly

Keyword(s):

Saudi Arabia ◽

Firm Performance ◽

Stock Market ◽

Market Performance ◽

Return On Assets ◽

Private Companies ◽

Return On Equity ◽

Net Profit ◽

The Government ◽

The Relationship

This study examines the relationship between firm ownership and corporate performance in Saudi Arabia, using a sample of Listed Private Companies (LPCs) and Listed Government Related Companies (LGRCs). The study compares the operating and market performance of the LPCs and LGRCs during the period 2000-2003 and found that, in general, LGRCs outperform or match the performance of LPCs. More specifically, the study finds that LGRCs tend to mostly outperform LPCs in terms of profitability, as measured by Return on equity (ROE) and Net Profit Margin (NPM), operating efficiently, as measured in terms of Return on assets (ROA), and match them in their stock market risk adjusted performance. The study concludes that these results may have implications for the issue of privatization programs which the government has recently started.

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EARNINGS ANNOUNCEMENTS AND COMPETING INFORMATION: THE INDONESIAN EVIDENCE

Journal of Indonesian Economy and Business ◽

10.22146/jieb.6212 ◽

2015 ◽

Vol 29 (1) ◽

Author(s):

Dedhy Sulistiawan ◽

Jogiyanto Hartono ◽

Eduardus Tandelilin ◽

Supriyadi Supriyadi

Keyword(s):

Stock Market ◽

Empirical Evidence ◽

Earnings Announcements ◽

Negative Relationship ◽

Technical Analysis ◽

Earnings Announcement ◽

Price Reaction ◽

Price Reactions ◽

The Relationship ◽

The U.S

The main purpose of this study is to provide empirical evidence of the relationship betweeninvestors’ responses to two events, which are, (1) earnings anouncements, and (2) technicalanalysis signals, as competing information. This study is motivated by Francis, et al. (2002),whose study used stock analyst’s recommendations as competing information in the U.S stockmarket. To extend that idea, this study uses technical analysis signals as competing informationin the Indonesian stock market. Using Indonesian data from 2007-2012, this study shows thatthere are price reactions on the day of a technical analysis signal’s release, which is prior toearnings announcements. It means that investors react to the emergence of competinginformation. Reactions on earnings announcements also produce a negative relationship withthe reaction to a technical analysis signal before an earnings announcement. This study givesevidence about the importance of technical analysis as competing information to earningsannouncements.Keywords: competing information, earnings announcements, technical analysis, price reaction

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